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Evaluating the Financial Performance of Pension Funds

Edited by Richard Hinz, Rudolph Heinz P., Pablo Antolín, Juan Yermo
Price: $35.00   *Geographic discounts available!


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Directions in Development : DID - Finance
English; Paperback; 296 pages; 6x9
Published January 14, 2010 by World Bank
ISBN: 978-0-8213-8159-5; SKU: 18159

Countries around the world are increasingly relying on individual pension savings accounts to provide income in old age for their citizens. Although these funds have now been in place for several decades, their performance is usually measured using methods that are not meaningful in relation to this long-term objective. The recent global financial crisis has highlighted the need to develop better performance evaluation methods that are consistent with the retirement income objective of pension funds.

Compiling research derived from a partnership among the World Bank, the Organisation for Economic Co-operation and Development (OECD), and three private partners, Evaluating the Financial Performance of Pension Funds discusses the theoretical basis and key implementation issues related to the design of performance benchmarks based on life-cycle savings and investment principles.

The book begins with an evaluation of the financial performance of funded pension systems using the standard mean variance framework. It then provides a discussion of the limitations inherent to applying these methods to pension funds and outlines the many other issues that should be addressed in developing more useful and meaningful performance measures through the formulation of pension-specific benchmark portfolios. Practical implementation issues are addressed through empirical examples of how such benchmarks could be developed. The book concludes with commentary and observations from several noted pension experts about the need for a new approach to performance measurement and the impact of the recent global financial crisis on pension funds.


Chapter 1. Evaluating the Financial Performance of Pension Funds
Heinz P. Rudolph, Richard Hinz, Pablo AntolĂ­n, and Juan Yermo
Background and Motivation for the Research Program • The Importance of Appropriate Measures of Performance • Overview and Summary of the Book • Policy Implications of the Research Findings

Chapter 2. Investment Performance of Privately Managed Pension Funds: Overview of the Available Data
Pablo AntolĂ­n and Waldo Tapia
Description of Privately Managed Pension Funds around the World • Additional Problems with the Data Reported on Investment Returns • Preliminary Observations from the Initial Data Review

Chapter 3. Financial Performance of Pension Funds: An Exploratory Study
Eduardo Walker and Augusto Iglesias
Introduction and Overview of Findings • Portfolio Performance Measurement • Required Data • The Pension Fund Database • Legal and Administrative Considerations • Results • Conclusions

Chapter 4. Portfolio Choice, Minimum Return Guarantees, and Competition in Defined Contribution Pension Systems
Pablo Castañeda and Heinz P. Rudolph
A Model Economy • Equilibrium Portfolios under Benchmarking Constraints • Discussion

Chapter 5. Labor Market Uncertainty and Pension System Performance
Olivia S. Mitchell and John A. Turner
Pension Structures and Human Capital Uncertainty • Interactions between Human Capital Uncertainty and Pension Performance • Integrating Human Capital Uncertainty into Models of Pension Outcomes • Benchmarks for Pension Performance • Conclusions and Policy Implications

Chapter 6. Pension Funds, Life-Cycle Asset Allocation, and Performance Evaluation
Fabio C. Bagliano, Carolina Fugazza, and Giovanna Nicodano
Methodological Issues in Developing Optimal Portfolios That Include Pension-Specific Parameters • Asset Allocation with Human Wealth • A Basic Life-Cycle Model • Welfare Ratios for Performance Evaluation • Conclusions

Chapter 7. Application of Advances in Financial Theory and Evidence to Pension Fund Design in Developing Economies
Luis M. Viceira
Global Trends of DC Pension Systems • Policy Challenges of DC Pension Systems • Innovations in Pension Fund Design • Life-Cycle Investing • Pension Fund Design in Developing Economies • Performance Evaluation of Investment Options • Concluding Remarks

Chapter 8. Future Directions in Measuring the Financial Performance of Pension Funds: A Roundtable Discussion
Commentary by Keith Ambachtsheer • Commentary by Olivia Mitchell • Commentary by Luis Viceira • Commentary by Zvi Bodie

  • Shipping Weight: 1.04 lbs (0.47 kgs)

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