A carregar...
Publicação
UK pension funds : fund portfolio performance analysis
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 1.99 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
No UK, indivíduos recebem uma pensão após a reforma, ou se falecer sua/seu esposa/o. Esta pode ser oferecida pelo estado, mas um dos casos mais comuns é; as pessoas recebem-na do seu fundo de pensão ocupacional (derivado do seu caminho de trabalho). Este tipo de pensão é fornecido pelo empregador e acumula benefícios que irão gerar o salário do empregado após a reforma. Para financiar as pensões, os empregadores devem criar um portfólio de investimento, que inclui diversos fundos e classes de ativos (alguns que pretendem gerar maiores retornos, assumindo maiores riscos, e outros que pretendem gerar retornos seguros, mas mais baixos). De modo a monitorizar o desempenho destes fundos, com o fim de entender se está a ser feita uma gestão adequada dos mesmos, é necessário ter em conta os seguintes fatores: gestão de risco, alocação dentro das diferentes classes de fundos e seleção de fundos. Para este efeito é utilizado o método de analise de atribuição, que nos diz o valor que foi adicionado ao portfolio proveniente das decisões do gestor. No atual período de pandemia, que afetou os mercados financeiros de forma considerável, o estudo desenvolvido neste projeto, visa perceber qual foi o impacto desta situação em quatro portfolios diferentes, com diferentes estratégias de investimento, e maioritariamente estudar as diferentes posições que foram assumidas pelos diferentes gestores, com o objetivo de manter a estabilidade do desempenho dos portfolios depois da grande queda dos mercados que se deu com o fecho da economia no inicio de 2020.
In the UK, individuals receive a pension after their retirement or their spouse's death. This pension can be provided by the state, but one of the most common cases is that people will receive it from their occupational pension fund (in result of their work path). This type of pension is sponsored by the employer and it accumulates benefits that will generate the income of a person after their retirement. To fund the pensions of the employees, employers need to create investment portfolios, that include different funds and asset classes (some seek higher growth while assuming higher risk, and others seek guaranteed, but lower returns). To monitor the performance of these portfolios and understand if the management is being done efficiently, one needs to take into consideration: risk management, asset allocation and selection decisions. For this effect, we use the attribution analysis method, which tells us the value that has been added to the portfolio by the active management decisions. In a period of pandemic, that affected the financial markets considerably, the study practiced in this project, aims to understand what was the impact of the situation in four different portfolios, with different investment strategies, and mainly to study the different positions that were assumed by the different managers, in order to keep the portfolios stability after the rough market crash that came with the economic shutdown in the beginning of 2020.
In the UK, individuals receive a pension after their retirement or their spouse's death. This pension can be provided by the state, but one of the most common cases is that people will receive it from their occupational pension fund (in result of their work path). This type of pension is sponsored by the employer and it accumulates benefits that will generate the income of a person after their retirement. To fund the pensions of the employees, employers need to create investment portfolios, that include different funds and asset classes (some seek higher growth while assuming higher risk, and others seek guaranteed, but lower returns). To monitor the performance of these portfolios and understand if the management is being done efficiently, one needs to take into consideration: risk management, asset allocation and selection decisions. For this effect, we use the attribution analysis method, which tells us the value that has been added to the portfolio by the active management decisions. In a period of pandemic, that affected the financial markets considerably, the study practiced in this project, aims to understand what was the impact of the situation in four different portfolios, with different investment strategies, and mainly to study the different positions that were assumed by the different managers, in order to keep the portfolios stability after the rough market crash that came with the economic shutdown in the beginning of 2020.
Descrição
Mestrado em Mathematical Finance
Palavras-chave
Fundos de pensão Esquemas de benefício definido alocação de fundos gestores benchmarks excesso de retornos risco Pension funds Defined Benefit schemes asset allocation managers excess returns risk
Contexto Educativo
Citação
Soares, Mariana Flor Eiras (2020). "UK pension funds : fund portfolio performance analysis". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão