[pt] Os fundos de previdência complementar fechados, também conhecidos como fundos de pensão, através da geração de poupança interna e na ampliação do investimento produtivo desempenham uma participação importante no desenvolvimento da economia. O presente trabalho teve como objetivo verificar o desempenho dos fundos de pensão, no período de 2010 a 2014. No total foram analisadas as rentabilidades anuais de 60 fundos, sendo que 30 de patrocinadores privados e 30 de patrocinadores públicos. Esta pesquisa procura analisar o desempenho destes fundos e verificar se estes possuem uma rentabilidade satisfatória, avaliar se existe diferença de gestão entre fundos com patrocinadores de empresas públicas e privadas e posteriormente para determinar os fatores de risco das carteiras dos fundos seria utilizado o modelo proposto por Sharpe, conhecido como analise de estilo baseado em retorno. A avaliação dos desempenhos dos fundos foi realizada por modelos quantitativos clássicos como índice Sharpe, índice de Modigliani e índice de Treynor. A pesquisa de fundos de previdência complementar fechada se justifica, pelos poucos estudos publicados, pelo crescimento continuo das discussões sobre análise de desempenho e estilo de gestão nestes fundos. / [en] Closed pension funds, also known as pension funds, through domestic savings generation and expansion of productive investment play an important role in developing the economy. This study aimed to verify the performance of pension funds in the period 2010 to 2014. In total the annual returns of 60 funds were analyzed, of which 30 private sponsors and 30 public sponsors. This research seeks to analyze the performance of these funds and to determine whether they have a satisfactory profitability, assess whether there are differences in management between funds with sponsors of public and private companies and subsequently to determine the risk factors of the portfolios of the funds would be used the model proposed by Sharpe, known as return-based style analysis. The evaluation of the performance of the funds was performed by classical quantitative models as Sharpe ratio, Modigliani index and Treynor index. The survey closed pension funds is justified by the few published studies, the continued growth of discussions on analysis of performance and style of management in these funds.

The increased penetration of servitization is an ongoing trend within the industrial machinery space. This typically means that industrial machinery manufactures themselves retain ownership of the machinery they manufacture whilst also taking over maintenance operations. Essentially, offering customers a netresult. Servitization has several documented benefits for both customers and manufactures. Forcustomers it offers certainty in terms of operationality and costs. Whilst for manufacturers it generates stability in revenue generation and increasingly ties customers closer to their orbit. On a different note, record low interest levels coupled with developments within asset management such as the endowment model has resulted in that institutional investor such as pension funds have redirected capital towards alternative assets such as non-listed real assets. The shift has been so profound that many are struggling to find attractive real assets and thus institutional capital is looking for new types of real assets. Servitization and institutional investment has largely existed in separate silos. The study has studied an intersection of these two domains and has firstly found that servitized industrial machinery has several core attributes clearly align with infrastructure. These traits include non-cyclical and long-term revenue, long(er) lifetime, quasimonopolistic, and environmental benefits. The study indicates that as servitization becomes more widespread, industrial manufactures realize that servitization will result in more deployed capital. Therefore, companies will need to find new forms of financing for their servitization operations. From a financing point of view, companies prefer debt-based financing such as asset backed securities such that operational control can still be had. The study found that the core attributes of servitization and its closeness to infrastructure is appealing for institutional investors and see it as a possible future real asset investment class however, institutional investors feel unsure how to properly gauge the longevity of specific types of industrial machinery. Institutional investors who participated in the study have almost exclusively invested in real asset through equity. However, in regard to the financing of servitized industrial machinery, investors are also willing to invest via debt, if the expected returns justify the risk taken. The study indicates that there is a clear linkage between servitized industrial machinery and infrastructure whilst also demonstrating a substantial interest from industrial machinery manufacturers and institutional investors to engage with each other for the financing of servitized industrial machinery going forward. / Inom maskintillverkningsindustrin har tjänstefiering (servitization) blivit en allt viktigare del. Tjänstefiering innebär att maskintillverkare behåller ägandeskap av de maskiner de tillverkar samtidigt som de ansvarar för underhållet av dessa. Därmed erbjuder maskintillverkare sina kunder en tjänst dvs kapabiliteten i vad en industriell maskin kan leverera. Tjänstefieringen av industriella maskiner har ett flertal dokumenterade fördelar både för kunder och maskintillverkare. För kunder innebär tjänstefiering en ökad kännedom kring kostnader och en ökad säkerhet för att maskiner skall fungera. För maskintillverkare medför tjänstefieringen ökad stabilitet i försäljning samt ökar betydelsen av dem hos sina kunder. På ett helt annat plan, har rekordlåga räntenivåer tillsammans med utveckling inom fondförvaltning såsom endowment modellen resulterat i att institutionella investerare allokerat en allt större andel av sitt kapital i alternativa tillgångar såsom i icke-noterade reala tillgångar. Detta skifte har resulterat i att många investerare har svårt att hitta tillräckligt attraktiva tillgångar då kampen om dessa reala tillgångar hårdnat vilket har resulterat till att driva upp priset på dessa tillgångar. Tjänstefiering och institutionell investering har till stor del existerat i skilda domäner. Denna studie har undersökt en skärningspunkt mellan dessa två domäner och har bland annat funnit att tjänstefierade industriella maskiner besitter flera likheter med infrastruktur så som icke-cykliska och långsiktiga intäktströmmar, långa tekniska livslängder, kvasi-monopolistisk ställning samt positiva hållbarhetsaspekter. Industriella maskintillverkare som deltagit i studien vittnar om att nya finansieringsformer kommer behövas då tjänstefieringen med all sannolikhet kommer utgöra en väsentlig del av affären framöver och därmed binda mer kapital, allt annat lika. För att finansiera denna affär föredrar företagen skuldfinansiering då det blir enklare att hantera organisatoriskt. Studien finner att attributen av tjänstefierade industriella maskiner och dess likheter med infrastruktur är intressanta för investerare och de ser detta som en framtida realtillgångsklass. Däremot känner sig investerarna osäkra kring hur man skall beakta livslängden kring olika typer av maskiner. Investerare som deltagit i studien har tidigare allokerat ytterst lite av sina realtillgångar via skuldinstrument. Investerare är däremot öppna att investera vi både skuldtillgångar och via eget kapital, såvida den förväntade avkastningen upplevs som fördelaktig i relation till den risk som tas. Studien indikerar att den finns en koppling mellan tjänstefierade industriella maskiner och infrastruktur samt visat att det finns intresse från både investerare och maskintillverkare för att nya former av finansiering för tjänstefierade industriella maskiner i framtiden.

