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Download Asset Allocation Considerations for Pension Insurance Funds: by Christian Hertrich PDF

By Christian Hertrich

​The critical learn target of the dissertation is to evaluate the suitability of Social liable Investments (SRIs) in addition to substitute investments for the strategic asset allocation of German Pension coverage money (Pensionskassen). utilizing a Vector blunders Correction version, we estimate the information producing technique of the underlying enter variables. A bootstrap simulation permits producing destiny go back paths of the underlying portfolios. those go back distributions will as a consequence be used as enter for various asset allocation strategies.The empirical result of our study examine supply important conclusions: (1) SRI-structured portfolios constantly practice larger than traditional portfolios, (2) together with replacement investments has a helpful impact at the risk-return distribution and (3) by-product overlay constructions mitigate draw back possibility publicity with out impacting typical fund functionality. by way of substitute allocation types, (1) high-equity portfolios result in a rise in go back volatility with out sufficiently compensating traders with better returns, (2) hedging opposed to fee raises by means of engineering a portfolio with inflation-suitable resources yields combined effects, (3) a portfolio composition that mixes spinoff overlay techniques for either equities and company bonds and makes use of SRI-screened resources as underlying generates the simplest results.

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Additional info for Asset Allocation Considerations for Pension Insurance Funds: Theoretical Analysis and Empirical Evidence

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92 B. Workspace Changes Profound transformations in the workspace have led to additional pressure on the statutory pension system. Flexible working hours, an increase in lowpaid jobs, part-time employment, the growing relevance of contract workers as well as a higher number of free-lance employees have led to considerably lower contributions to the state pension system and simultaneously longer periods of absence from employment. As a consequence of these new employment struc90 91 92 See Statistisches Bundesamt, (2009), p.

This political movement was perceived as a danger to the monarchy and to the ruling elites of the country at that time. 52 Germany’s white-collar employees did not have any pension insurance coverage until 1911, when a separate social insurance to the prevailing scheme of 1889 was introduced. This differentiation of the German workforce, though intentional, created a two-class system, as white-collar employees benefited from higher pension benefits and longer entitlement periods than workers did.

As we have already discussed, the German regulator allows Pension Insurance Funds to invest a certain proportion of their regulated investment portfolio into alternative asset classes. To date, nonetheless, the funds allocated into alternative assets remain negligibly low. Our research study will investigate whether alternative investments should be added to the portfolio mix of Pension Insurance Funds and how the resulting asset composition may impact expected risk-return distributions, in particular in terms of downside risk mitigation.

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