We've curated a range of papers on European pension funds. Here is a flavour of some of the best papers:
European Pension Funds (including UK) make up 28% of the AUM for the world's largest pension funds, according to this 46 page analysis from Towers Watson. Of the world's largest 300 pension funds, 13 are based in Netherlands, 11 in Switzerland, 10 in Germany, 8 in Denmark and 7 in Sweden. The report shows how the asset mix of the top funds varies across regions, and cuts and slices the data in various ways.
For the first time, Aon Hewitt has addressed Netherlands separately in their 2015 Global Pension Risk Survey. Pension Funds were asked a variety of questions, relating to their long-term objectives, funding, investment strategies etc. The survey founds that schemes, overall, are tending to lighten their equity weightings and increase their weighting in "liability matching" assets. The survey reports that just over 10% of funds have increased their index-linked bonds weightings.
This DNB study examined 225 Dutch pension funds to understand the relationship between fund size and investment costs. They found that scale economies were clearly present in equity, fixed income and commodity portfolios, but not in real estate or alternative investments.
This paper from Jaap Van Dam of PGGM, explains the process by which PFZW (the second-largest Dutch pension fund) in 2013, adopted an ambitious new set of investment principles, known as the "Investment Framework".
The 2015 survey reveals continuing momentum towards better management of pension risk in Switzerland. This includes greater portfolio diversification and steadily higher alternative allocations. Swiss Pension Funds don't have the same tools at their disposal to hedge liabilities, compared to other countries, and the need for longevity risk managerment is not generally acknowledged.
In 2012 the Danish pension fund PKA made the pioneering decision to change its entire equity investment strategy and instead to allocate according to alternative risk premia. Since then, other Nordic investors have been attracted to the vision of true diversification and have constructed their own versions of these systematic long-short investment strategies.
Amongst German pension funds, outsourcing and funding of pension liabilities is a hot topic. This eight page paper from Mayer Brown, written in English and in German, examines legal frameworks; contractual trust arrangements and "true" outsourcing of liabilities via pension funds.
The results of a short survey of Irish DC pensions sponsors by Towers Watson. The survey findings question whether Irish companies are thinking clearly with regard to the objectives of their DC pensions offering.
The purpose of this Edhec paper is to explore the latest developments and key risks posed by retirement systems, from both the perspective of the sponsor and pension risk, while focusing on European pension schemes.
Short document showing the key actuarial assumptions in place for defined benefit pension schemes in Germany, Netherlands, Switzerland and UK (also Japan and USA). The document includes the figures used for inflation, investment returns, discount rates and mortality.