Thesis (M.B.A.)--Boston University / PLEASE NOTE: Boston University Libraries did not receive an Authorization To Manage form for this thesis or dissertation. It is therefore not openly accessible, though it may be available by request. If you are the author or principal advisor of this work and would like to request open access for it, please contact us at open-help@bu.edu. Thank you. / 2031-01-01

Previous studies on pension provision in Ghana have ignored the impact of the 2008 Pension Reform on the governance and regulatory and solvency risk implications for pension provision in Ghana. The literatures on pension fund investment policy have also ignored the portfolio risk considerations of the absence of a risk-free asset in the domestic currency. However, in many countries, including Ghana, domestic government and corporate bonds carry significant credit risk. This thesis examines three major areas of pension provision in Ghana. Firstly, it examines the implications and challenges of the 2008 Pension Reform for pension provision in Ghana. Secondly, it examines the impact of the 2008 Pension Reform on the solvency and level of pensions of the State Pension Scheme (SPS) in Ghana. Thirdly, it examines the effects of the absence of a risk-free domestic government bond on the investment strategy of a defined benefit pension fund, taking Ghana as an example. The analysis is extended to examine the impact of restrictions placed on pension funds' overseas investments as prescribed by the 2008 Pension Act. It is shown that the inherent weaknesses in Ghana's pension system persist following the 2008 Pension Reforms, that pension provision in Ghana is challenged by several factors, that the governance structure remains broadly unchanged and that further reforms are needed to ensure adequate, equitable and sustainable pensions in Ghana. Several recommendations are made to enhance pension provision in Ghana. Model simulations show that the 2008 Pension Reform has enhanced the level of pensions; however, the reform has worsened the solvency of the SPS, largely as a result of structural and parametric changes affecting the level of contributions. Alternative reform policies are suggested to improve retirement income provision and the solvency of the SPS in Ghana. Analysis using a multi-period asset and liability model indicates that, in the absence of a risk-free domestic government bond and within an adjusted-CAPM framework, the optimal pension fund investment strategy may be a non-corner solution, which requires a higher initial minimum investment. It is found that ignoring the default probability of domestic government debt may lead to serious underestimation of pension fund risks, resulting in an underestimation of the minimum investment requirement. It is also found that the restrictions placed on pension funds' overseas investments, as prescribed by the 2008 Pension Act, impose additional costs on Ghanaian pension funds. JEL Classifications: Asset and Liability Modelling, Adjusted-CAPM, Asset Allocation, Credit Risk, Domestic Government Bonds, Defined Benefit Pension Funds, Default Probability, Economic Scenario Generator, Ghana, Governance, Minimum Investment Required, Overseas Investment Restrictions, Investment Strategy, Longevity Risk, Market Risk, Mortality, Pension Fund Risk, Pension Provision, Pension Policy Review, Pension Population Projection, Pension Reforms, Regulation, Solvency, Stochastic Modelling.

Title - “The Analysis of The Second Level of Pension Funds and Inspection in Lithuania”. Main definitions: pension, pension system, pension fund, welfare country, principles of law, acts of law, supervisory institution. In the summary there are mentioned all stages of this paper in short, which were used to reach the main paper’s goal: the introduction of the pension system in Lithuania, the analysis of principles of law and acts of law, the presentation of activity of supervisory institutions and the main ways of law regulation reaching to improve the activity of the second level of pension funds. The reform of pension system started a couple years ago in Lithuania. This reform is not a short process, but a long term influence to citizens, their income, capital market and state. Lithuania has three level pension system right now: I level – pensions are financed by current income and taxes (“Sodra”), II level – pension saving funds, III level – voluntary pension saving funds. The law analysis of the second level of pension funds was started with the principles of law, then was worked on the European Union acts of law and finally finished with the acts of law published by Seimas of Lithuania, Government and supervisory institutions. The analysis of acts of law published by supervisory institutions showed, that the same facts have been interpreting differently in Lithuania. That’s why reaching the effectiveness of pension funds, they should be improved. Lithuanian Securities... [to full text]

[pt] Um Fundo de Pensão deve casar o passivo atuarial de longo prazo com sua carteira de ativos, de tal forma que se encontre em equilíbrio. Abordar o aspecto dinâmico das reservas matemáticas é peça fundamental para a construção do Asset Liability Management (ALM) nos Fundos de Pensão. Este estudo tem por objetivo apresentar uma análise do modelo estocástico para o passivo atuarial de um Fundo de Pensão, com respeito à variabilidade de três parâmetros de risco utilizados no cálculo das reservas matemáticas: crescimento salarial, inflação e taxa de administração. Com isto, poderá ser desenvolvida a longo prazo uma política de integração entre o ativo e o passivo para os Fundos de Pensão. / [en] A pension fund has to match the porfolio of liabilities with the portfolio of assets to achieve equilibrium in the long term. Analysing the dynamics of pension liabilities is an instrument key for the construction of Asset Liability Management Models (ALM)for pension funds. The objective of the study is to present a sthocastic model of the liability portfolio of a pension fund from the point of view of the variability of three risk parameters used in the calculate of those liabilities: salary increase, inflation and expense rate. In the long term, the objetive is to develop an integrated policy for assets and liabilities in a pension fund.

