published_or_final_version / Public Administration / Master / Master of Public Administration

Thesis (MComm)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: On 1 July 2011 the revised version of Regulation 28, which governs the South African pension fund industry with regard to investments, took effect. The new version allows for pension funds to invest up to 25 percent compared to 20 percent, in the previous version, of its total investment in foreign assets. The aim of this study is to determine whether it would be optimal for a South African pension fund to invest the full 25 percent of its portfolio in foreign assets. Seven different optimization models are evaluated in this study to determine the optimal asset mix. The optimization models were selected through an extensive literature study in order to address key optimization issues, e.g. which risk measure to use, whether parametric or non parametric optimization should be used and if the Mean Variance model for optimization defined by Markowitz, which has been the benchmark with regard to asset allocation, is the best model to determine the long term asset allocation strategies. The results obtained from the different models were used to recommend the optimal long term asset allocation for a South African pension fund and also compared to determine which optimization model proved to be the most efficient. The study found that when using only the past ten years of data to construct the portfolios, it would have been optimal to invest in only South African asset classes with statistical differences with regard to returns in some cases. Using the past 20-years of data to construct the optimal portfolios provided mixed results, while the 30-year period were more in favour of an international portfolio with the full 25% invested in foreign asset classes. A comparison of the different models provided a clear winner with regard to a probability of out performance. The Historical Resampled Mean Variance optimization provided the highest probability of out performing the benchmark. From the study it also became evident that a 20-year data period is the optimal period when considering the historical data that should be used to construct the optimal portfolio. / AFRIKAANSE OPSOMMING: Op 1 Julie 2011 het die hersiene Regulasie 28, wat die investering van Suid-Afrikaanse pensioenfondse reguleer, in werking getree. Hierdie hersiene weergawe stel pensioenfondse in staat om 25% van hulle fondse in buitelandse bateklasse te belê in plaas van 20%, soos in die vorige weergawe. Hierdie studie stel vas of dit werklik voordelig sal wees vir ‘n SA pensioenfonds om die volle 25% in buitelandse bateklasse te belê. Sewe verskillende optimeringsmodelle is gebruik om die optimale portefeulje te probeer skep. Die optimeringsmodelle is gekies na ’n uitgebreide literatuurstudie sodat van die sleutelkwessies met betrekking tot optimering aangespreek kon word. Die kwessies waarna verwys word sluit in, watter risikomaat behoort gebruik te word in die optimeringsproses, of ‘n parametriese of nie-parametriese model gebruik moet word en of die “Mean-Variance” model wat deur Markowitz in 1952 gedefinieer is en al vir baie jare as maatstaf vir portefeulje optimering dien, nog steeds die beste model is om te gebruik. Die uiteindelike resultate, verkry van die verskillende optimeringsmodelle, is gevolglik gebruik om die optimale langtermyn bate-allokasie vir ‘n Suid-Afrikaanse pensioenfonds op te stel. Die verskillende optimeringsmodelle is ook met mekaar vergelyk om te bepaal of daar ‘n model is wat beter is as die res. Vanuit die resultate was dit duidelik dat ’n portfeulje wat slegs uit Suid-Afrikaanse bates bestaan beter sal presteer as slegs die laaste 10-jaar se data gebruik word om die portefeulje op stel. Hierdie resultate is ook in meeste van die gevalle bevestig deur middel van hipotese toetse. Deur gebruik te maak van die afgelope 20-jaar se data om die portefeuljes op te stel, het gemengde resultate gelewer, terwyl die afgelope 30-jaar se data in meeste van die gevalle ’n internasionaal gediversifiseerde portefeulje as die beter portefeulje uitgewys het. In ’n vergelyking van die verskillende optimeringsmodelle is die “Historical Resampled Mean Variance” model duidelik as die beter model uitgewys. Hierdie model het die hoogste waarskynlikheid behaal om die vasgstelde maatstafportefeuljes uit te presteer. Die resultate het ook gedui op die 20-jaar periode as die beste data periode om te gebruik as die optimale portfeulje opgestel word.