[pt] Em sistemas de pensão de contribuição definida (CD),o agente regulador em geral impõe restrições de alocação (mínimo e máximos por classe de ativo,como renda fixa, ações, empréstimos, etc.) como objetivo de criar fundos com diferentes perfis de risco-retorno. Neste trabalho, desafiamos essa abordagem e mostramos que tais fundos apresentam perfis de risco-retorno erráticos que desviam significativamente do design desejado. Nós propomos a substituição de todas as restrições de limites máximo se mínimos por uma medida única que controla o risco financeiro diretamente. Dessa forma,fundos com diferentes perfis de risco retorno podem ser estabelecidos imediatamente ao variarmos tal medida. Nós demonstramos a eficácia dessa abordagem com dados do sistema de pensão chileno. Mais especificamente, mostramos que nossa metodologia resulta em fundos cujos perfis de risco-retorno estão consistentemente ordenados de acordo com o design desejado e exibem performance superior em comparação com os fundos criados com o uso de restrições delimites de alocação. / [en] In defined contribution (DC) pension schemes, the regulator usually imposes asset allocation constraints (minimum and maximum limits by asset class, e.g. equities, bonds, realestate, loans, etc.) in order to create funds with different risk-return profiles. In thiswork we challenge this approach and show that such funds exhibit erratic risk-return profiles that deviate significantly from the intended design. We propose toreplace all minimum and maximum asset allocation constraints by a single risk metric (or measure) that controls risk directly. Thus, funds with different risk- return profiles can be immediately created by adjusting the risk tolerance parameter accordingly. We demonstrate the effectiveness of this approach with data from the Chilean DC pension system. Specifically, we show that our approach generates funds whose risk-return profiles are consistently ordered according to the intended design and out perform funds created by means of asset allocation limits.