Este trabalho teve como objetivo principal desenvolver um modelo para estimar o retorno anual de fundos privados de previdência complementar, PGBL/VGBL, que investiram em ativos de renda variável, entre 2007 e 2015. As variáveis utilizadas para discriminar as estratégias implementadas pelos gestores de fundos foram o beta do portfólio de ações, a taxa de administração cobrada pelo fundo e a porcentagem do patrimônio do fundo aplicada em ativos de renda variável. Os dados de 671 fundos diferentes foram extraídos do banco de dados Economática®. Os fundos estavam associados a 29 administradoras diferentes. Com esses dados, foi possível investigar a composição das carteiras de ações dos fundos administrados pelas principais instituições financeiras que operam no mercado brasileiro. Cada uma das principais administradoras de fundos manteve, no período, um padrão de seleção de portfólio de ativos de renda variável: a composição das carteiras acionárias de boa parte dos fundos pertencentes a uma mesma administradora, quando não idêntica, apresentou alto grau de similaridade. Para verificar se houve alguma diferenciação na estratégia de gerenciamento de fundos entre as principais administradoras, foram aplicados testes multivariados de igualdade de Wald. Foram encontradas diferenças estatisticamente significantes nas médias das variáveis que discriminaram estratégias de gestão dos fundos, dentro de um intervalo de confiança de 95%, em pelo menos uma das cinco principais administradoras de fundos. Os retornos anuais médios dos fundos, obtidos no período, estavam positiva e fortemente correlacionados ao principal índice de mercado de ações do Brasil, o Ibovespa. Esta descoberta indica uma possível passividade no gerenciamento de fundos, conforme encontrado por outros estudos acadêmicos. Especificamente, os fundos PGBL/VGBL com investimentos em ativos de renda variável que foram administrados pela administradora Itaú Unibanco SA obtiveram melhor desempenho médio, quando os retornos foram ajustados aos riscos incorridos. Para ajustar os retornos anuais ao risco, este trabalho apresentou, com base em um conjunto de premissas descritas no capítulo introdutório, uma metodologia que simplifica o cálculo das betas dos fundos, permitindo ordená-los com base em desempenhos ajustados ao risco. O modelo encontrado para estimar os retornos anuais dos fundos foi obtido por meio da técnica de regressão multinível com dados em painel. Tal modelo apontou, dentro do domínio temporal do estudo, que a cada ponto percentual adicional de taxa de administração cobrada pela instituição financeira, a estimativa de retorno ao investidor de determinado fundo era reduzida em um ponto percentual. Esta descoberta é mais uma evidência de passividade na gestão de fundos. Finalmente, a variação dos retornos anuais dos fundos é explicada principalmente pela variação na interação entre a porcentagem do patrimônio do fundo investido em ativos de renda variável e o retorno anual do Ibovespa. / This work aimed to develop a model for estimating the annual return of the most popular private retirement funds in the Brazilian market, PGBL/VGBL funds, that invested in variable-income assets, between 2007 and 2015. The variables used to discriminate the strategies implemented by the fund managers were the beta of the stock portfolio, the management fee charged by the fund, and the percentage of the fund assets applied in variable-income assets. Data from 671 different funds were extracted from the Economática® database. The funds were associated to 29 different financial institutions. With these data, it was possible to investigate the composition of the stock portfolios of the funds held by the main financial institutions that operate in the Brazilian market. Each of the main financial institutions maintained a pattern of portfolio selection for variable-income assets in the period: the composition of the equity portfolios of most of the funds managed by the same financial institution, when not identical, presented a high level of similarity. In order to verify if there was any