IDEAS home Printed from https://ideas.repec.org/p/crp/wpaper/143.html
   My bibliography  Save this paper

A Reporting Standard for Defined Contribution Pension Plans

Author

Listed:
  • Kees de Van

    (Syntrus Achmea Vermogensbeheer)

  • Daniele Fano

    (Tor Vergata University)

  • Herialt Mens

    (Aegon Asset Management)

  • Giovanna Nicodano

    () (University of Torino and CeRP-Collegio Carlo Alberto)

Abstract

We propose a method for projecting pension benefits, deriving from DC pension plans and other funded products, at retirement. Projections highlight how the current choice of asset allocation impacts on future potential retirement outcomes. The latter are compared with a money-back benchmark so as to clarify the trade-off between risk and return. After the initial projections, the pension plan revises its forecasts of retirement benefits on a yearly basis as a function of its own realized returns. Previous shorter-term projections are also compared to shorter-term ex-post performance. This simple method is a step towards an industry-reporting standard that responds to regulators’ quest for helping investors monitor the risk of their future pension.

Suggested Citation

  • Kees de Van & Daniele Fano & Herialt Mens & Giovanna Nicodano, 2014. "A Reporting Standard for Defined Contribution Pension Plans," CeRP Working Papers 143, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  • Handle: RePEc:crp:wpaper:143
    as

    Download full text from publisher

    File URL: http://fileserver.carloalberto.org/cerp/WP_143.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. LuisM. Viceira & John Y. Campbell, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March.
    2. Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2014. "Optimal Life-Cycle Portfolios for Heterogeneous Workers," Review of Finance, European Finance Association, vol. 18(6), pages 2283-2323.
    3. Elton, Edwin J. & Gruber, Martin J. & Blake, Christopher R., 2007. "Participant reaction and the performance of funds offered by 401(k) plans," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 249-271, April.
    4. repec:dau:papers:123456789/9296 is not listed on IDEAS
    5. Campbell, John Y & Viceira, Luis M, 2005. "The Term Structure of the Risk-Return Tradeoff," CEPR Discussion Papers 4914, C.E.P.R. Discussion Papers.
    6. Joao F. Cocco, 2005. "Consumption and Portfolio Choice over the Life Cycle," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 491-533.
    7. Ralph S. J. Koijen & Theo E. Nijman & Bas J. M. Werker, 2010. "When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?," Review of Financial Studies, Society for Financial Studies, vol. 23(2), pages 741-780, February.
    8. Guercio, Diane Del & Tkac, Paula A., 2008. "Star Power: The Effect of Monrningstar Ratings on Mutual Fund Flow," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(04), pages 907-936, December.
    9. Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449.
    10. Marie Briere & Ombretta Signori, 2012. "Inflation-hedging portfolios: Economic regimes matter," ULB Institutional Repository 2013/253373, ULB -- Universite Libre de Bruxelles.
    11. Rakowski, David & Wang, Xiaoxin, 2009. "The dynamics of short-term mutual fund flows and returns: A time-series and cross-sectional investigation," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2102-2109, November.
    12. LuisM. Viceira & John Y. Campbell, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March.
    13. Pablo Antolin & Olga Fuentes, 2012. "Communicating Pension Risk to DC Plan Members: The Chilean Case of a Pension Risk Simulator," OECD Working Papers on Finance, Insurance and Private Pensions 28, OECD Publishing.
    14. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
    15. John Y. Campbell & Martin Feldstein, 2001. "Introduction to "Risk Aspects of Investment-Based Social Security Reform"," NBER Chapters,in: Risk Aspects of Investment-Based Social Security Reform, pages 1-10 National Bureau of Economic Research, Inc.
    16. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381.
    17. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing for the Long-run in European Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 35-80, January.
    18. Friesen, Geoffrey C. & Sapp, Travis R.A., 2007. "Mutual fund flows and investor returns: An empirical examination of fund investor timing ability," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2796-2816, September.
    19. John Y. Campbell & Martin Feldstein, 2001. "Risk Aspects of Investment-Based Social Security Reform," NBER Books, National Bureau of Economic Research, Inc, number camp01-1.
    20. Guercio, Diane Del & Tkac, Paula A., 2002. "The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(04), pages 523-557, December.
    21. repec:bla:eufman:v:21:y:2015:i:4:p:742-789 is not listed on IDEAS
    22. Berstein, Solange & Fuentes, Olga & Villatoro, Félix, 2013. "Default investment strategies in a defined contribution pension system: a pension risk model application for the chilean case," Journal of Pension Economics and Finance, Cambridge University Press, vol. 12(04), pages 379-414, October.
    Full references (including those not matched with items on IDEAS)

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:crp:wpaper:143. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Silvia Maero). General contact details of provider: http://edirc.repec.org/data/cetorit.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.