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                            <title>ICPM</title>
                            <link>http://www.rijpm.com/</link>
                            <description>ICPM RSS</description>
                            <language>hr-hr</language>
                            <pubDate>Tue, 21 May 2013 18:25:16 EDT</pubDate>
                            <lastBuildDate>Tue, 21 May 2013 18:25:16 EDT</lastBuildDate>
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                            <managingEditor>info@icpm.com</managingEditor>
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                                    <title>Can Large Pension Funds Beat the Market? Asset Allocation, Market Timing, Security Selection and the Limits of Liquidity</title>
                                    <link>http://www.rijpm.com/article/can-large-pension-funds-beat-the-market-asset-allocation-market-timing-security-selection-and-the-limits-of-liquidity</link>
                                    <pubDate>Wed, 15 May 2013 10:20:07 EDT</pubDate>
                                    <description><!--[CDATA[ 
 We assess the three components of active management (asset allocation, market timing and security selection) in the performance of pension funds. Security selection explains most of return differences. On average, the large pension funds in our sample provide value to their clients using active management, after accounting for all costs, both before and after risk-adjusting, and using all three components of active management: with an annual alpha of 16 basis points from asset allocation changes, 27 basis points from market timing, and 45 basis points from security selection. All three components exhibit significant liquidity limitations, which seem quite important even for asset classes such as equity and fixed income. Security selection outperformance is further driven by momentum trading, which we do not consider as a priced factor and which accounts for about 72 basis points annual alpha. Larger funds realize economies of scale in only in their relatively minor investments in alternative asset classes like private equity and real estate, while thus experiencing liquidity-related diseconomies of scale in equity and fixed income.
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                                    <title>When Do Derivatives Add Value in Asset Allocation Problems for Pension Funds?</title>
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                                    <pubDate>Mon, 11 Mar 2013 14:28:20 EDT</pubDate>
                                    <description><!--[CDATA[ 
 Recent surveys indicate that many pension fund participants aim for higher retirement income security. We investigate the added value of including derivatives in the portfolio of pension funds to achieve this goal. While modelling explicitly that the equity market exhibits both jump risk and volatility risk, we investigate the added value of including such derivatives in the asset menu of pension funds. To do so, we define preferences which incorporate specific features of pension funds but we also report the performance among several key criteria used in real life pension fund asset allocation decisions. Our results show that relatively small investments in derivatives can already achieve improvements in certainty equivalent rates of return and important other performance measures. This confirms the intuition that the use of derivatives allows pension investors to make explicit risk and return trade-offs between diffusion risk, jump risk and volatility risk and their associated risk premia.
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                                    <title>Case Study 6: Buying into the 407: The Syndication Protocol as a New Model for Infrastructure Investing</title>
                                    <link>http://www.rijpm.com/case_studie/case-study-6-buying-into-the-407-the-syndication-protocol-as-a-new-model-for-infrastructure-investing</link>
                                    <pubDate>Wed, 31 Oct 2012 13:29:33 EDT</pubDate>
                                    <description><!--[CDATA[ 
 This case was prepared by Alexander Dyck, ICPM Professor in Pension Management, Rotman School of Management, University of Toronto and Aazam Virani, PhD candidate, Finance, Rotman School of Management. Funding for the Professorship is provided by the Rotman International Centre for Pension Management, University of Toronto, Canada. This Case Study is developed solely as a basis for discussion. The case is not intended as an endorsement, or source of primary data, or an example of effective or ineffective management.
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                                    <title>Table of Contents Vol 5 Iss 2</title>
                                    <link>http://www.rijpm.com/article/table-of-contents-vol-5-iss-2</link>
                                    <pubDate>Mon, 24 Sep 2012 09:35:48 EDT</pubDate>
                                    <description><!--[CDATA[ 
 Cover page and Table of Contents for Rotman International Journal of Pension Management Volume 5 Issue 2.
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                                    <title>Why Sweden’s Notional DC Pension System Does Not Need a Calculation Correction</title>
                                    <link>http://www.rijpm.com/article/why-swedens-notional-dc-pension-system-does-not-need-a-calculation-correction</link>
                                    <pubDate>Mon, 17 Sep 2012 11:33:12 EDT</pubDate>
                                    <description><!--[CDATA[ 
 The critique of the asset value calculation in Sweden&rsquo;s Notional DC pension system by Doug Andrews (see preceding article) raises some interesting questions. The most obvious is whether Andrews&rsquo; critique of the calculation method is valid; this article argues that the method has been misunderstood, and explains why. The key to this explanation is the role that &ldquo;turnover duration&rdquo;plays in calculating asset value. The Swedish approach has been validated using a number of numerical examples, both inside and outside Sweden; moreover, the absence of guarantees in the benefits, in combination with the turnover duration innovations, have allowed Sweden&rsquo;s inkomstpension to become what may be the world&rsquo;s most transparent and fastest-reporting national pension plan.