differentiation in the fund management strategy among the main financial institutions, multivariate Wald equality tests were applied. Statistically significant differences in the average of the variables that discriminated fund strategies were found, within a 95% confidence interval, in at least one of the top fund financial institutions. The average annual returns of the funds obtained in the period were positive and strongly correlated to the main stock market index of Brazil, the Ibovespa. This finding indicates a possible passivity in fund management, as found by other academic studies. Specifically, the PGBL/VGBL funds with investments in variable-income assets that were managed by Itaú Unibanco SA obtained better average performance over the almost whole period, when returns were adjusted to the incurred risks. In order to adjust the annual returns to risk, this work presented, based on a set of assumptions described in the introductory chapter, a methodology that simplifies the calculation of the betas of the funds, allowing to order them based on risk adjusted performances. The model found to estimate the annual returns of the funds was obtained through the multilevel regression technique with data in panel. Such a model pointed out - within the time domain of the study - that at each additional percentage point of management fee charged by the financial institution, the estimated return on the investor of a given fund was reduced by the same one percentage point. This finding is one more evidence of passivity in fund management. Finally, the variation of the annual returns of the funds is mainly explained by the variation in the interaction between the percentage of the fund equity invested in variable-income assets and the annual return of the Ibovespa.

The pension fund industry affects an enormous proportion of the world population and consists of more than $20 trillion of assets globally. Hence the performance of pension funds has major effects. This thesis investigates the performance of personal pension funds in the UK, one of the leading pension industries in the world. It identifies two important factors that are largely overlooked in the related literature: fund’s age and management outsourcing. Based on the ‘career concerns’ argument by Holmström (1999), it tests whether fund performance is age dependent, and in particular, whether funds perform better when they are young than when they ‘mature’. Moreover, one of the major features of the pension fund industry has been the enormous growth in management outsourcing. This thesis addresses this issue and tests whether there are differences in the performance between outsourced and internally managed funds, and investigates potential determinants of the decision to outsource. It argues that a ‘fashion to outsource’ may be partially responsible for the trend. Given that a CAPM-APT based analysis is not appropriate for the data at hand, the thesis employs three alternative performance measures, two of which utilise fund-specific benchmarks. The results show that risk-adjusted returns are statistically insignificantly different from zero but funds significantly outperform their benchmarks. Performance is found to change with fund’s age but this relationship is more complex than a simple ‘career-concern’ argument would predict. Risk-adjusted returns of the internally managed and the outsourced funds are both indifferent from zero but the outsourced funds are better at outperforming their benchmarks. Lastly, there is some evidence of a ‘fashion to outsource’. This research is novel in several ways. It provides the first detailed investigation of the performance of the UK personal pension funds. It is the first to address the question of potential factors (other than managerial characteristics) that may explain fund performance. It discusses the rise of outsourcing in the industry and analyses differences/similarities between performance of the outsourced and the internal funds. Finally, it is the first to investigate whether the rapid increase in outsourcing is due to ‘fashion’.