Made available in DSpace on 2015-12-03T18:35:29Z (GMT). No. of bitstreams: 1 Marcos_de_Mello_Liberato.pdf: 734486 bytes, checksum: cf5e35324052e71d3641a4810970e357 (MD5) Previous issue date: 2013-10-15 / Pension Funds in Brazil are presented as large institutional investors, moving a significant sum of money in the financial market. Investment decisions made by its managers should generate positive returns in order to ensure a dignified retirement to its participants and beneficiaries. The corporate governance structure of pension funds and their mechanisms are essential elements in the management of these entities, and the consequent impact exerted on their performance. The objective of this research is to study the relationship between structure and corporate governance mechanisms and performance of pension funds in Brazil. This is an empirical study, with quantitative treatment of the data by use of linear regression with panel data. The period of analysis included the years 2008 to 2012. The results were favorable to the affirmative conclusion regarding the existence of an associative relationship between corporate governance mechanisms and their performance / As Entidades Fechadas de Previd??ncia Complementar no Brasil, conhecidas como fundos de pens??o, apresentam-se como grandes investidores institucionais, movimentando uma significativa soma de dinheiro no mercado financeiro. As decis??es de investimento tomadas por seus gestores devem gerar retornos positivos, de forma a garantir uma aposentadoria digna a seus participantes e benefici??rios. A estrutura de governan??a corporativa dos fundos de pens??o, e seus mecanismos, constituem elementos fundamentais na gest??o dessas institui????es, e no consequente impacto exercido sobre seu desempenho. O objetivo desta pesquisa ?? analisar a rela????o entre a estrutura e os mecanismos de governan??a corporativa e o desempenho dos fundos de pens??o no Brasil. Este ?? um estudo emp??rico anal??tico, com tratamento quantitativo dos dados, pelo uso da t??cnica de regress??o linear com dados em painel, cujo per??odo de an??lise compreendeu os anos de 2008 a 2012. Os resultados obtidos foram favor??veis ?? conclus??o afirmativa a respeito da exist??ncia de uma rela????o associativa entre os mecanismos de governan??a corporativa e o desempenho dessas entidades

Submitted by Filipe dos Santos (fsantos@pucsp.br) on 2018-05-07T12:56:34Z No. of bitstreams: 1 Rosana Passos de Pádua.pdf: 2042065 bytes, checksum: 9d29868f47767b9c0fc87f79b6b1a55c (MD5) / Made available in DSpace on 2018-05-07T12:56:34Z (GMT). No. of bitstreams: 1 Rosana Passos de Pádua.pdf: 2042065 bytes, checksum: 9d29868f47767b9c0fc87f79b6b1a55c (MD5) Previous issue date: 2018-03-14 / Brazil is facing many discussions about the future of social security, and in this context, complementary social security becomes even more relevant; due to this, a great interest arose in studying the accounting of pension funds in the light of Brazilian and international rules, IAS 19 and IAS 26. The research problem consisted in understanding and seeking alternatives to the difficulty of pension fund managers to comply with the rules of the financial market and to mark-to-market for long-term investments with the current conditions of interest rate volatility, in the same time there is no mark-to-market of actuarial liabilities, causing an actuarial mismatching. The research was conducted through a case study based on a six-year pension fund financial statement and the outcome of the case study demonstrated that a possibility to minimize this effect and reduce the risk of sponsors and participants being called to cover the deficits, would be the accounting of the counterpart of the mark-to-market of the asset in a transitional liability account as a provision, without impacting the results of the pension funds / O Brasil está passando por um momento de muitas discussões sobre o futuro da previdência social e nesse contexto, a previdência complementar torna-se ainda mais relevante; em virtude disso, surgiu o grande interesse em estudar a contabilidade dos fundos de pensão à luz das regras brasileiras e das internacionais, IAS 19 e IAS 26. O problema de pesquisa consistiu em compreender e buscar alternativa para a dificuldade dos gestores dos fundos de pensão em obedecer às regras do mercado financeiro e marcar a mercado os investimentos de longo prazo com as condições de volatilidade de taxas de juros, sem que haja a marcação a mercado dos passivos atuariais, causando desequilíbrio atuarial. A pesquisa foi realizada através de estudo de caso, com base em demonstrações financeiras de seis anos de uma entidade privada e o resultado do estudo de caso demonstrou que uma possibilidade para minimizar esse efeito e reduzir o risco de patrocinadores e participantes serem chamados a cobrir os déficits, seria a contabilização da contrapartida da marcação a mercado do ativo em conta transitória de passivo a título de provisão, sem impactar o patrimônio dos fundos de pensão

Thesis (LLM.) -- University of Limpopo, 2017 / This dissertation deals with the inception of the office of the Pension Fund Adjudicator in South Africa with comparison with the United Kingdom and Australia. The challenges faced by the office of the Pension Fund Adjudicator are one element that advised the composition of this dissertation. South Africa is a well developing country that carries well developed laws, including, the laws that deals with the pension fund complaints and this dissertation shall analyse and unpack those laws and principles that deals with the pension fund complaints.

