Pension Fund Performance Research Articles

Performance of Personal Pension Funds in Portugal

This paper analyses the performance of personal pension funds in Portugal, during the period from 1999 to 2016, providing the first detailed analysis of this matter. Three performance measures are used: the Sharpe ratio, the difference between the returns of the fund and its benchmark, and the M2 measure. The findings show that the performance of these funds is very low and that their returns are not significantly different from zero, which might be the result of government-imposed limits concerning asset allocation. Additionally, evidence was found confirming that these funds, on average, underperform their benchmarks. Tax gains seem to be the main reason why people decide to invest a portion of their wealth in these funds, rather than in other investment forms where there are no penalties in the case of early withdrawals.

Does ownership moderate the effects of size on pension funds’ efficiency and investment performance?

This study aims to explore the effect of specific characteristics of pension funds: size, efficiency, and ownership on pension fund performance. Specifically, it aims to obtain empirical evidence of whether pension fund ownership moderates the effect of size and efficiency on pension fund performance. We use annual financial statements obtained from the Indonesian Pension Fund Association (ADPI) for the period 2013-2017. The sampling technique generates the final sample of 167 pension funds and number of observations 835 firm-year. Using panel regression, we find that pension fund size has no significant positive effect on pension funds efficiency and investment performance. In addition, ownership does not moderate the effect of pension fund size on the efficiency and investment performance of pension funds. We suggest that large pension funds do not necessarily generate revenues higher than investment costs. Hence, our results inform the Financial Service Authority (FSA) to encourage pension funds to utilize their large size to generate higher revenues and exhibit more positive performance. JEL Classification: G22, G32 DOI : https://doi.org/10.26905/jkdp.v24i3.4108

Статистический анализ пенсионного обеспечения регионов Центральной России

The scientific article discusses the analytical capabilities available to statistical science for conducting a comprehensive statistical analysis of the pension system of citizens in the regions of Central Russia. In particular, we are talking about statistical modeling based on methods of correlation and regression of the average monthly accrued pension from factors characterized by the performance of regional pension funds

Effect of Corporate Governance, Investment Strategy and Macroeconomic Factors on Financial Performance of Pension Schemes in Kenya

Pension schemes form a significant part of the global investment portfolio. In Kenya, they hold over 13% of the country’s GDP (OECD, 2018). Their importance is underscored by the fact that they contribute significantly to growth and development of world economies (Kakwani, Davis, 2005; Heijdra, Ligthart & Jency, 2006). Their financial performance is critical to the provision of retirement benefits. Khan, Nouman & Imran (2015) observed that the financial performance indicates measures to which economic goals of an organisation has been accomplished over particular time period. Pension schemes however, face numerous challenges that can render the generation of retirement benefits inadequate. A number of studies have been undertaken to evaluate the impact of factors that influence performance of pension funds resulting in mixed and sometimes inconclusive findings. This study sought to assess the effect of corporate governance, investment strategy, interest rate, inflation rate, exchange rate and GDP growth rate on performance of pension funds in Kenya. The study was done using annual data on pension funds and economic indicators spanning the period 1997 to 2018. In addition, it used questionnaires to gather data on corporate governance and investment strategy indices. Quantitative and correlational research design using Linear regression model was used to assess the effect of corporate governance, investment strategy, interest rate, inflation rates, GDP growth rates and exchange rate on pension performance. The study findings show that these factors had significant impact on pension funding. They however, varied on their individual contribution to the prediction of funding level of each pension fund. The study concludes that pension fund management and policy makers should take into consideration the effects of macroeconomic factors, corporate governance and investment strategy in decision making on investment plans to ensure generation of adequate funds to fulfill their key objective of providing retirement benefits to the members.

Pension fund equity performance: Patience, activity or both?

