养老金个人账户投资选择权的国际比较——以智利、新加坡、瑞典、澳大利亚为例

养老保障制度改革过程中,许多国家引入了以强制型个人账户形式存在的DC计划,它的最大特点是个人要承担积累阶段的投资风险和偿付风险。因此对于强制型个人账户基金投资过程中要求赋予个人投资选择权的呼声一直没有中断。本文以国际比较的视角对个人投资选择权进行了比较分析。     

养老金投资多元化是多赢之举

<正>养老保险基金投资运营基本方案已经形成,将在今年下半年按程序上报。为保障基金安全,在养老保险基金投资运营上将采取非常审慎的政策,对进入股市的资金比例将有所限制。专家建议,政策设计之中应逐步地放开个人投资选择权。同时应重视养老生命周期基金发展,这将极大地丰富共同基金的公募产品种类,刺激资本市场的发展。养老金收益低,养老保险甚至陷入收不抵支境地。"十几年来,基本养老保险金年均收益不到2%,低于CPI,     

国际养老基金投资管理模式比较及对我国的启示

本文对国际养老基金投资管理的两种模式进行比较研究,认为与法定机构模式相比,法人机构投资者模式更有利于养老基金的保值增值。结合我国资本市场实际情况,分析养老基金入市的热点问题,并对促进养老基金入市及其投资监管提出政策建议。     

个人帐户养老基金有效投资的模式选择

成立专门养老保险基金管理公司 实行这种模式的养老金个人帐户实行强制性供款基准制,计划参与者拥有个人帐户,可以自由选择养老基金公司.养老基金公司是经监管部门授权专门成立,其只能从事与养老基金有关的业务.这种模式的优点在于个人拥有充足的自由选择权,而且可能避免政府直接管理养老基金可能导致的腐败和不信任问题.但这种模式同时存在创建成本(set-up expense)和营销成本高、规模不经济、以及养老基金公司间的恶性竞争等问题.一般认为,在金融市场不发达、金融机构自律水平较低、内控制度和监管制度不健全时易于采取该模式.其典型代表是智利.     

资产型养老金是否应赋予个人投资选择权——基于风险态度异质性对资产配置影响的实证研究北大核心CSSCI

基于权责一致原则是否应该赋予个人在资产型养老金市场化投资中的选择权,是理论和实践层面亟待明确的重大论题。本文以黄金、股票、国债分别代表避险资产、权益类资产、固定收益资产,并据此构建投资组合;以活期存款利率为基准,将资产配置全过程划分为上升期、下降期和盘整期三个阶段;基于线性损失厌恶效用函数实证研究损失厌恶投资者的资产配置行为,计算不同情形下大类资产的最优配置权重和收益率,并与其他模型进行比较分析。实证结果表明,个人账户养老基金对不同大类资产的最优投资权重,随市场趋势及投资主体风险态度的差异而出现分化。这为资产型养老金制度下个人投资选择权的设计提供了参考。     

唐绍云：筹备养老金要多元化

“以房养老”仅仅是养老手段之一,个人养老手段应该多元化,并尽早进行养老规划。可通过投资股票、基金和购买商业养老保险以及其他理财产品,来完善个人养老保障。     

中国养老基金投资须快“转”缓“行”

养老基金入市一直是社会保障学界关注的焦点,也是政府政策实践的难点。中国养老基金面临结余与"空账"并存的畸形现状,这种畸态使得其投资具有一定特殊性,呈已做实个人账户基金和结余社会统筹基金投资并行的状况。目前,中国养老基金的投资情况不尽如人意,投资收益率尚不足以实现保值,更无法实现增值。面对中国的政策性资本市场,养老基金过高水平入市会绑架资本的市场化进程,从而不利于中国社会主义市场经济的发展。中国养老基金的投资可通过快"转"缓"行"策略在未来实现较为理性的发展。     

中小企业年金基金超额收益率的影响动因

中小企业年金的发展,关系到其作为养老保障体系第二支柱作用的发挥.本文以2012年第四季度至2019年第二季度适用于中小企业的52个集合年金计划为样本,使用Fama-Macbeth方法研究了管理费用和运营模式对中小企业年金基金超额收益率的影响.结果表明:对于中小企业年金基金而言,管理费用对其超额收益率产生显著负向影响,而运营模式未能产生显著影响.进一步按照基金规模分组后发现,对基金规模较小的一组,管理费用和运营模式均显著地影响了基金超额收益率,而这些在基金规模较大的一组中并未得到证实.最后,提出与基金收益率相挂钩的收费方式、多种运营模式并存以及赋予年金参与者更多投资选择权的相关建议.     

