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This paper analyses whether the active management and the fundamentals of the pension fund allow products that beat their peers to be identified in terms of risk-adjusted performance.

The sample is composed of all the pension funds active in the period 2000 to 2017 investing in the Eurozone. What this means is that a greater similarity is guaranteed in terms of benchmark, assets available for investment and currency. All the data have been retrieved from the Morningstar Direct database.

The paper reveals that the degree of concentration and value for money are important determinants of performance. In this sense, the strategies of investing in concentrated portfolios that differ from the benchmark and with undervalued assets in terms of price earnings ratio (PER)-return on assets (ROA) achieve better results.

This is one of the few papers that shows the effect of active management and value investing strategies’ on the performance of pension funds.

本文旨在分析、我們能否根據退休基金的積極管理及其基本原理, 找到就風險調整表現而言之最優勝產品.

我們的樣本包括於2000年至2017年期間活躍於歐元區內投資活動的所有退休基金。這意味著、樣本確保了相關之退休基金就基準、可供投資的資產及貨幣而言、均擁有較大的相似性。所有數據均從晨星基金資料庫檢索得來的。.

本文顯示、集中程度和價值比率是決定表現的重要因素。在這個意義上說，如投資在與基準不同的及附有就本益比 – 資產收益率 (PER - ROA) 而言被低估的資產的那些集中投資組合上, 這會是效果較佳的策略.

探討積極管理和價值投資策略如何影響退休基金表現的學術研究為數不多, 本文乃屬這類研究。.

This study aims to empirically analyze the asset allocation capabilities of Outsourced Chief Investment Officers (OCIOs) in Korea. The empirical analysis used data from 35 funds that were evaluated by the Ministry of Strategy and Finance from 2012 to 2020. The results of the analysis are summarized as follows. First, this study found that funds that adopted OCIO improved their asset allocation performance. Second, the sensitivity between risk-taking and performance decreased for funds that adopted OCIO. Third, it is found that OCIO adoption improves a fund's asset management execution (tactical capabilities). This study has methodological limitations in which the methodology used in this study is not based on theoretical prior research, but on practical applications. However, considering the need to clearly analyze the capabilities of OCIO and the timeliness of the topic, this study is valuable and can provide meaningful information to funders who are considering adopting OCIO in the future.

This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This study conducts asset allocation using the ex ante expected rate of return through the outlook of future economic indicators because past economic indicators or realized rate of returns which are used as input data for expected rate of returns in the “building block” method, most adopted by domestic pension funds, does not fully reflect the future economic situation. Vector autoregression is used to estimate and forecast long-term interest rates. Furthermore, it is applied to gross domestic product and consumer price index estimation because it is widely used in financial time series data. Based on asset allocation simulations, this study derived the following insights: first, economic indicator filtering and upper-lower bound computation is needed to reduce the expected return volatility. Second, to reach the ALM goal, more stocks should be allocated than low-yielding assets. Finally, dynamic asset allocation which has been mirroring economic changes actively has a higher annual yield and risk-adjusted return than static asset allocation.

The National Pension Service (NPS) of Korea suddenly announced that they would suspend their stock lending business from October 22, 2018. Using this ideal setting, the authors investigate the effects of this suspension on market quality and short-selling activities. The authors find that stock return does not increase after the suspension of stock lending for both the KOSPI and KOSDAQ markets. However, the returns of stocks with NPS ownership decline less than those without NPS ownership. The authors also find that the institutional and foreign investors' short sales did not increase in both markets after the lending business suspension by the NPS. In addition, the effect of suspension of stock lending on market quality is mixed, so the authors cannot conclude that market quality has improved. Overall, the authors’ results indicate that the stock market, especially for short-sales activity, has not been affected by the suspension of the stock lending service by the NPS.

Recently, socially and responsible investments (SRI) have constantly grown becoming a highly discussed issue. Therefore, the main purpose of this paper is to better understand if environmental social governance (ESG) criteria integration in investment strategies can support the transition of finance toward a more sustainable growth.

An explorative analysis based on a multiple case study has been conducted and addressed by a content analysis on the Key Investors Information Documents (KIIDs) that the sample companies published for 2020.

The achieved results demonstrated that the case companies differently integrated ESG into their SRI; thus, if some of them are quite near to a full integration, the others demonstrated less than a full commitment with ESG. This seems to be mainly due to the different approach that asset management companies (AMCs) and/or managers have adopted for integrating ESG criteria.

Even though the achieved results offered some interesting insights for asset managers, the explorative and qualitative nature of this study and the small sample investigated somewhat limits it.

AMCs, consultants and managers in developing and implementing their SRI strategy could be much more focused on the importance of ESG integration for the transition toward a more responsible and sustainable finance (micro-level) as well as a more sustainable development (macro-level).

The paper provides new insights into the essence of SRI strategies and their potential to contribute to sustainable development. Thus, it tries to shed new lights on the role that ESG can have to stimulate and support investment decisions and, in so doing, contributing to make finance grow more sustainable.

This article explores the concept of “heritage futures”, the role of heritage in managing relations between present and future societies. It assesses how thinking strategically about the future changes, complicates and contextualises practices of heritage. What might an attention to the future bring to work in heritage, and simultaneously, what challenges—both practical and ethical—arise?

