Despite pension fund managers being largely unconstrained in their investment decisions, this paper reports evidence of clustering in the performance of a large cross-section of UK pension fund managers around the median fund manager. This finding is explained in terms of the predominance of a single investment style (balanced management), the fee structures and incentives operating in the UK p...

Asset-liability mismatch in balance sheet of banks shows serious challenges in banks because of the traditional methods of recording assets and liabilities at book value in Iran. The Central Bank of the country motivated and advised banks to take concrete steps in minimizing the mismatch in the asset-liability composition. This paper attempts to suggest a micro funded framework that can evaluat...

In financial markets, the main component of risk management is liquidity risk. Asset and Liability Management (ALM) strategy is concerned with managing all risks. Asset and liability management seeks to manage liquidity risk, which refers to both the liquidity of markets and which assets can be translated into cash. The liquidity is importantly affected by the management of banks’ balance sheet...

Asset/Liability management, optimal fund design and optimal portfolio selection have been key issues of interest to the (re)insurance and investment banking communities, respectively, for some years especially in the design of advanced risktransfer solutions for clients in the Fortune 500 group of companies. Building on the new concept of limited risk arbitrage investment management in a diffus...

In the context of asset and liability management, we propose a portfolio selection model based on the expected return of the assets and the economic risk capital (ERC) associated to the asset liability portfolio, for short called mean-ERC asset liability portfolio selection. MeanERC efficiency in asset and liability management is closely related and compared to meanvariance efficiency in asset ...

This paper examines the performance of fund managers responsible for managing the investment decisions of UK pension funds. The paper examines both individual fund manager performance of pension funds under management, and also the persistence of this performance over time. Previous work on UK pension funds has found little evidence of fund manager persistence, but we suggest that this might be...

The two main types of benchmarks used in the UK are external assetclass benchmarks and peer-group benchmarks. Peer-group tracking is much more prevalent with pension funds and mutual funds than with life funds. However, the use of customized benchmarks that reflect the specific objectives set by particular funds is increasing. Benchmarks influence the type of assets selected and, equally signif...

The two main types of benchmarks used in the UK are external assetclass benchmarks and peer-group benchmarks. Peer-group tracking is much more prevalent with pension funds and mutual funds than with life funds. However, the use of customized benchmarks that reflect the specific objectives set by particular funds is increasing. Benchmarks influence the type of assets selected and, equally signif...

Most defined contribution (DC) pension plans give their members a degree of choice over the investment strategy for their contributions. Many plans also offer a ‘default’ fund for members unable or unwilling to choose their own investment strategy. We analyse the range of default funds offered by UK ‘stakeholder’ DC plans, which by law must offer a default fund. We find the default funds are ty...

The crisis of international Pay As You Go public pension systems is forcing governments of most countries to drastically cut pension benefits of future generations and to encourage the development of fully funded pension schemes. It is well-known that the reforms undertaken in most industrialized countries give a preference towards defined contribution (DC) plans rather than defined benefit (DB...