掌控养老钱的投资风险

我国养老基金多元化投资现状及发展趋势 目前我国的养老基金主要包括社会保险基金、企业年金以及个人养老储蓄，投资的范围主要限于买卖国债、银行存款和其他具有良好流动性的金融工具，包括上市流通的证券投资基金、股票、信用等级在投资级以上的企业债、金融债等有价证券。     

养老基金投资基础设施——以澳大利亚和加拿大为例

自从20世纪90年代初开始,澳大利亚和加拿大的养老基金已经开始向基础设施投资了.他们也是目前世界上将养老基金资产的最高比例配置在基础设施上的.这两个国家在养老基金基础设施投资方面各自特有的组织模式向仍然由“私募股权投资模式”占据主导地位的欧洲国家和美国提出了挑战.澳大利亚和加拿大养老基金投资基础设施的经验为政策制定者和投资者提供了及其重要的借鉴意义.     

Die Abgrenzung beitragsbezogener Pensionspläne aus Sicht des Asset-Liability-Managements

As a first step towards establishing models for the asset liability management (ALM) of contribution based pension plans of German pension funds it is important to characterize the essential properties of such plans. It is shown that it is not appropriate to assume an equivalence between such plans and a ?Beitragszusage mit Mindestleistung” (contribution based pension plan with investment guarantee). Although the plans under consideration grant the participation in the asset returns generated by the pension fund, they also guarantee a benefit level. This shows clearly that it is impossible to apply traditional ALM models for defined contribution plans — which in general provide no minimum benefit guarantee — to German pension funds without substantial alterations.     

英国“第二支柱”职业养老金改革及其效果分析--以《2008年养老金法案》为例

20世纪70年代以来,随着人口老龄化的加剧和财政压力的加重,英国由国家养老金、职业养老金和个人养老金组成的三支柱养老保险体系的改革呈现出私有化的特点,尤其鼓励大力发展职业养老金和个人养老金计划。《2008年养老金法案》中关于英国职业养老金计划的改革具有划时代的意义,其中“国家职业储蓄信托”提升了职业养老金计划的整体投资绩效;“自动加入”机制作为职业养老金计划由自愿性转向强制性的标志,极大地提高了职业养老金计划的参与率和覆盖面、增加了职业养老金计划的储蓄额。可以说,《2008年养老金法案》对英国职业养老金计划的发展起到了非常大的推动作用。     

美国养老金保值增值的法律保障及其经验借鉴

2007年,肇始于美国的次贷危机此后逐步演化成为席卷全球的金融危机。由于法律、法规的缺失,我国结余数万亿元的五项社会保险基金因大量存在银行而面临贬值风险,企业年金和全国社保战略储备基金也面临增值的挑战。金融市场发达的美国在此次席卷全球的金融危机中,由于有《社会保障法案》、《信托法》、《雇员退休收入保障法案》、《税法》等法律的保护,较好地解决了养老金保值增值的问题。我国应当借鉴美国社保基金保值增值的法律治理架构,规范相关法规、规章的立法步伐,以确保我国养老金的保值增值。本文试图从养老金保值增值的法律保障视角,来发掘处于金融危机飓风"风眼"中的美国法律是如何规避养老金风险的,作为中国之借鉴。     

