Evaluating the financial performance of pension funds (Washington, 2010). - ОГЛАВЛЕНИЕ / CONTENTS
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ОбложкаEvaluating the financial performance of pension funds / ed. by R.Hinz et al. - Washington: World Bank, 2010. - xvi, 279 p.: ill. - (Directions in development. Finance). - Incl. bibl. ref. - Ind.: p.269-279. - ISBN978-0-8213-8159-5
 

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Оглавление / Contents
 
Preface and Acknowledgments .................................... xi
Abbreviations .................................................. xv

Chapter 1
Evaluating the Financial Performance of Pension Funds ........... 1
   Heinz P. Rudolph, Richard Hinz, Pablo Antolin, and Juan 
   Yermo
Background and Motivation for the Research Program .............. 1
The Importance of Appropriate Measures of Performance ........... 3
Overview and Summary of the Book ................................ 7
Policy Implications of the Research Findings ................... 18
Notes .......................................................... 22
References ..................................................... 23

Chapter 2
Investment Performance of Privately Managed Pension Funds: 
Overview of the Available Data ................................. 25
   Pablo Antolin and Waldo Tapia
Description of Privately Managed Pension Funds around 
the World ...................................................... 26
Additional Problems with the Data Reported on Investment 
Returns ........................................................ 35
Preliminary Observations from the Initial Data Review .......... 35
Notes .......................................................... 36
References ..................................................... 37

Chapter 3  
Financial Performance of Pension Funds: An Exploratory Study ... 39
   Eduardo Walker and Augusto Iglesias
Introduction and Overview of Findings .......................... 39
Portfolio Performance Measurement .............................. 40
Required Data .................................................. 53
The Pension Fund Database ...................................... 56
Legal and Administrative Considerations ........................ 58
Results ........................................................ 60
Conclusions .................................................... 67
Annex: Country Performance Fact Sheets ......................... 69
Notes .......................................................... 94
References ..................................................... 94

Chapter 4
Portfolio Choice, Minimum Return Guarantees, and Competition
in Defined Contribution Pension Systems ........................ 97
   Pablo Castañeda and Heinz P. Rudolph 
A Model Economy ................................................ 99
Equilibrium Portfolios under Benchmarking Constraints ......... 103
Discussion .................................................... 107
Annex ......................................................... 108
Notes ......................................................... 115
References .................................................... 116

Chapter 5
Labor Market Uncertainty and Pension System Performance ....... 119
   Olivia S. Mitchell and John A. Turner
Pension Structures and Human Capital Uncertainty .............. 120
Interactions between Human Capital Uncertainty and Pension
Performance ................................................... 123
Integrating Human Capital Uncertainty into Models of Pension
Outcomes ...................................................... 131
Benchmarks for Pension Performance ............................ 139
Conclusions and Policy Implications ........................... 145
Notes ......................................................... 146
References .................................................... 151

Chapter 6
Pension Funds, Life-Cycle Asset Allocation, and Performance
Evaluation .................................................... 159
   Fabio С. Bagliano, Carolina Fugazza, and Giovanna
   Nicodano
Methodological Issues in Developing Optimal Portfolios That 
Include Pension-Specific Parameters ........................... 163
Asset Allocation with Human Wealth ............................ 168
A Basic Life-Cycle Model ...................................... 172
Welfare Ratios for Performance Evaluation ..................... 191
Conclusions ................................................... 194
Notes ......................................................... 197
References .................................................... 198

Chapter 7
Application of Advances in Financial Theory and Evidence to
Pension Fund Design in Developing Economies ................... 203
   Luis M. Viceira
Global Trends of DC Pension Systems ........................... 204
Policy Challenges of DC Pension Systems ....................... 205
Innovations in Pension Fund Design ............................ 207
Life-Cycle Investing .......................................... 209
Pension Fund Design in Developing Economies ................... 215
Performance Evaluation of Investment Options .................. 222
Concluding Remarks ............................................ 238
References .................................................... 239

Chapter 8
Future Directions in Measuring the Financial Performance of
Pension Funds: A Roundtable Discussion ........................ 243

Commentary by Keith Ambachtsheer .............................. 244
Commentary by Olivia Mitchell ................................. 251
Commentary by Luis Viceira .................................... 258
Commentary by Zvi Bodie ....................................... 264

