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Private pension systems : cross-country investment performance

  • Musalem, Alberto R.
  • Pasquini, Ricardo
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    This study investigates the performance of private pensions systems across countries a topic which has yet to be adequately addressed in the literature. Specifically, this study examines the relationship between pension fund performance (as captured by gross real rates of return and the three year standard deviation of those returns) and the structure of a country's private pension industry and the design of its pension schemes. A database covering 27 countries over the period 1990-2007 was created for this research. The study's key findings include: (i) higher returns are associated with size (systems with more assets under management tend to generate higher returns), type (occupational schemes tend to generate higher returns than do personal pension schemes and closed schemes tend to generate higher returns than do open schemes), and number (systems with multiple funds tend to generate higher returns than those with a single fund); and (ii) lower volatility in pension system returns is associated with older systems, voluntary (rather than mandatory) systems, systems with restrictions on foreign investing, and systems with minimum return guarantees.

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    File URL: http://www-wds.worldbank.org/servlet/WDSContentServer/WDSP/IB/2012/05/17/000333038_20120517013944/Rendered/PDF/689370NWP00PUB0ction0and0labor01214.pdf
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    Paper provided by The World Bank in its series Social Protection Discussion Papers with number 68937.

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    Date of creation: 01 May 2012
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    Handle: RePEc:wbk:hdnspu:68937
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    1. Lopez-de-Silanes, Florencio & Djankov, Simeon & La Porta, Rafael & Shleifer, Andrei, 2008. "The Law and Economics of Self-dealing," Scholarly Articles 2907526, Harvard University Department of Economics.
    2. Jan Kakes, 2006. "Financial behaviour of Dutch pension funds: a disaggregated approach," DNB Working Papers 108, Netherlands Central Bank, Research Department.
    3. Simeon Djankov & Caralee McLiesh & Andrei Shleifer, 2005. "Private Credit in 129 Countries," NBER Working Papers 11078, National Bureau of Economic Research, Inc.
    4. Eduardo Walker & Fernando Lefort, 2002. "Pension Reform And Capital Markets: Are There Any (Hard) Links?," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 5(2), pages 77-149.
    5. Solange Berstein & Rómulo Chumacero, 2005. "Cuantificación de los Costos de los Limites de Inversión para los Fondos de Pensiones Chilenos," Working Papers 3, Superintendencia de Pensiones, revised Apr 2005.
    6. Pereda Javier, 2007. "Estimación de la Frontera Eficiente para las AFP en el Perú y el Impacto de los Límites de Inversión: 1995-2004," Working Papers 2007-009, Banco Central de Reserva del Perú.
    7. Jorge A. Chan-Lau, 2004. "Pension Funds and Emerging Markets," IMF Working Papers 04/181, International Monetary Fund.
    8. Gary Burtless, 2007. "International Investment for Retirement Savers: Historical Evidence on Risk and Returns," Working Papers, Center for Retirement Research at Boston College wp2007-05, Center for Retirement Research, revised Feb 2007.
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