Asset Allocation Considerations for Pension Insurance Funds: by Christian Hertrich

By Christian Hertrich

​The relevant examine goal of the dissertation is to evaluate the suitability of Social liable Investments (SRIs) in addition to substitute investments for the strategic asset allocation of German Pension assurance cash (Pensionskassen). utilizing a Vector mistakes Correction version, we estimate the knowledge producing technique of the underlying enter variables. A bootstrap simulation permits producing destiny go back paths of the underlying portfolios. those go back distributions will to that end be used as enter for various asset allocation strategies.The empirical result of our examine learn supply useful conclusions: (1) SRI-structured portfolios continuously practice greater than traditional portfolios, (2) together with substitute investments has a worthwhile impression at the risk-return distribution and (3) by-product overlay buildings mitigate draw back threat publicity with out impacting normal fund functionality. by way of replacement allocation types, (1) high-equity portfolios result in a rise in go back volatility with no sufficiently compensating traders with better returns, (2) hedging opposed to fee raises via engineering a portfolio with inflation-suitable resources yields combined effects, (3) a portfolio composition that mixes spinoff overlay techniques for either equities and company bonds and makes use of SRI-screened resources as underlying generates the simplest results.

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Asset Allocation Considerations for Pension Insurance Funds: Theoretical Analysis and Empirical Evidence

​The crucial study goal of the dissertation is to evaluate the suitability of Social liable Investments (SRIs) in addition to substitute investments for the strategic asset allocation of German Pension coverage cash (Pensionskassen). utilizing a Vector errors Correction version, we estimate the information producing means of the underlying enter variables.

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The two underlying benchmark investment styles are hereby outright Buy-and-Hold strategies as well as Constant-Mix investing approaches. Within the more sophisticated investment techniques, we will include derivative overlay structures that are allowed under BaFin circular R3/2000: put option strategies, collars, yield enhancement methods and bond-call option methods. The resulting portfolio value distributions will be analysed with special focus on downside risk (step 4), as Pension Insurance Funds offer their members 13 capital guarantee at nominal terms via defined contributions with capital guarantee.

5). The results of the empirical analysis are presented in chapter 5. 3). 5. 1. 3 refers to the research outlook and outstanding issues. 19 2. 1 Objectives The main objectives of chapter 2 are to illustrate the role and relevance of the occupational pension scheme within the three-pillar pension system in Germany. The emphasis of this section will be centred on the expected or future role occupational pension funds may play given the funding issues the statutory pension system is facing. Demographic shifts in the society as well as radical changes in the labour environment are forcing legislators as well as regulators to position occupational pension solutions as a fundamental element of any pension mix, rather than a mere ‘add-on’ as they used to be perceived in the past.

53. Eurosif (2010), p. 35. Based on a total size of the German asset management industry of €1,710bln. See Eurosif (2010), p. 41 et seq. See VBDO (2011), p. 7. 5 In Germany, on the other hand, SRIs by occupational pension schemes have historically been an asset class of marginal relevance. While there are no official data available on the actual volume of SRI assets under management, some indicators suggest that the involvement by German pension funds is considerably below that of neighbouring countries.

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