Este trabalho teve como objetivo principal desenvolver um modelo para estimar o retorno anual de fundos privados de previdência complementar, PGBL/VGBL, que investiram em ativos de renda variável, entre 2007 e 2015. As variáveis utilizadas para discriminar as estratégias implementadas pelos gestores de fundos foram o beta do portfólio de ações, a taxa de administração cobrada pelo fundo e a porcentagem do patrimônio do fundo aplicada em ativos de renda variável. Os dados de 671 fundos diferentes foram extraídos do banco de dados Economática®. Os fundos estavam associados a 29 administradoras diferentes. Com esses dados, foi possível investigar a composição das carteiras de ações dos fundos administrados pelas principais instituições financeiras que operam no mercado brasileiro. Cada uma das principais administradoras de fundos manteve, no período, um padrão de seleção de portfólio de ativos de renda variável: a composição das carteiras acionárias de boa parte dos fundos pertencentes a uma mesma administradora, quando não idêntica, apresentou alto grau de similaridade. Para verificar se houve alguma diferenciação na estratégia de gerenciamento de fundos entre as principais administradoras, foram aplicados testes multivariados de igualdade de Wald. Foram encontradas diferenças estatisticamente significantes nas médias das variáveis que discriminaram estratégias de gestão dos fundos, dentro de um intervalo de confiança de 95%, em pelo menos uma das cinco principais administradoras de fundos. Os retornos anuais médios dos fundos, obtidos no período, estavam positiva e fortemente correlacionados ao principal índice de mercado de ações do Brasil, o Ibovespa. Esta descoberta indica uma possível passividade no gerenciamento de fundos, conforme encontrado por outros estudos acadêmicos. Especificamente, os fundos PGBL/VGBL com investimentos em ativos de renda variável que foram administrados pela administradora Itaú Unibanco SA obtiveram melhor desempenho médio, quando os retornos foram ajustados aos riscos incorridos. Para ajustar os retornos anuais ao risco, este trabalho apresentou, com base em um conjunto de premissas descritas no capítulo introdutório, uma metodologia que simplifica o cálculo das betas dos fundos, permitindo ordená-los com base em desempenhos ajustados ao risco. O modelo encontrado para estimar os retornos anuais dos fundos foi obtido por meio da técnica de regressão multinível com dados em painel. Tal modelo apontou, dentro do domínio temporal do estudo, que a cada ponto percentual adicional de taxa de administração cobrada pela instituição financeira, a estimativa de retorno ao investidor de determinado fundo era reduzida em um ponto percentual. Esta descoberta é mais uma evidência de passividade na gestão de fundos. Finalmente, a variação dos retornos anuais dos fundos é explicada principalmente pela variação na interação entre a porcentagem do patrimônio do fundo investido em ativos de renda variável e o retorno anual do Ibovespa. / This work aimed to develop a model for estimating the annual return of the most popular private retirement funds in the Brazilian market, PGBL/VGBL funds, that invested in variable-income assets, between 2007 and 2015. The variables used to discriminate the strategies implemented by the fund managers were the beta of the stock portfolio, the management fee charged by the fund, and the percentage of the fund assets applied in variable-income assets. Data from 671 different funds were extracted from the Economática® database. The funds were associated to 29 different financial institutions. With these data, it was possible to investigate the composition of the stock portfolios of the funds held by the main financial institutions that operate in the Brazilian market. Each of the main financial institutions maintained a pattern of portfolio selection for variable-income assets in the period: the composition of the equity portfolios of most of the funds managed by the same financial institution, when not identical, presented a high level of similarity. In order to verify if there was any differentiation in the fund management strategy among the main financial institutions, multivariate Wald equality tests were applied. Statistically significant differences in the average of the variables that discriminated fund strategies were found, within a 95% confidence interval, in at least one of the top fund financial institutions. The average annual returns of the funds obtained in the period were positive and strongly correlated to the main stock market index of Brazil, the Ibovespa. This finding indicates a possible passivity in fund management, as found by other academic studies. Specifically, the PGBL/VGBL funds with investments in variable-income assets that were managed by Itaú Unibanco SA obtained better average performance over the almost whole period, when returns were adjusted to the incurred risks. In order to adjust the annual returns to risk, this work presented, based on a set of assumptions described in the introductory chapter, a methodology that simplifies the calculation of the betas of the funds, allowing to order them based on risk adjusted performances. The model found to estimate the annual returns of the funds was obtained through the multilevel regression technique with data in panel. Such a model pointed out - within the time domain of the study - that at each additional percentage point of management fee charged by the financial institution, the estimated return on the investor of a given fund was reduced by the same one percentage point. This finding is one more evidence of passivity in fund management. Finally, the variation of the annual returns of the funds is mainly explained by the variation in the interaction between the percentage of the fund equity invested in variable-income assets and the annual return of the Ibovespa.

