Pension Fund Performance Measurement and Attribution

2015 ◽  
pp. 293-333
Keyword(s):  
Performance Measurement ◽  
Pension Fund ◽  
Fund Performance

The liability market value as benchmark in pension fund performance measurement

2014 ◽  
Vol 15 (1) ◽  
pp. 90-111
Author(s):  
LIDIA BOLLA ◽  
HAGEN WITTIG ◽  
ALEXANDER KOHLER
Keyword(s):  
Financial Crisis ◽  
Performance Measurement ◽  
Pension Fund ◽  
Market Value ◽  
Fund Performance ◽  
Pension Funds ◽  
New Approach ◽  
Corporate Pension ◽  
Recent Financial Crisis ◽  
Operational Tool

AbstractOften performance of pension funds is assessed based on the development of the assets only, neglecting the simultaneous development of the liabilities. This especially is the case in Switzerland, one of the world's largest markets for corporate pension funds. We create a new liability benchmark for referencing the asset performance. Measuring the asset performance with respect to the liability benchmark yields the Asset-Liability-Result. We apply the model to (i) the Swiss pension fund market as a whole and (ii) an individual Swiss pension fund. With our new approach, we are able to show that the pension funds’ recovery from the recent financial crisis took much longer than the value increase of the asset portfolios suggests. We strongly advocate the use of a liability benchmark for analyzing the entire pension fund markets’ performance and specifically as operational tool for individual pension funds.

Pension Fund Performance Measurement—the Way Ahead?.

1987 ◽  
Vol 30 ◽  
pp. 163-179
Author(s):  
T. J. A. Gardener
Keyword(s):  
Performance Measurement ◽  
Theoretical Basis ◽  
Pension Fund ◽  
Fund Performance ◽  
Pension Funds ◽  
Rate Of Return ◽  
Comprehensive Description ◽  
Investment Performance ◽  
The Way

In the last ten years Staple Inn has played host to two major discussions on performance measurement. In November 1976, Holbrook's definitive paper to the Institute set out in some detail the theoretical basis of performance measurement while in January 1980 Hager's paper to the Student's Society gave a detailed view of performance measurement in practice. Between them the two papers provide a fairly comprehensive description of what was, even in 1980, a relatively novel science for many U.K. pension funds. At the time of writing the majority of large- and medium-sized directly invested pension funds have their investment performance measured. Yet even after fifteen years of performance measurement in the U.K. some of the fundamentals of performance measurement are questioned and even disputed by a sizeable proportion of actuaries—for example in his March 1985 paper to the Faculty of Actuaries Marshall states, “This must call in question the validity of its (the Time Weighted Rate of Return) use for comparative purposes”.

Pension Fund Performance and Risk-Taking Under Decentralized Investment Management

2009 ◽  
Author(s):  
David P. Blake ◽  
Allan G. Timmermann ◽  
Ian Tonks ◽  
Russ R. Wermers
Keyword(s):  
Risk Taking ◽  
Pension Fund ◽  
Fund Performance ◽  
Investment Management

Measuring Pension Fund Performance: Another Comment

1966 ◽  
Vol 22 (3) ◽  
pp. 143-149
Author(s):  
Richard S. Bower ◽  
J. Peter Williamson
Keyword(s):  
Pension Fund ◽  
Fund Performance

scholarly journals Private Pension Fund Performance and Comparison with Basic Investment Instruments in Turkey

2015 ◽  
Author(s):  
Turgut Özkan ◽  
Özge Demirkale
Keyword(s):  
Pension Fund ◽  
Fund Performance ◽  
Pension Funds ◽  
Private Pension ◽  
Portfolio Performance ◽  
Social Expectation ◽  
The Social ◽  
Retirement Funds ◽  
Additional Income

In 2001, after the preparation of legal infrastructure in Turkey, private pension fund system started to be complementary to the Social Security system. There are many expectations from the private pension fund system both socially and economically. Social expectation is to direct individuals to alternative investment instruments to provide additional income for retirement. Economic expectation is to provide long-term funding to support the economic development. Pension fund companies have the most important responsibility to meet these expectations. In this study, the profits of investment instruments and individual pension funds are compared in a long term perspective, using three basic portfolio performance measures. The term between January 2004 and September 2014 have been considered. Investment alternatives have been discussed in detail. BIST100, deposit, gold and currency basket (USD+EUR) are the investment instruments that are compared with individual pension funds. In addition, individual pension funds have been analyzed on company basis and the achievements of the pension fund companies have been revealed during the term mentioned above. According to our analysis, it has been concluded that personal retirement funds lost value considerably, especially due to inflation.

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