Abstract We study how pension fund (out)performance is influenced by a) a pension fund’s activity, i.e., how much the pension fund deviates in its stock allocation from typical pension fund behavior, and b) whether the pension fund is patient in exploiting investment opportunities (measured by stock holding duration). We do not find that high activity or higher holding duration, separately, lead to higher risk adjusted returns on average. However, if high activity is paired with long-term holdings, the pension fund’s performance increases. Quantitatively, if an active pension fund increases its duration by one standard deviation, annual returns tend to increase by 2.3%. Our findings indicate that some pension funds are patient enough to exploit long-term investment opportunities.

완전적립식 국민연금 재정 달성 가능성 분석

This paper studies the feasibility of fully funded scheme for National Pension Service. Taking 1) contribution rate, 2) pension fund performance, and 3) government subsidy as control variables, we apply linear programming techniques to identify optimal policy design to achieve long term financial goals of National Pension Service. The results are rather frightening. Had the pension policy been revised in 2015, the fully funded scheme can be achieved with a marginal increase of the contribution rate. However, in 2020, a very high contribution rate along with a sharp increase of investment risks and large amount of government subsidies are required to achieve the goals. If the pension reform is delayed by 2025, achieving fully funded scheme becomes infeasible.

Pension System in Poland: Performance of Pension Funds

The significant increase of the old-age-dependency ratio in Poland after the collapse of the centrally planned economy required transformation of the retirement system to adopt it to the current situation. Therefore the essential reform of the pension system in Poland took place in 1999, when the one-pillar – pay as you go system was replaced by the three-pillars system consisting of mandatory, pay-as-you-go pillar; mandatory, fully funded pillar; and voluntary, funded pillar. However problems concerning budget deficit in Poland caused that the Polish government introduced essential changes concerning distribution of the pension contribution between both mandatory pillars and in the pension funds’ portfolio composition in 2011 and 2013. The aim of the research is to analyze the performance of the pension system in Poland in the years 2000-2013. The performance of private pension funds will be evaluated and compared to the “performance” of so-called national scheme.

Evaluation of the Financial Performance of Pension Funds. Empirical Evidence: Kosovo, Albania and North Macedonia

Purpose: This research paper aims to analyze the evaluation of the financial performance of pension funds, to find the relationship between contributions, return on investment and net asset value with pension fund performance. The following research questions have been asked in order to realize the purpose of the research: What are the factors affecting the performance of the pension fund? What is the relationship between pension fund performance and contributions, return on investment, and net asset value?
 Methodology: For the specification of the econometric model of this study, we rely on secondary data published in official World Bank reports and reports of pension funds in Kosovo, Albania and North Macedonia. To measure the empirical results, these statistical tests are used: standard multiple regression, fixed effects model, random effect model, and Hausman Taylor Regression.
 Findings: Based on the empirical results, we can conclude that the increase in gross domestic product, return on investment, contributions and net assets have positively influenced the performance of pension funds for the countries included in the study. The other independent variable, the exchange rate, on the basis of econometric estimations, has turned out to be non-significant.
 Practical implications: The empirical results of this study may recommend that relevant institutions in Kosovo, Albania and North Macedonia undertake reforms towards the creation of efficient pension systems, and these reforms are of crucial importance for pension systems, which have an economic and social character in their function as fund accumulators and benefit distributors for the categories in need.
 Originality: The study is conducted with secondary data and all the empirical analysis are original based on the authors' calculations through econometric models. Through the results of this study we aim to provide additional empirical evidence on the performance of pension funds in Kosovo, Albania and North Macedonia, recommending that relevant institutions improve the functioning of the pension system, as it is a very important part of a financial system of a country which has an impact on economic growth.
 Keywords: financial performance, pension fund, contributions, net assets, return on investment

Investment performance, regulation and incentives: the case of Chilean pension funds

AbstractWe examine the investment performance of Chilean pension funds during their multi-fund period (2003–17). Using tradable asset class benchmarks, we extend Sharpe's (1992) return-based style analysis by explicitly considering regulatory restrictions and currency hedging. We find that despite the significant differences between pension fund manager returns, they are statistically similar to our style benchmarks for all fund types. Furthermore, accounting for currency hedging improves the accuracy of the replicating portfolios and the selection return estimates. Our results have policy implications for investment regulation of pension systems with similar characteristics to the Chilean one.

