December 2023
08Dec

Money Illusion in Retirement Savings with a Minimum Guarantee

By Catherine Donnelly, Gaurav Khemka & William Lim We investigate the impact of money illusion on the investment strategy and retirement outcomes of pre-retirees. Money illusion refers to the tendency of individuals to overlook the effects of inflation and focus on nominal rather than real terms. We solve and compare the optimal investment strategies for a pre-retiree who exhibits money illusion and aims to maximize the expected power utility of wealth at retirement, subject to a minimum guarantee constraint. While...

December 8, 2023
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01Dec

2023 Prudent Pension Funding Report: A story of positive trends and persistent outliers

By Michael Hall  In the wake of last year’s market turbulence, are most corporate pension plans still on a pathway to achieving full funding? Yes, according to our latest research. Our 2023 Prudent Pension Funding Report reveals most (97%) corporate pension plans can achieve full funding without a significant draw on corporate cash, based on the respective firms’ latest disclosures as well as market and interest rate movement so far in 2023. This finding increased from 86% in last year’s report. Despite...

December 1, 2023
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01Dec

Augmenting the Funded Ratio: New Metrics for Liability Based Plans

By Sanjiv Ranjan Das, Daniel N Ostrov, Anand Radhakrishnan, Deep Srivastav & Wylie Tollette The primary metric used to determine the health of a liability based plan (LBP) is the funded ratio, which is the ratio of the LBP’s current assets to its present-valued liabilities. The funded ratio, however, cannot accommodate a considerable number of important financial factors, so we suggest three additional metrics of financial health, each connected to the probability of fulfilling the plan’s liabilities. The first two...

December 1, 2023
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October 2023
27Oct

Determinants of Portfolio ESG Performance: An Attribution Framework

By James J. Li We develop a parsimonious attribution framework for evaluating the ESG performance of a portfolio. Our attribution model decomposes portfolio ESG performance into three principal components: a value effect, a weighting effect, and an interaction effect. We illustrate our approach using the equity portfolios of U.S. public pension funds over time. We find that U.S. public pensions’ positive ESG performance over the past decade is mainly due to their underlying holdings boosting their ESG scores over this...

October 27, 2023
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20Oct

Global Pension Risk Survey: UK Findings 2023/24

By Aon The Global Pension Risk Survey has been running every two years for over a decade and it gives the pension industry great insight into how the pensions landscape has developed. The 2023 findings show that many pension schemes are grappling with recent challenges including persistent high inflation, rising interest rates and a raft of regulatory change. Schemes are having to prioritise carefully which actions they will address and when, while also navigating the risk of non-compliance as well as...

October 20, 2023
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September 2023
22Sep

2023 Retirement Plan Landscape Report

By MorningStar  Millions of Americans rely on the U.S. retirement system to save and invest for their futures. Similarly, the system depends on new employers offering retirement plans to replace plan closures. Expanding access to employer-sponsored retirement plans is essential to ensuring Americans are saving enough for the future, but it’s also necessary for the current system to address its weakness. In the second iteration of our annual report, we take a comprehensive look at the overall health of the...

September 22, 2023
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01Sep

Exploring the Impact of Information Environment on ESG Disclosure Behavior: Evidence from National Pensions and Foreign Investors

By Jong Won Choi, Suk Hyun & Ju Hyoung Park  This study examines the impact of institutional investors on the environmental, social, and governance (ESG) disclosures of Korean companies listed on Bloomberg from 2011 to 2020. We find that while institutional investors encourage general ESG disclosure, they do not influence materiality-based ESG disclosure. Interestingly, materiality-based ESG disclosures decrease when institutional investors are major shareholders, suggesting a potential decline in disclosure quality. The study also finds a positive relationship between materiality-based...

September 1, 2023
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August 2023
25Aug

Longevity Risk and Capital Markets: The 2021-22 Update

By David P. Blake, Malene Kallestrup Lamb & Jesper Rangvid  This Special Issue of the Journal of Demographic Economics contains 10 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 16: The Sixteenth International Longevity Risk and Capital Markets Solutions Conference that was held in Helsingør near Copenhagen on 13-14 August 2021. It was hosted by PerCent at Copenhagen Business School and the Pensions Institute at City,...

August 25, 2023
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25Aug

Unbundling Climate Change Risk from ESG

By Jeffrey N. Gordon  The divergence between the United States and the European Union over ESG disclosure and compliance policy for asset managers and companies is a striking feature of the corporate governance landscape. This divergence derives at least in part from differences in core features of the relevant political economy. In particular, retirement security in the US is significantly tied to stock market values; this is not so in Europe. The US is a petro-state, the world’s largest producer...

August 25, 2023
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July 2023
21Jul

U.S. Public Pensions Are Building for The Long-Term. How Pension Plans Are Reacting After A Year Of Shocks.

By Ortec Finance U.S. public sector pension plans are planning ahead for the potential impact of further economic and market shocks, a new report from Ortec Finance, the leading global provider of risk and return management solutions for pension funds and other institutions, shows. Its report based on a study* of U.S. public sector pension plan managers at U.S. public sector pension plans who collectively help manage over $1.315 trillion, found 90% plan to increase spending on scenario modeling and stress...

July 21, 2023
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