El Sistema de Pensiones Privado (SPP) del Perú es operado por cuatro Administradoras de Fondos de Pensiones (AFP): Habitat, Prima, Integra y Profuturo, quienes administran los aportes mensuales de los trabajadores afiliados. El presente trabajo de investigación tuvo como objetivo determinar la eficiencia técnica de cada una de las Administradoras de Fondos de Pensiones del Perú, 2015 – 2021, para así establecer si la asignación de sus recursos se mantiene eficiente a pesar de los cambios dados en los últimos años al SPP. La metodología utilizada para el desarrollo de la investigación fue de tipo aplicada con nivel explicativo con análisis estadísticos descriptivos. El nivel de eficiencia fue obtenido a través del modelo de Análisis Envolvente de Datos (DEA), el cuál mide la eficiencia de las empresas por medio de su capacidad individual para maximizar sus recursos con un cierto nivel de entrada. Para ello, se seleccionaron como variables de entrada a los gastos de personal y a la inversión en activos fijos y como variable de salida a los ingresos operacionales, con data obtenida en la Superintendencia de Banca, Seguros y AFP (SBS). Se obtuvo como resultado que las cuatro administradoras de fondos existentes son eficientes técnicamente puesto que se encuentran en el rango establecido para considerarse eficientes técnicamente [0.5-1], resaltando la fluctuación obtenida para la AFP Integra dentro de dicho rango para los años de estudio. Con ello, se concluye que las AFP en el Perú emplean adecuadamente sus recursos siendo eficientes técnicamente durante los años de estudio. / The Private Pension System (SPP) of Peru is operated by four Pension Fund Administrators (AFP): Habitat, Prima, Integra and Profuturo, who manage the monthly contributions of affiliated workers. The objective of this research work was to determine the technical efficiency of each of the Pension Fund Administrators of Peru, 2015 - 2021, in order to establish if the allocation of their resources remains efficient despite the changes in recent years. years to SPP. The methodology used for the development of the research was applied with an explanatory level with descriptive statistical analysis. The level of efficiency was obtained through the Data Envelopment Analysis (DEA) model, which measures the efficiency of companies through their individual capacity to maximize their resources with a certain input level. For this, personnel expenses and investment in fixed assets were selected as input variables and operating income as output variable, with data obtained from the Superintendency of Banking, Insurance and AFP (SBS). It was obtained as a result that the four existing fund managers are technically efficient since they are in the range established to be considered technically efficient [0.5-1], highlighting the fluctuation obtained for AFP Integra within said range for the years of study. With this, it is concluded that the AFPs in Peru adequately use their resources, being technically efficient during the years of study.

Prior to the introduction of section 37C into the Pension Funds Act. 24 of 1956, the benefit payable as a result of the death of a member would devolve in accordance with his last will and testament or the provisions of intestate succession. The advent of section 37C brought a statutory regime which expressly excludes freedom of testation and rather looks to the board of a fund to distribute the death benefit. The board may only pay the dependants of a deceased (either factual or legal) or the persons he has recorded on his nomination form. The section relies on the board to exercise its discretion in a manner which results in an equitable distribution of the death benefit notwithstanding that it does not provide any guidelines as to how this is to be achieved. Accordingly, numerous decisions are challenged by the identified beneficiaries because they are unhappy with the manner in which the board exercised its discretion. This results in complaints being lodged with the Pension Funds Adjudicator. Many such complaints should never have arisen or could have been easily solved by a proper exercise of discretion on the part of the board. The problem is that these complaints are adding to an already burdened office. Adequate training and understanding of the obligations of section 37C would probably result in fewer complaints to the Adjudicator. This dissertation examines whether the determinations which have been issued by the Adjudicator in respect of section 37C indicate a need for such training and understanding and, if they do, what possible remedies there might be to cure such a problem. Recommendations arising from this are that trustees must receive training focused on section 37C and proposed practical protocols to assist a board when exercising its duty to make an equitable distribution. / Jurisprudence / LL.M.

Prior to the introduction of section 37C into the Pension Funds Act. 24 of 1956, the benefit payable as a result of the death of a member would devolve in accordance with his last will and testament or the provisions of intestate succession. The advent of section 37C brought a statutory regime which expressly excludes freedom of testation and rather looks to the board of a fund to distribute the death benefit. The board may only pay the dependants of a deceased (either factual or legal) or the persons he has recorded on his nomination form. The section relies on the board to exercise its discretion in a manner which results in an equitable distribution of the death benefit notwithstanding that it does not provide any guidelines as to how this is to be achieved. Accordingly, numerous decisions are challenged by the identified beneficiaries because they are unhappy with the manner in which the board exercised its discretion. This results in complaints being lodged with the Pension Funds Adjudicator. Many such complaints should never have arisen or could have been easily solved by a proper exercise of discretion on the part of the board. The problem is that these complaints are adding to an already burdened office. Adequate training and understanding of the obligations of section 37C would probably result in fewer complaints to the Adjudicator. This dissertation examines whether the determinations which have been issued by the Adjudicator in respect of section 37C indicate a need for such training and understanding and, if they do, what possible remedies there might be to cure such a problem. Recommendations arising from this are that trustees must receive training focused on section 37C and proposed practical protocols to assist a board when exercising its duty to make an equitable distribution. / Jurisprudence / LL. M.