Kako tržišno učešće utiče na povećanje vrednosti investicione jedinice dobrovoljnih penzijskih fondova?

The importance of this research stems from highly concentrated markets of voluntary pension funds, on the one hand, and intensive competition pressure among market participants, on the other. The main purpose of this paper is to evaluate the static and dynamic relationship between a pension fund's market share and value of its investment unit. The research was designed to monitor the changes in the size of market share and investment units in the period from 2008 to 2017 in the funds in the Republic of Serbia. The main findings suggest that the size of market share of individual voluntary pension funds has no influence on the growth of investment unit value. Contrary to the static approach, the dynamic approach argues that the changes of market share affect the performance of voluntary pension funds. The obtained results indicate that the performances of individual pension funds do not depend on their size, but rather on their ability to occupy a larger portion of the market and increase their market share. This paper provides a systematic review of the relevant empirical literature on internal and external determinants of a pension fund's performance. It represents a significant contribution to the understanding of market factors, such as market share and value of investment units.

The Efficiency of Mandatory Pension Funds: Case of Croatia

Abstract The aim of this paper is to examine performance of pension funds in Croatia, or more precisely, to measure the technical efficiency of mandatory pension funds. The main role of the pension funds is to collect and invest the money contributed by the employer or the employee during working years until retirement. Therefore, development of pension funds as institutional investors is especially important for capital markets as well as for the whole economy. By applying the methodology of data envelopment analysis on a sample of 12 DMUs, i.e. four mandatory pension funds divided into three categories (A, B or C) for 2015-2018 period, we provide further evidence on their efficiency level. The results have shown very small differences among relative inefficient pension funds.

Comparative Analysis on the Flow-Performance Relationship between Public Equity and Fiduciary Pension Funds

This study analyzes the flow-performance relationship and the convexity of public equity and fiduciary pension funds in Korea from January 2003 to May 2016. The empirical implications are as follows: First, as shown in the literature, a statistically significant positive correlation exists between cash flows and the performance of public equity and fiduciary pension funds. Second, flow-performance convexity is found for public equity funds but not for fiduciary pension funds. This may be due to the difference in investor characteristics between the public equity and fiduciary pension funds, rather than the difference in investor taxability, as, unlike in the US, Korean public equity fund investors are exempt from capital gain taxes. Key words: Public Equity Funds; Fiduciary Pension Funds; Performance; Flow; Convexity JEL Classification: G10, G20

Examining the financial performance of pension funds focused on sectors related to sustainable development goals

ABSTRACTThe main aim of this study is to examine the financial performance achieved by pension funds that invest in one of the sectors related to sustainable investment goals such as agribusiness, healthcare, energy, infrastructure, technology, and natural resources or in several sectors that have adopted environmental (green) or ethical criteria. This study employs both Carhart and Bollen and Busse models on a sample of 1,546 pension funds commercialized around the world from January 2007 to December 2018. The results indicate that some pension funds investing in one specific sector involved in the sustainable development goals are able to beat the market and conventional pension funds. Concretely, using conditional and unconditional Carhart models, it was found that the technology-related pension fund category achieves the largest mean risk-adjusted return, while the energy-related pension fund category obtains the lowest mean risk-adjusted return, indicating that restricting the investment universe does not reduce the risk-adjusted return. The source of this financial performance mainly comes from the successful stock-picking abilities shown by managers specialized in the technology sector and the poor selectivity skills shown by managers specialized in the energy sector, which indicate that investment opportunities differ among sustainable development goal-related sectors.

