1887

OECD Working Papers on Insurance and Private Pensions

Selected studies on insurance and private pensions policy prepared for use within the OECD and addressing such policy issues as risk management, governance, types of investments, and benefit protection. This working papers series has been discontinued; it is superseded by ‘OECD Working Papers on Finance, Insurance and Private Pensions’ available via: http://dx.doi.org/10.1787/20797117.

English

Pension Fund Performance

This report provides an analysis of aggregate investment performance by country on a risk adjusted basis using relatively standard investment performance measures. The report also describes privately managed pension funds around the world and the regulatory environment they face. It compares pension funds across countries according to total assets under management and asset allocation, and briefly discusses certain issues surrounding the data reported by pension funds and regulators on investment returns.

English

Keywords: investment performance, returns on investment, Markowitz mean-variance portfolio maximization, Sharpe ratio, pension fund, asset allocation
JEL: G23: Financial Economics / Financial Institutions and Services / Non-bank Financial Institutions; Financial Instruments; Institutional Investors; G11: Financial Economics / General Financial Markets / Portfolio Choice; Investment Decisions; C80: Mathematical and Quantitative Methods / Data Collection and Data Estimation Methodology; Computer Programs / Data Collection and Data Estimation Methodology; Computer Programs: General
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