Thesis (LLM. (Labour Law)) -- University of Limpopo, 2013 / The study will analyse section 37C of the Pension Funds Act, 24 of 1956. This section limits the deceased’s freedom of testate by placing the death benefits and the control of the board of trustees who are tasked to distribute such benefits equitably among the dependants and nominees of the deceased. Section 37C of the Act was enacted to protect dependency by ensuring that the dependants of the deceased are not left in destitute. In order to achieve this, three duties are placed on the board of trustees namely, to identify the dependants and nominees of the deceased member; to effect an equitable distribution of the benefit among the beneficiaries; and to determine an appropriate mode of payment. This section sees to all the interest of the dependants without discriminating consequently there are three classes of dependants that are created under section 37C namely; legal dependants, non-legal dependants, and future dependants.

Thesis (LLM. (Development and Management Law)) -- University of Limpopo, 2013 / This mini-dissertation discusses South African social security and retirement reforms that will be used as guidelines towards promulgation of the new Pension Funds Act which will incorporate both private and public pensions. These proposals have been highlighted in the Retirement Reform Discussion Paper issued by National Treasury in 2004 and the Social Security and Retirement Reform paper, issued by both National Treasury and Department of Social Development, 2007. Further, the recent discussion papers entitled ‘Strengthening Retirement Savings and a Safer Financial Sector to Serve South Africa Better’ published in 2011 and 2012 respectively have strengthened social security and retirement reforms debate in South Africa. This mini-dissertation will incorporate both social security and retirement reforms.

Thesis (LLM. (Development and Management Law)) University of Limpopo, 2013

Thesis (LLM. (Labour Law)) -- University of Limpopo, 2013 / The study will analyse section 37C of the Pension Funds Act, 24 of 1956. This section limits the deceased’s freedom of testate by placing the death benefits and the control of the board of trustees who are tasked to distribute such benefits equitably among the dependants and nominees of the deceased. Section 37C of the Act was enacted to protect dependency by ensuring that the dependants of the deceased are not left in destitute. In order to achieve this, three duties are placed on the board of trustees namely, to identify the dependants and nominees of the deceased member; to effect an equitable distribution of the benefit among the beneficiaries; and to determine an appropriate mode of payment. This section sees to all the interest of the dependants without discriminating consequently there are three classes of dependants that are created under section 37C namely; legal dependants, non-legal dependants, and future dependants.

La tesis pretende demostrar que el desarrollo de pensiones complementarias en países emergentes puede ser una fórmula posible de reducción de la pobreza en la vejez, entendida esta como la provisión de elementos suficientes para que el ingreso tras el retiro permita mantenimientos dignos del nivel de vida. Para ello se analiza la viabilidad económica para las empresas y el Estado, y la suficiencia económica para las personas. Concretamente esta tesis investiga acerca del nivel adicional de coste que pueden tener las empresas en el desarrollo de pensiones complementarias que sean suficientes para mantener el nivel de vida. Se determina el incremento en sus costes laborales, también la incidencia que un marco impositivo ad-hoc puede tener para ellas. / The doctoral thesis demonstrates that occupational pension plan development in emerging countries can be a way to prevent poverty in old age, understood as income under retirement would be enough to maintain a minimum standard of living. Thus, the economic feasibility for companies and governments is analyzed. This thesis also deals with level of coverage for population as well. More specifically, research is focused on additional cost for companies to set up occupational pension plans, after designing several models. Labour cost increasing is calculated and put on place comparing among different countries with the benchmarked case study, the Dominican Republic. A tax framework for the country and its companies is proposed and validated, foreseeing the economic flows during the next following 25 years.