Viešojo administravimo magistro baigiamojo darbo tema aktuali kiekvienam dalyvaujančiam savanoriškam pensijų kaupime. Šiuo metu šis klausimas aktualus ypač dėl neramumų finansų rinkose, lėtėjančios ekonomikos pasaulyje, nes neatsakingas pensijų fondų valdymas gali pabloginti dalyvaujančiųjų finansinę padėtį ateityje, t.y. pabloginti Lietuvos socialinę padėtį. Pagrindinė magistro baigiamojo darbo užduotis yra išsiaiškinti, ar fondų valdytojai laikosi teisinių investavimo reikalavimų, ar jų nepažeidinėja siekdami uždirbti didesnę grąžą. Tam patikrinti buvo atliekamas vienos pasirinktos valdymo įmonės pensijų fondų valdymo auditas. Magistro baigiamajame darbe buvo siekiama aptarti audito esmę, apžvelgti jo raidą, išnagrinėti pagrindinius klausimus susijusius su investavimo auditu, apžvelgti Lietuvos pensijų sistemos ypatumus, aptarti ją reglamentuojančius teisės aktus ir atlikti pensijų fondų auditą, iškeliant hipotezę, ar pensijų fondai valdomi skaidriai, patikimai, fondo valdymo sistema aiški bei laikomasi teisės aktų reikalavimų. Darbe buvo naudojami tokie tyrimo metodai, kaip mokslinės literatūros analizavimas ir sisteminimas bei teisės aktų analizė. Visi minėti uždaviniai buvo įgyvendinti, o hipotezės patvirtintos ir padarytos išvados, kad pasirinktos įmonės valdomi pensijų fondai griežtai laikosi visų teisinių reikalavimų ir yra griežtai prižiūrimi vidaus kontrolės. Taip pat padaryta išvada, kad rinkų koregavimosi laikotarpiu buvo pasirinktas efektyvus fondų valdymas... [toliau žr. visą tekstą] / The subject of master‘s work in Public Administration is relevant for everyone lithuanian who participate in the second pillar pension system. At present the question is especially relevant when the market is turbulent, the economy is slowing in the world and negligent management of pensio funds could worsen the financial situation of people who participate in the second pillar pension system in their old age. The main task of master‘s work is to ascertain the fund‘s manager follows the law investment requirements, and they don‘t violate them for the reason to earn larger return. The audit for pension funds‘ management of one investment management company was performed to be sure that the fund‘s managers are in right way every time. There were discussed about the essence of audit and it‘s evolution, there were explored the main points of investing audit, there were reviewed the pension system‘s peculiarities of Lithuania and it‘s law documents and there were performed the audit of pension fund‘s management in this master‘s work. The hypothesis is described as the pension funds are managing clearly and reliably, the fund‘s management system is clear and the law requirements are invulnerable. The analysis methods which are using in study is the systematisation and analysis of nonfiction, analysis of law documents. All definited tasks were implemented at work and the hypothesis were confirmed. The conclusions of master‘s work was proposed: the pension funds of one checked... [to full text]

Estudos recentes sobre fundos de pensão dos servidores públicos trazem indícios de fatores relacionados ao maior risco assumido nos investimentos. Para a realidade brasileira, existem poucos trabalhos que abordam as aplicações dos Regimes Próprios de Previdência Social (RPPS), apesar da representatividade dos valores detidos e da expectativa de escassez futura para o pagamento das pensões aos servidores públicos. Esta dissertação de mestrado traz a primeira análise com amostra representativa da totalidade, sendo composta por 629 carteiras de investimentos de RPPS durante os exercícios de 2015 e 2016. Os resultados encontrados levam à conclusão de que o risco assumido e o retorno alcançado pelas carteiras estão positivamente relacionados ao tamanho do fundo em volume de recursos, e negativamente relacionados à maturidade do fundo. A análise da performance dos fundos indica a importância do funcionamento de um comitê de investimentos. / Recent studies on the public servants’ pension funds provide evidence of factors regarding the greater risk assumed on the investments. For the Brazilian scenario, there are few works approaching the investments of the Alternative Social Security Systems (RPPS, Regimes Próprios de Previdência Social), despite the representativeness of the amounts withheld and the expected scarcity for the payment of the public servants’ pensions. This dissertation makes the first analysis with a sample representing all the 629 RPPS investment portfolios during the fiscal years of 2015 and 2016. The results allow us to conclude that the risk taken on and the return achieved by the portfolios are positively related to the fund size in terms of volume of resources, and negatively related to the fund maturity. The analysis of the funds’ performance indicates the importance of a having an investment committee in place.