Index ......................................................... 269

Figures

2.1  Total Assets and Asset Allocation, 2004 ................... 31

3.1  The Sharpe Ratio .......................................... 41
3.2  Sharpe Ratios of U.S. Stocks and Bonds, Five-Year
     Rolling Estimates ......................................... 50
3.3  Short-Term Local Currency Sharpe Ratios ................... 65
3.4  Long-Term Local Currency Sharpe Ratios .................... 66
3.5  In-Sample Selection Returns ............................... 67
3.6  Out-of-Sample Selection Returns ........................... 68

5.1  Patterns of Earnings over the Lifetime, with Wage Level
     Indicator: Excluding and Including Zero Earners .......... 125
5.2  Pension Contribution Patterns in Chile by Age:
     Percentage of Available Years in Which Contributions
     Were Made ................................................ 128
6.1  Labor Income Process ..................................... 178
6.2  Life-Cycle Profiles of Consumption, Income, and Wealth ... 179
6.3  Policy Functions: Sensitivity to Stocks .................. 180
6.4  Policy Functions: Sensitivity to Bonds ................... 180
6.5  Age Profiles of Optimal Stock and Bond Holdings 
     (Averages) ............................................... 182
6.6  Age Profiles of Optimal Stock and Bond Holdings, 
     Benchmark Case ........................................... 185
6.7  Age Profiles of Optimal Stock and Bond Holdings, High 
     Risk Aversion ............................................ 186
6.8  Age Profiles of Optimal Stock and Bond Holdings, Low 
     Replacement Ratio ........................................ 187
6.9  Age Profiles of Optimal Stock and Bond Holdings, High 
     Replacement Rate ......................................... 188
6.10 Age Profiles of Optimal Stock and Bond Holdings,
     Decreasing Replacement Ratio ............................. 189
7.1  Balance Sheet of Typical Plan Participant ................ 209
7.2  Balance Sheet of Typical Plan Participant with a Safe
     Job ...................................................... 210
7.3  Stylized Life-Cycle Asset Allocation ..................... 212
7.4  Realistically Calibrated Life-Cycle Portfolio 
     Allocation ............................................... 213
7.5  Correlations across International Equity Markets ......... 219
7.6  Estimated Live-Cycle Labor Earnings of Chilean Males ..... 223
7.7  Distribution of Labor Earnings in Final Working Year ..... 224

Tables

2.1  Privately Managed Pension Funds Included in This Study,
     by Country and Form of Provision .......................... 27
2.2  Investment Regulations .................................... 29
2.3  Basic Statistical Information on Real Investment Returns
     by Economy ................................................ 33
3.1  Performance Measures ...................................... 44
3.2  Example of Proper Calculations of Pension System 
     Returns ................................................... 54
3.3  General Description of the OECD Pension Fund Database ..... 57
3.4  Summary of Investment Regulations ......................... 59

5.1  How Human Capital Risks Translate into Pension Outcomes:
     A Framework .............................................. 124
5.2  Life-Cycle Earnings Profiles Reported in U.S. 
     Microdata ................................................ 126
5.3  Examples of Pension Modeling Approaches .................. 132
5.4  Simulated Difference between a DC Account Balance and 
     a DB Lump-Sum Amount: Age 65 Retirees Arrayed by Tenure
     Quintile (on Longest Job) and Lifetime Earnings 
     Quintile ................................................. 139
5.5  Sensitivity of Optimal DB Pension Replacement Rate to 
     Human Capital Risk ....................................... 140
6.1  Welfare Gains ............................................ 190
6.2  Welfare Ratios ........................................... 193

7.1  Portfolio Composition in Mandatory Pension Funds 
     (December 2007) .......................................... 215
7.2  Capital Markets Assumptions .............................. 226
7.3  Summary Table of Simulation Results ...................... 228
7.4  Simulation Results for Investment Strategies When Labor
     Income Is Nonstochastic .................................. 230
7.5  Simulation Results for Investment Strategies When Labor
     Income Is Stochastic and Uncorrelated with Stock 
     Returns .................................................. 232
7.6  Simulation Results for Investment Strategies When Labor
     Income Is Stochastic and Correlated with Stock Returns ... 234


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