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Private pension systems : cross-country investment performance


  • Musalem, Alberto R.
  • Pasquini, Ricardo


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.

Suggested Citation

  • Musalem, Alberto R. & Pasquini, Ricardo, 2012. "Private pension systems : cross-country investment performance," Social Protection and Labor Policy and Technical Notes 68937, The World Bank.
  • Handle: RePEc:wbk:hdnspu:68937

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    References listed on IDEAS

    1. Kemna, A.G.Z. & Ponds, E.H.M. & Steenbeek, O.W., 2012. "Pension funds in The Netherlands," Other publications TiSEM 1954d9b4-2e2d-4950-a770-2, Tilburg University, School of Economics and Management.
    2. Djankov, Simeon & McLiesh, Caralee & Shleifer, Andrei, 2007. "Private credit in 129 countries," Journal of Financial Economics, Elsevier, vol. 84(2), pages 299-329, May.
    3. 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.
    4. 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.
    5. Djankov, Simeon & La Porta, Rafael & Lopez-de-Silanes, Florencio & Shleifer, Andrei, 2008. "The law and economics of self-dealing," Journal of Financial Economics, Elsevier, vol. 88(3), pages 430-465, June.
    6. Jan Kakes, 2006. "Financial behaviour of Dutch pension funds: a disaggregated approach," DNB Working Papers 108, Netherlands Central Bank, Research Department.
    7. 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.
    8. Oscar Martínez A. & Andrés Murcia Pabón, "undated". "Desempeño financiero de los fondos de pensiones obligatorias en Colombia," Temas de Estabilidad Financiera 022, Banco de la Republica de Colombia.
    9. 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.
    10. Jorge A Chan-Lau, 2004. "Pension Funds and Emerging Markets," IMF Working Papers 04/181, International Monetary Fund.
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    Cited by:

    1. Senderski, Marcin, 2014. "Assessing the strictness of portfolio-related regulation of pension funds: Rethinking the definition of prudent," MPRA Paper 56610, University Library of Munich, Germany.
    2. Ling-Ni Boon & Marie Brière & Carole Gresse & Bas J. M. Werker, 2013. "Regulatory Environment and Pension Investment Performance," Post-Print hal-01492619, HAL.
    3. Domelen, Julie van, 2012. "Togo : towards a national social protection policy and strategy," Social Protection and Labor Policy and Technical Notes 89000, The World Bank.
    4. repec:dau:papers:123456789/13629 is not listed on IDEAS
    5. repec:sos:sosjrn:180107 is not listed on IDEAS
    6. Robalino, David A. & Weber, Michael, 2013. "Designing and implementing unemployment benefit systems in middle and low income countries : key choices between insurance and savings accounts," Social Protection and Labor Policy and Technical Notes 90348, The World Bank.
    7. Cerutti, Paula & Fruttero, Anna & Grosh, Margaret & Kostenbaum, Silvana & Oliveri, Maria Laura & Rodriguez-Alas, Claudia & Strokova, Victoria, 2014. "Social assistance and labor market programs in Latin America : methodology and key findings from the social protection database," Social Protection and Labor Policy and Technical Notes 88769, The World Bank.

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    Debt Markets; Emerging Markets; Mutual Funds; Economic Theory&Research; Currencies and Exchange Rates;

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