基于虚拟经济理论的美国企业年金投资研究

企业年金基金投资是企业年金制度的主要内容之一,也是整个制度建设中最为关键和复杂的构成部分,投资绩效的好坏,直接影响并决定着企业年金事业的兴衰成败。美国企业年金制度已有100多年的历史,20世纪50年代企业年金开始采用信托投资方式,60多年来,信托投资由企业家的独立决策演化成美国企业年金资产管理的常规模式。虚拟经济理论是以马克思虚拟价值观为出发点发展出来的新理论,有不同的学术流派。本文以成思危教授阐发的虚拟经济原理作为理论工具,对美国企业年金基金投资运营展开研究,解析其经验教训,以期为我国企业年金制度建设提供参考。     

我国高校职业年金制度建设探讨

推动事业单位养老保险改革,对完善我国社会保障制度,保障事业单位人员权益具有重要意义。在实践过程中,我国于2008年启动了事业单位养老保险试点改革,但由于缺乏制度建设方面的深入探讨和成熟方案,导致改革效果不佳。为了破解事业单位养老保险改革难题,本文以高校教师职业年金为切入点,从受托模式、集合程度、参保比例、计划类型、缴费...     

Pension Funds and Emerging Markets

This paper focuses on the investment behavior of pension funds in developed and emerging market countries. First, it analyzes the main determinants of the emerging market asset allocation of pension funds in developed countries. Second, it assesses how pension funds in emerging markets have contributed to the development of local securities markets. Third, it analyzes the determinants of pension funds' investment performance. The paper concludes with a discussion of why the emerging market asset allocation of pension funds in developed countries is likely to increase and what the challenges faced by pension funds in emerging markets are.     

The Role of the Auditor in Modern Society: An Exploratory Essay

This paper examines competing proprietary and political cost arguments for incentives facing managers of different types of Australian and UK pension fund, to voluntarily disclose pension liability information in annual reports sent to their participants. For Australian defined benefit pension funds, the disclosure reveals the fund's actuarial surplus or deficit, which conveys information to participants about the pension fund's ability to generate future cash flows. Tests are conducted on the voluntary reporting practices of a sample of 119 Australian and 100 UK pension funds, using variables which prior research suggests affects their financial valuation and performance. The empirical results support predictions that managerial discretionary disclosure carries proprietary cost implications for Australian defined benefit pension funds, as proxied by their investment risk and funding ratio, and political cost implications for Australian defined contribution and UK defined benefit pension funds, as proxied by their size.     

How much does tax erode fund excess returns?

We model the tax drag from active fund management based on reported monthly holdings of active equity funds. Tax drag erodes 65 percent of the 0.74 percent excess return in Broad Market funds, but only 21 percent of the 1.80 percent excess return in Small-Cap funds for Australian superannuation (pension) fund investors. Tax drag varies with investment style; market state, which is most detrimental during bull markets; and fund turnover. For high-income individual investors, tax drag is exacerbated to the extent that active management only generates meaningful after-tax excess return for Small-Cap funds of certain styles.     

An analysis of risk-taking behavior for public defined benefit pension plans

This paper presents the first comprehensive study on the determinants of public pension fund investment risk and reports several new important findings. Unlike private pension plans, public funds undertake more risk if they are underfunded and have lower investment returns in the previous years, consistent with the risk transfer hypothesis. Furthermore, pension funds in states facing fiscal constraints allocate more assets to equity and have higher betas. There also appears to be a herding effect in that CalPERS equity allocation or beta is mimicked by other pension funds. Finally, our results suggest that government accounting standards strongly affect pension fund risk, as higher return assumptions (used to discount pension liabilities) are associated with higher equity allocation and portfolio beta.     

Investor sophistication and risk taking

Using investment policy data of 857 Dutch pension funds during 1999–2006, we develop three indicators of investor sophistication. The indicators show that pension funds’ strategic portfolio choices are often based on coarse and less sophisticated approaches. First, most pension funds round strategic asset allocations to the nearest multiple of 5%, similar to age heaping in demographic and historical studies. Second, many pension funds invest little or nothing in alternative, more complex asset classes, resulting in limited asset diversification. Third, many pension funds favor regional investments and as such do not fully employ the opportunities of international risk diversification. Our indicators are correlated with pension fund size, in line with the expectation that smaller pension funds are generally less sophisticated than large pension funds. Using the indicators for investor sophistication, we show that less sophisticated pension funds tend to opt for investment strategies with less risk.