This article takes the form of a conversation about the nature of heritage futures and how such a project may be implemented in both heritage practice and field research in heritage studies. The two authors are heritage scholars who integrate heritage futures questions into their research in different ways, and their conversation uncovers potentialities and difficulties in the heritage futures project.

The discussion covers the particular ethical issues that arise when the dimension of time is added to heritage research and practice, including questions of continuism, presentism and specificity. The conversation argues for the importance of considering the future in heritage studies and heritage practice and that this forms a key part of understanding how heritage may be part of building a sustainable present and future.

The future is an under-examined concept within heritage studies, even as heritage is often framed as something to be preserved “for future generations”. But what impact might it have on heritage practice to really consider what this means, beyond the platitude? This article suggests that heritage scholars and practitioners direct their attention to this often-neglected facet of heritage.

Because mutual funds are the largest equity holders and because the retirement assets that are managed by mutual funds have been growing, mutual fund managers may have more incentives to support management in order to attract and retain pension business. I explore whether pension business ties have an impact on voting behaviors of mutual funds by examining the link pension business ties between mutual funds and the firms to actual mutual fund voting outcomes. At the fund family level, I find a positive relation between pension ties and mutual funds’ voting support for management. This relation becomes stronger when there is a voting divergence among funds within the same families. At the individual fund level, I find that individual funds are more likely to vote with management if they are included as one of the investment options of the pension plan of their portfolio firms. This suggests that the SEC should at least consider the recent petition from the AFL-CIO proposing that the SEC require mutual funds to disclose business ties with the firms in which they invest.

The purpose of this paper is to provide an in-depth performance evaluation of funds offered by the Turkish pension system.

This paper compares aggregate fund index returns with the corresponding asset class returns, estimates a factor model to decompose excess returns to factor exposures, i.e., β return and excess return originating from residual α and analyzes persistence of fund returns using migration tables and Fama–MacBeth regressions and tests for market timing ability.

Majority of pension funds are unable to generate excess returns. Majority of funds are unable to generate a positive α and fund returns are predominantly driven factor exposures. There is evidence for slight persistence in returns, mainly due to factor exposures and funds do not exhibit market timing ability.

In this paper, the authors perform an in-depth analysis of pension fund performance for the Turkish pension fund system. The authors identify weaknesses and strengths of the pension fund industry and provide policy recommendations for a better design of pension fund system.

How did investors in the Swedish Premium Pension System (PPS) react to the stock market shock ignited by the COVID-19 pandemic?

The authors use fund-level data from the Swedish Pensions Agency on investment choices in the PPS. For each fund, the authors use monthly information on the number of investors and holdings' market value up to November 2020. The authors also use information on the total number of portfolio changes per day. For analyzing whether PPS investors reacted to the pandemic with claiming their pension, the authors use monthly data on the number of investors of a certain age group who initiate their public pension payment.

Trades more than doubled, and shifted capital from equity funds to low risk interest funds. In economic terms, however, trading stayed at low levels–less than two percent of investors traded in March 2020 and there was no effect on pension withdrawals. The increased trading during the market tumult was disproportionately concentrated among investors in the top of the pension capital distribution.

With fund-level data, the authors cannot investigate what in particular made retirement investors stay calm in the midst of a severe market decline. Either, those investors have a long-term investment horizon as they save for their pension or particular features of the system's choice architecture induce inertia and discourage from trading. The sub-group analyses are more consistent with the explanation that PPS-induced inertia is responsible for the relatively small increase in trading activity, but future research could exploit individual level data to explore this in more detail.

The often-criticized PPS choice architecture provided positive side effects in times of a severe market shock by shielding retail investors from committing trading mistakes when trying to outsmart the market.

The study complements previous evidence on the effects of COVID-19 on investor activity. The small response of PPS investors to COVID-19 is in line with earlier US findings on 401(k) accounts during the 2007 financial crisis (Tang et al., 2012) and industry reports about the COVID-19 period (see, e.g. Mitchell, 2020). The authors find no effects at all on public pension withdrawals in Sweden, while evidence from US 401(k) plans indicates a small share of workers taking COVID-related early withdrawals.

This study examines the problems associated with the management fee on outsourced CIOs in the public pension funds in Korea and proposes a better management fee structure. The main results of this study are summarized as follows. First, the outsourced CIO is likely to make a profit, provided that the management cost of the outsourced CIO is lower than a fixed ratio in a fee structure. Second, the profit margin of public funds increases as the fixed ratio decreases. Third, the outsourced CIOs can make a sure profit under the existence of the fixed fee only, regardless of the performance of public funds. In addition, the profit of outsourced CIOs increases as the level of delegation fees for sub-management firms decreases. However, such a fee structure may result in making worse the overall performance of funds ultimately. Fourth, it is necessary to introduce the performance-linked fee structure when the outsourced CIOs of public pension funds are selected. Such a fee structure can mitigate the possibility that the outsourced CIOs reassigns fund to sub-management firms with low management capacities, thereby lowering the fund’s overall performance.