本文探討退休金發展程度與投資策略對股票市場發展的影響，並同時採用「縱橫門檻迴歸模型」（panel threshold model, PTM）及結合縱橫門檻模型與穩健迴歸的「穩健縱橫門檻迴歸模型」（robust panel threshold model, ROPTM）來研究此一議題。我們用退休基金投資證券市場的金額佔總額的比例為分類標準，將樣本分為高投資比例與低投資比例兩部分。對部分OECD國家及台灣的panel data分析後之結果顯示：在股票市場方面，若基金採高投資比例之投資策略，則退休金發展或投資股市比例越高，越能促進股市發展；採低投資比例策略的基金，對股市發展的影響並不顯著。 / This paper analyzes the impact of pension fund investment on securities markets using a panel threshold model (PTM) and a robust panel threshold model (ROPTM) which combines a panel threshold model with a robust regression model. We use panel data for some OECD countries and Taiwan to test the validity of our propositions. The data is divided into low and high investment regions based on the value of securities as a percentage of total financial assets of the pension fund. Our results are the following. In the high stock investment region, pension funds have a positive impact on stock markets. Whereas, in the low stock investment region, the positive impact seems to disappear.

In the present work we study the economic capital of pension funds and their possible extension into the new concept of Solvency II. The main task is to examine the risks that are characteristic for pension fund activity. We use several modified stress simulations, which we model using a virtual model of pension fund. Primarily we focus on changes in net asset value (NAV) which is used in standard formula for calculation of the solvency capital requirement (SCR). In conclusion, we evaluate the possible impact of applications Solvency II to pension funds, the resulting economic capital and solvency of modeled pension fund.

La thèse cherche à travers des critères économiques, sociaux et financiers à définir pour laFrance un système de retraite optimal. Elle procède à l’analyse critique de l’ensemble desréformes entreprises depuis la parution du Livre Blanc sur les retraites (1991), et engage despistes de mesures complémentaires pour les améliorer. Elle s’articule autour de deux idéesprincipales : d’une part, les principales réformes (Balladur, 1993 et Fillon, 2003) sont d’ordreparamétrique et entendent préserver la logique de solidarité intergénérationnelle ; d’autre part,sous certaines conditions, elles peuvent être améliorées par l’adjonction de mesuresstructurelles sous forme d’introduction d’une dose de capitalisation obligatoire.L’argumentation s’appuie à la fois sur une réflexion théorique, fondée notamment sur lesmodèles à générations imbriquées, la notion de taxe sur la poursuite d’activité aux âgesavancés, et sur une étude empirique internationale mesurant l’impact d’une capitalisationsupplémentaire sur l’épargne nationale. Globalement, l’objectif de la thèse est de montrerl’existence de deux dilemmes auxquels font face les pouvoirs publics dans la recherche desolutions à la crise des retraites: (1) garder le système de retraite actuel qui offre peud’incitations à la poursuite de toute activité professionnelle aux âges avancés ou aller versplus d’individualisation des droits au risque de sacrifier la solidarité intergénérationnelle ; (2)quelle dose, quelle(s) forme(s) et quelle réglementation de la capitalisation qui permettentd’augmenter l’épargne nationale au lieu de la réduire ? / This dissertation tries to define an optimal retirement system for France based on economic,social and financial criteria. It reviews the reforms that have been undertaken since thepublication of the Livre Blanc sur les retraites in 1991, and highlights additional measuresthat could be implemented to enhance these reforms. The dissertation is structured around twomain ideas: on the one hand, the main reforms (Balladur, 1993 and Fillon, 2003) are ofparametric nature and intend to preserve intergenerational solidarity; on the other hand, undercertain conditions, they can be improved by incorporating a funded system. The analysis relyon both a theoretical framework, notably overlapping generations models, and anempirical approach to assess the impact of additional capitalization on national saving.Overall, the dissertation aims to show that the authorities face two main dilemma whendealing with the retirement crisis: (1) keep the current retirement system, which does notencourage the elderly to remain in the workforce, or move toward a funded system at the riskof giving up intergenerational solidarity; (2) what dose, forms and regulations of fundingcould stimulate national savings?

