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1、S6Bus 皿回fi?喘UE。A-=qd-jpoBPBUBu-0-IUUJMoPULiJponABMON)u.pnpuovsc三.In。7ul：PBJ03-5A-q-57三3?-t-ul-0-0-zsAsdl-U-SUo-JP-SUoUAp-nb-PUBS-JBlB-JdOJddBl:PGJPtRqPUBs2:Pjqo.lOLU0+jl-0-0-JoO-Ojt-0dEIIlASalPBOJddqAUssUIInvestmentApproachDescriptionkNorwayModel(sovereignwealthfund)Traditionalstylecharacterizedby60
2、%40%equity/fixed-incomeallocation,fewalternatives,largelypassiveinvestments,tighttrackingerrorlimits,andbenchmarkasastartingposition.kEndowmentModel(universityendowment,也有SWF,DB)Characterizedbyhighalternativesexposure,activemanagementandoutsourcing.Pros:Highvalue-addedpotential.Cons:Expensiveanddiff
3、iculttoimplementformostsovereignwealthfundsbecauseoftheirlargeassetsizes.Highfees/costs13-95InvestmentApproachDescriptionCanadaModel(pensionplan,也有SWF)Characterizedbyhighalternativesexposure,activemanagement,andinternallymanagedassets.Pros:Highvalue-addedpotentialanddevelopmentofinternalcapabilities
4、.Cons:Potentiallyexpensiveanddifficulttomanage.1.DIModel(banks&insurers,也包括美国的DB和部分欧洲养老金)Characterizedbyfocusonhedgingliabilitiesandinterestrateriskincludingviaduration-matched,fixed-incomeexposure.Agrowthcomponentinthereturn-generatingportfolioisalsotypical(exceptionsbeingbankandinsurancecompanypor
5、tfolios).Pros:Explicitrecognitionofliabilitiesaspartoftheinvestmentprocess.Cons:Certainrisks(e.g.,longevityrisk,inflationrisk)maynotbehedged.1.PensionFundsPensionfundsarelong-termsavingandinvestmentplansdesignedtoaccumulatesufficientassetstoprovideforthefinancialneedsofretirees.Therearetwomaintypeso
6、fpensionplans:Definedbenefit,inwhichaplansponsorcommitstopayingaspecifiedretirementbenefitDefinedcontribution,inwhichcontributionsaredefinedbuttheultimateretirementbenefitisnotspecifiedorguaranteedbytheplansponsor.Globally,therearemanyvariationsandnuancesofthesetwobroadcategoriesofpensionplans.Types
7、ofPensionPlansAComparisonofDB&DCPensionPlanCharacteristicsDefinedBenefitPensionPlanDefinedContributionPensionPlanBenefitBenefitpayoutsaredefinedbyacontractbetweentheBenefitpayoutsaredeterminedbypaymentsemployeeandthepensionplan.theperformanceOfinvestmentsselectedbytheparticipant.ContributionsTheempl
8、oyeristheprimarycontributor,thoughtheemployeemaycontributeasTheemployeeistypicallytheprimarycontributoralthoughtheemployermaycontributeaswellormayhavealegalobligationtocontributeaWell.percentageoftheemployeessalary.InvestmentThepensionfunddetermineshowmuchtosaveandwhattoinvestintomeettheplanobjectiv
9、es.Theemployeedetermineshowmuchtosaveandwhattoinvestintomeetdecisionmakinghis/herobjectives(fromtheavailablemenuofinvestmentvehiclesselectedbytheplansponsor).TypesofPensionPlansCharacteristicsDefinedBenefitPensionPlanDefinedContributionPensionPlanInvestmentriskTheemployerbearstheriskthattheliabiliti
10、esarenotmetandmayberequiredtomakeadditionalcontributionstomeetanyshortfall.Theemployeebearstheriskofnotmeetinghis/herobjectivesforthisaccountintermsoffundingretirement.Mortalityriskispooled.Ifabeneficiarypassesawayearly,he/shetypicallyleavesaMortality/portionofunpaidbenefitsinLongevityriskthepooloff
11、settingadditionalbenefitpaymentsrequiredbybeneficiariesthatlivelongerthanexpected.Theemployeebearstheriskofnotmeetinghis/herobjectivesforthisaccountintermsoffundingretirement.Theemployeebearslongevityrisk.DB:StakeholdersPlansponsors(employers)mustmakecontributionstoplanassets.Poorinvestmentperforman
12、cewillresultinsponsorshavingtomakeextracontributionstoanunderfundedplan(i.e.,whenassetsarelowerthanliabilities).APlanbeneficiaries(employeesandretirees)facetheultimateriskthatanemployerdefaultsoncontributionstoplanassets.ATheinvestmentstaff,theinvestmentcommittee,and/ortheboardaredirectlyimpactedbyt
13、hesuccessorfailureoftheplan.AGovernmentsarestakeholdersinthattheyprovidetaxincentivesforemployeestosaveforretirementandtaxpayerswillultimatelyeecosts;OfPFoVidingwelfareforthosethathavefailedtoadequatelysaveforretirement.AShareholdersinthecorporateemployerarestakeholderssinceanunderfundedplanwillcaus
14、eabalancesheetliabilityandlowerincomeforthecompany.Itwillalsoleadtohigherfinancialrisk,whichwilllikelyincreaseSharePriCeVolatiIity.18-95DB:LiabilitiesandInvestmentHorizonTheliabilitiesofaDBpensionplanarethepresentvalueofthefuturepaymentsitwillmaketobeneficiariesuponretirementdisability,ordeath.Inest
15、imatingfuturebenefits,theplansponsormustmakeseveralkeyassumptions,suchasthegrowthrateofsalaries,expectedvesting,andmortalityanddisabilityassumptions.Vestingmeansthatemployeesonlybecomeeligibletoreceiveapensionaftermeetingcertaincriteria,typicallyaminimumnumberofyearsofservice.Acommonpensionindustrym
16、etricusedtogaugeassetsufficiencyisthefundedratio,alsoknownasthevestedbenefitindex(VBI)insomecountries.Thefundedratioisdefinedas:K竺痍瓷耍装衽亮升跑望噂望毛毛翟能把/缴碧衽朋理割果耍手割毛ftgL;WhenConsidertheriskrelativetotheplansponsor,swillingnessandabilitytoraisecontributionrates,gA=gL+riskpremiumDB:LiquidityNeedsPensionplans
17、mustmaintainenoughliquiditytopaytheirliabilitiesastheycomedue.Liquidityneedsaregenerallyhigherwhen:Theproportionofretiredlivesintheplanishigher,sinceretiredlivesarereceivingbenefitpayments.Frozenplanswillhavehigherliquidityneedsthannonfrozenplansduetobenefitsexceedingcontributions.Theworkforceofthee
18、mployerisolder,sincethetimetopaybenefitswillbeshorter.Theplanhashigherfundedstatus,sincethiswilllikelyleadtolowersponsorcontributionsandmorebenefitpaymentswillneedtobemetfromexistingplanassets.Theplanparticipantshavetheabilitytoswitchorwithdrawfromtheplan,aneventthatusuallytriggerspaymentstoparticip
19、ants.DC:StakeholdersPlan sponsors (employers): not facing the investment risk or IongeVity risk of the assets, retain important fiduciary responsibilities. These include ContFibUting to the plan, C)Veseeing the investment of Pgn assets, andOffering SUitable investment OPtionS to Plan participants.contributionsandinvestmentreturnsnotmeetingretirementneeds.TheyalsofacethelongevityriskoflivingIongerthanexpe
