February 2021

09Feb

2020 Global Equity Release Roundtable Survey

By EY In conjunction with the 2020 Global Equity Release Roundtable, representatives from each country attending have been surveyed to understand the details of how equity release markets operate in different countries. This document summarizes the survey responses received. The responses provided have not been verified by EY professionals and simply represents the views of the responders. The information in this pack should not be regarded as comprehensive or sufficient for making decisions, nor should it be used in...

February 9, 2021
Books, Investing, Pension Management, Reports,
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09Feb

Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints 2

By Bao Huy Doan , Jonathan J. Reeves , Michael Sherris Insurers and pension funds face the challenges of historically low interest rates and volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk adjusted return, after transaction costs. This paper studies these targeted volatility portfolios in applications to equity, balanced and target-date funds with varying constraints...

February 9, 2021
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07Feb

2020 Global Equity Release Roundtable Survey

By EY In conjunction with the 2020 Global Equity Release Roundtable, representatives from each country attending have been surveyed to understand the details of how equity release markets operate in different countries. This document summarizes the survey responses received. The responses provided have not been verified by EY professionals and simply represents the views of the responders. The information in this pack should not be regarded as comprehensive or sufficient for making decisions, nor should it be used in place...

February 7, 2021
Books, Investing, Pension Management, Reports,
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05Feb

2020 Global Equity Release Roundtable Survey

By EY In conjunction with the 2020 Global Equity Release Roundtable, representatives from each country attending have been surveyed to understand the details of how equity release markets operate in different countries. This document summarizes the survey responses received. The responses provided have not been verified by EY professionals and simply represents the views of the responders. The information in this pack should not be regarded as comprehensive or sufficient for making decisions, nor should it be used in...

February 5, 2021
Books, Investing, Pension Management, Reports,
Read more...
05Feb

Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints

By Bao Huy Doan, Jonathan J. Reeves, Michael Sherris Insurers and pension funds face the challenges of historically low interest rates and volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk adjusted return, after transaction costs. This paper studies these targeted volatility portfolios in applications to equity, balanced and target-date funds with varying constraints on leverage....

February 5, 2021
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January 2021

29Jan

CalPERS 2019-20 Annual Performance Report

By CalPERS The 2019-20 CalPERS Annual Performance Report provides a snapshot of our performance during the fiscal year and how we monitor our progress towards achieving our strategic goals and operational outcomes.* This report demonstrates our pledge to operate in an open and transparent manner. Our employees, members and stakeholders can see where we’re successful and where additional support may be needed. The pandemic hit the global economy very hard, but we’ve been preparing for...

January 29, 2021
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14Jan

Maximizing Utility of Withdrawals in Retirement and the Efficiency of Required Minimum Distributions

By Chester Chambers We focus on a simplified problem for a risk-averse retiree seeking to maximize utility associated with annual spending and a remaining value at the end of the problem horizon when the funds are extracted from a portfolio that includes a risk-free and a risky asset. To organize discussions about this setting we utilize a novel metric which we label “Efficiency”. This measurement compares the utility derived from annual withdrawals and the final value with a benchmark...

January 14, 2021
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November 2020

27Nov

Longevity Risk and Hedging Solutions

By Guy Coughlan, David P. Blake, Richard D. MacMinn, Andrew J. G. Cairns, Kevin Dowd Longevity risk – the risk of unanticipated increases in life expectancy – has only recently been recognized as a significant global risk that has materially raised the costs of providing pensions and annuities. We first discuss historical trends in the evolution of life expectancy and then analyze the hedging solutions that have been developed for managing longevity risk. One set of solutions has come...

November 27, 2020
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12Nov

“Pension Funds in Figures 2020”

By OECD Preliminary data for 2019 show that pension funds held USD 32.3 trillion in the OECD area and USD 0.7 trillion in 29 other reporting jurisdictions (Table 1). The United States exhibited the largest amount of assets in pension funds at end-2019 (USD 18.8 trillion), followed by the United Kingdom (USD 3.6 trillion), Australia (USD 1.8 trillion), the Netherlands (USD 1.7 trillion), Canada (USD 1.5 trillion), Japan (USD 1.4 trillion) and Switzerland (USD 1.0 trillion). These seven countries...

November 12, 2020
Books, Pension Management, Reports,
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12Nov

What Matters in the Annuitization Decision?

By Mohamad Hassan Abou Daya, Carole Bernard We conduct a simultaneous test for several rational and behavioral factors which have been hypothesized to affect the uptake of life annuities on a sample of American individuals. In addition, we investigate whether analysts’ stock market expectations affect the decision to annuitize retirement wealth. We provide evidence that the effect of such expectations depends on the level of trust in them. We attribute our findings to the availability heuristic and default probabilities....

November 12, 2020
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