Submitted by Maicon Juliano Schmidt (maicons) on 2015-08-07T13:36:10Z No. of bitstreams: 1 Karina Rodrigues Pereira_.pdf: 842883 bytes, checksum: 47e9e5bfe8fdf9bcfe064da54ae57db5 (MD5) / Made available in DSpace on 2015-08-07T13:36:10Z (GMT). No. of bitstreams: 1 Karina Rodrigues Pereira_.pdf: 842883 bytes, checksum: 47e9e5bfe8fdf9bcfe064da54ae57db5 (MD5) Previous issue date: 2012-12-19 / Nenhuma / Os Fundos de Pensão são importantes investidores institucionais, detentores de um grande volume de recursos, proveniente das poupanças previdenciárias de seus participantes. Com a finalidade de cumprir com seu principal objetivo (pagamento de benefícios futuros), os Fundos de Pensão precisam empregar seus recursos nas modalidades mais rentáveis de investimentos, levando em consideração o prazo e o nível de risco apresentado. Para auxiliá-los nesta questão, foram criados os Princípios para o Investimento Responsável (Principles for Responsible Investment - PRI), os quais consideram que empresas sustentáveis, do ponto de vista, ambiental, social e de governança corporativa podem gerar maior valor para o acionista no longo prazo, pois estão mais preparadas para enfrentar riscos futuros. Considerando que os Fundos de Pensão podem ocupar assento no conselho das empresas investidas, buscando auxiliá-las nas questões abordadas pelo PRI, o presente estudo tem como principal objetivo analisar a relação entre o ativismo exercido por um Fundo de Pensão brasileiro, signatário do PRI, e o nível de governança corporativa e práticas sustentáveis adotados pelas empresas investidas. Para a realização desta pesquisa foram elaborados e testados três modelos estatísticos. O primeiro modelo avalia a relação entre ativismo e responsabilidade ambiental (IRA), o segundo avalia a relação entre ativismo e responsabilidade social (IRS), e o último avalia a relação entre ativismo e governança corporativa (IGOV). Os dados foram coletados através do método de pesquisa documental e foram extraídos de diversas fontes. A amostra utilizada neste estudo foi selecionada a partir da carteira de investimentos da PETROS – Fundação Petrobras de Seguridade Social, segundo maior Fundo de Pensão brasileiro. Foram consideradas 41 empresas, observadas pelo período de 10 anos (2001 à 2010). A metodologia aplicada para a regressão dos modelos estatísticos foi o método de Dados de Painel, com efeitos aleatórios. Por fim, foram apurados os resultados e analisados os índices de responsabilidade ambiental (IRA), responsabilidade social (IRS) e governança corporativa (IGOV) das empresas investidas, antes e após a presença do ativismo do Fundo de Pensão. Os resultados encontrados suportam as hipóteses de que o ativismo exercido pelos Fundos de Pensão está positivamente relacionado com o desempenho socioambiental e o nível de governança corporativa das empresas nas quais investem. / Pension Funds are important institutional investors which hold a large amount of resources from the pension savings of their participants. In order to fulfill its main purpose (future benefit payments), Pension Funds need to invest their resources in the most profitable forms of investment, taking into account the time and the level of risk presented. The Principles for Responsible Investment - PRI were created in order to help them in this issue. The PRI consider that sustainable companies, in terms of environmental, social and corporate governance can generate higher shareholder value in the long run because they are better prepared to face future risks. Whereas Pension Funds can occupy a seat on the board of investee companies, seeking help them on issues addressed by the PRI, the present study has the main objective to analyze the relationship between activism practiced by a Brazilian Pension Fund, PRI signatory, and level of corporate governance and sustainable practices adopted by investees. To conduct this research three statistical models were developed and tested. The first model assesses the relationship between activism and environmental responsibility, the second evaluates the relationship between activism and social responsibility, and the last one evaluates the relationship between activism and corporate governance. Data were collected using the method of documentary research and were obtained from various sources. The sample used in this study was selected from the investment portfolio of PETROS - Petrobras Social Security Foundation, the second largest Pension Fund in Brazil. Forty one companies were considered, observed for a 10-year period (2001 to 2010). The methodology applied to the statistical models regression was the method of Panel Data, with random effects. Finally, the results were calculated and the rates of environmental responsibility, social responsibility and corporate governance of investees were analyzed before and after the presence of the activism of the Pension Fund. The results support the hypothesis that activism practiced by the Pension Funds is positively related to the level of socio-environmental performance and the level of corporate governance of companies in which they invest.