As últimas décadas são marcadas pelo florescimento de uma ampla gama de trabalhos que buscam esclarecer ou melhor dimensionar as mudanças financeiras. Essas pesquisas, mesmo não sendo um bloco e tendo suas diferenciações conceituais e de perspectiva, têm acompanhado as crises financeiras que periodicamente abalam o mundo. O conceito de financeirização, que é muito utilizado, foi marcado pela crise de 2008, sendo amplamente disseminado após esse momento. Como esse trabalho pretende ser enquadrado nessa nova agenda de pesquisa, parte-se de uma discussão conceitual sobre a propagada financeirização das economias para se aproximar dos possíveis impactos na cidade contemporânea. Uma das características marcantes da financeirização é a concentração e centralização de capitais na órbita de grandes agentes financeiros: os investidores institucionais. O trabalho toma como objeto de estudo um deles, o maior fundo de pensão da América Latina: a caixa de previdência dos funcionários do Banco do Brasil (PREVI) A investigação é realizada em duas “frentes” complementares: a relação do fundo diretamente como proprietária de imóveis e as marcas da PREVI como geradora de recursos para o SFI. Os dados foram retirados dos relatórios anuais da instituição, de informações colhidas em depoimento de pessoas ligadas à PREVI durante a CPI (Comissão Parlamentar de Inquérito) dos Fundos de Pensão, de documentos publicados por instituições de controle e fiscalização do segmento, entre outros. Como resultados, ressalta-se a PREVI como um ator com papel relevante na promoção da cidade contemporânea. Os seus mais de 43 imóveis, que vão do resort aos edifícios corporativos de luxo, fornecem indícios de que também no Brasil os investidores institucionais são capazes de afetar a cidade, principalmente as grandes, como São Paulo e Rio de Janeiro, pela sua posição privilegiada no território nacional. Percebe-se, assim, uma instituição que capta recursos em escala nacio / The last decades are marked by the flourishing of a wide range of works that seek to clarify or better scale the financial changes. These researches, while not being a block and having their conceptual and perspective differentiations, have followed the financial crisis that periodically shake the world. The concept of "financialization", which is broadly used, was marked by the crisis of 2008, being widely disseminated after that moment. As this work intends to be included in this new research agenda, it starts from a conceptual discussion about the propagated "financialization" of the economies to approach the possible impacts in the contemporary city. One of the hallmarks of "financialization" is the concentration and centralization of capital in the orbit of large financial agents: institutional investors. The study takes as its object one of them, the largest pension fund in Latin America: the pension fund of Banco do Brasil employees (PREVI) The investigation is carried out in two complementary "fronts": the relationship of the fund directly as property owner and the brands of PREVI as a source of funds for the SFI. The data were taken from the institution's annual reports, information collected from persons linked to PREVI during the CPI (Parliamentary Commission of Inquiry) of the Pension Funds, documents published by institutions of control and supervision of the segment, among others. As a result, PREVI stands out as an actor with a relevant role in promoting the contemporary city. Its more than 43 properties, ranging from the resort to the luxury corporate buildings, provide indications that in Brazil institutional investors are also capable of affecting the city, especially large ones, such as São Paulo and Rio de Janeiro, because of its privileged position in the national territory. Thus, is possible to perceive an institution that attracts resources at a national scale and applies them in privileged points for real estate valuation.