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Pension Fund Performance

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Author Info
Pablo Antolín

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Abstract

This report provides an analysis of aggregate investment performance by country on a risk adjusted basis using relatively standard investment performance measures. The report also describes privately managed pension funds around the world and the regulatory environment they face. It compares pension funds across countries according to total assets under management and asset allocation, and briefly discusses certain issues surrounding the data reported by pension funds and regulators on investment returns.

La Performance des Fonds de Pensions
Ce rapport fournit une analyse par pays des performances d‘investissement ajustées en fonction du risque et en utilisant des mesures de performance standards. Le rapport décrit également les fonds de pensions privées dans le monde et les régulations auxquels les fonds doivent satisfaire. Il compare les fonds de pension par pays selon leurs actifs totaux et l‘allocation de ceux-ci, et examine brièvement les problèmes avec les données rapportées par les fonds de pension et les régulateurs concernant le rendement des investissements.

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File URL: http://dx.doi.org/10.1787/240401404057
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Publisher Info
Paper provided by OECD, Directorate for Financial and Enterprise Affairs in its series OECD Working Papers on Insurance and Private Pensions with number 20.

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Date of creation: Aug 2008
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Handle: RePEc:oec:dafaab:20-en

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Related research
Keywords: asset allocation; investment performance; Markowitz mean-variance portfolio maximization; pension fund; returns on investment; Sharpe ratio; allocation des actifs; fonds de pension; maximisation du portefeuille Markowitz mean-variance; performance des investissements; Sharpe ratio;

Find related papers by JEL classification:
C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions

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This page was last updated on 2009-11-17.

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