Нормативно-правовые риски и стабильность негосударственных пенсионных фондов России

<span>В статье оценивается влияние отдельных изменений законодательства России на стабильность функционирования негосударственных пенсионных фондов (НПФ). В ходе исследования авторы заключили, что законодательные новации последних лет негативно воздействуют на рынок негосударственных пенсионных услуг: способствуют уходу с него части игроков, нестабильности функционирования НПФ и уменьшению доверия населения к ним. Кроме того, резкие институциональные изменения (смена мегарегулятора, необходимость акционирования и вступления НПФ в систему гарантирования пенсионных накоплений, повышение требований к размеру уставного капитала) привели к снижению эффективности и краткосрочному ухудшению показателей деятельности негосударственных пенсионных фондов.</span>

Performance evaluation of the Turkish pension fund system

Purpose The purpose of this paper is to provide an in-depth performance evaluation of funds offered by the Turkish pension system. Design/methodology/approach This paper compares aggregate fund index returns with the corresponding asset class returns, estimates a factor model to decompose excess returns to factor exposures, i.e., β return and excess return originating from residual α and analyzes persistence of fund returns using migration tables and Fama–MacBeth regressions and tests for market timing ability. Findings Majority of pension funds are unable to generate excess returns. Majority of funds are unable to generate a positive α and fund returns are predominantly driven factor exposures. There is evidence for slight persistence in returns, mainly due to factor exposures and funds do not exhibit market timing ability. Originality/value In this paper, the authors perform an in-depth analysis of pension fund performance for the Turkish pension fund system. The authors identify weaknesses and strengths of the pension fund industry and provide policy recommendations for a better design of pension fund system.

ANÁLISIS DE LOS FONDOS DE PENSIONES EN CHILE: PERIODO 2011-2018

The objectives of this study are: 1) Carry out a comparative study of the performance of the different pension funds of each of the AFPs; 2) Carry out a comparative study of the historical performance of the different pension funds of each of the AFPs and compare them, in addition, with results of previous studies carried out by other authors. The scope of this paper is defined as a descriptive-correlational investigation, because it is intended to identify the results of the management of investment portfolios, without manipulating the variables of the problem, these are iden- tified and described as they occur in their context financial, to then analyze them from a temporal and quantitative comparative perspective, based on the Principle of Investor Rationality of Harry Markowitz and applying the Sharpe, Treynor, Jensen and Omega ratio as performance models. An important result observed is that, for this period of 8 years, all AFPs and funds present positive monthly average returns, even though the years 2011 and 2018 show losses, especially funds A, B and C. For their part, the benchmark of Market (IPSA) shows a negative performance. The financial performance ratios are all positive, which indicates that the performance / risk ratio is satisfied. The different returns between AFP and IPSA are explained because pension funds have a high percentage of invest- ments abroad and include fixed income instruments. A more relevant comparison would be to reference the actual results with those of an equivalent fictitious portfolio, but to date, there are no studies that allow defining the parame- ters necessary to form said portfolio. Non-traditional ratios, such as Omega, are coincident when the distributions of the results have a normal configuration. In addition, the conclusion is shared with previous studies, that the AFPs tend to keep portfolios similar to each other, trying not to fall below the profitability of the system.

The Impact of Stocks and Bonds on Pension Fund Performance

The Impact of Stocks and Bonds on Pension Fund Performance

Factors Influencing Performance of Pension Funds: Evidence From Lapf in Tanzania

Factors Influencing Performance of Pension Funds: Evidence From Lapf in Tanzania

The Stock Investment Performance of Pension Funds in China

ABSTRACT This article analyzes the investment performance of China’s National Social Security Fund (CNSSF) in the stock market. The results show that the investment performance of entrusted social security funds is better than that of direct investment by China’s National Council for Social Security Fund. The annual risk-adjusted return on entrusted investment is 9.54% higher than that of direct investment. This article further investigates the performance of entrusted investment with respect to each entrusted fund company and finds that only 5 of the 16 entrusted social security funds generate significantly positive risk-adjusted returns, suggesting the existence of a principal-agent problem in entrusted investment. Controlling for factors such as the fund’s asset allocation and the characteristics of the fund family, we find that private information contributes to the investment performance of the CNSSF. Moreover, we find a synergistic effect between private information and the extent of alumni networks among fund managers at a company and a substitution effect between private information and the degree of closeness of those alumni networks on investment performance.

Оцінка результатів діяльності недержавних пенсійних фондів на фінансово-кредитному ринку України

Оцінка результатів діяльності недержавних пенсійних фондів на фінансово-кредитному ринку України