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                                    <title>Why Sweden’s Notional DC Pension System Needs a Calculation Correction</title>
                                    <link>http://www.rijpm.com/article/why-swedens-notional-dc-pension-system-needs-a-calculation-correction</link>
                                    <pubDate>Mon, 17 Sep 2012 11:27:42 EDT</pubDate>
                                    <description><!--[CDATA[ 
 This article reviews the reform of the Swedish state pension and identifies a calculation problem: the use of &ldquo;turnover duration&rdquo; (TD) to calculate the Notional DC system&rsquo;s balance-sheet assets. This practice produces varying and inaccurate results, favoring pensioners and placing an additional burden on contributors and on subsequent generations that will contribute. The author proposes the calculation of balance-sheet assets using the concept of a Future Commitment Asset (FCA), the wealth that must be transferred by future cohorts to keep the system operating. An analysis using the TD and FCA approaches in a simple model demonstrates that the FCA method provides accurate results whereas the TD method produces some peculiar ones. The FCA method is as simple to use in practice as the TD method. See critique by Ole Settergren (following article)
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                                    <title>The Dysfunctional “DB vs. DC” Pensions Debate: Why and How to Move Beyond It</title>
                                    <link>http://www.rijpm.com/article/the-dysfunctional-db-vs.-dc-pensions-debate-why-and-how-to-move-beyond-it</link>
                                    <pubDate>Mon, 17 Sep 2012 11:25:44 EDT</pubDate>
                                    <description><!--[CDATA[ 
 Traditional DB and DC pension plans have both become dysfunctional, as have attempts to &ldquo;prove&rdquo; that one is superior to the other. Far better that we should devote our energies to designing a new breed of pension plans, adapted to twenty-first-century realities. Such plans strike an intelligent balance between the dual goals of adequacy and affordability. They are transparent, value guarantees honestly, and are respectful of the property rights and the differing risk tolerances of plan participants. Finally, while DB defenders often confuse pension design and implementation, highperformance twenty-first-century pension institutions can cost-effectively manage any pension design, not just those based on DB formulas.
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                                    <title>Total Shareholder Return (TSR) and Management Performance: A Performance Metric Appropriately Used, or Mostly Abused?</title>
                                    <link>http://www.rijpm.com/article/total-shareholder-return-tsr-and-management-performance-a-performance-metric-appropriately-used-or-mostly-abused</link>
                                    <pubDate>Mon, 17 Sep 2012 11:22:22 EDT</pubDate>
                                    <description><!--[CDATA[ 
 This article identifies the complex issues associated with the unconsidered use of total shareholder return (TSR) as a metric to represent the gains (or otherwise) in shareholder wealth and in contexts such as long-term incentive compensation and proxy voting by shareholders (including &ldquo;say on pay&rdquo;). Not all TSR is created equal. Other measures, such as economic profit (EP), return on invested capital (ROIC), and future value (FV), need to be introduced to effectively interpret the quality of TSR. There are not one but eight states of the quality of TSR, and this has implications for effectively evaluating true pay-for-performance alignment and considered say-on-pay voting by institutional investors everywhere, including under the new Dodd&ndash;Frank legislation in the United States.
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                                    <title>Managing Public Pension Reserve Funds: The Case of the Government Pension Investment Fund (GPIF) of Japan</title>
                                    <link>http://www.rijpm.com/article/managing-public-pension-reserve-funds-the-case-of-the-government-pension-investment-fund-gpif-of-japan</link>
                                    <pubDate>Mon, 17 Sep 2012 11:19:48 EDT</pubDate>
                                    <description><!--[CDATA[ 
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 Japan&rsquo;s Government Pension Investment Fund (GPIF) has US$1.4 trillion in assets and is the world&rsquo;s largest pension fund. The institutional structure and the investment style of GPIF differ from those of other Public Pension Reserve Funds (PPRF). This article describes how GPIF is structured and how it works, then compares it with&nbsp;Canadian and American PPRF approaches. Perspectives include the discretion exercised in investment decisions, information asymmetry, and accompanying agency and governance problems.
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                                    <title>Misadventures of an Irresponsible Investor</title>
                                    <link>http://www.rijpm.com/article/misadventures-of-an-irresponsible-investor</link>
                                    <pubDate>Mon, 17 Sep 2012 11:15:07 EDT</pubDate>
                                    <description><!--[CDATA[ 
 &nbsp;

 The ESG movement is nudging toward an unhealthy state of political correctness, one that brooks no criticism (and there is much, but mostly sotto voce). Boards spend excessive time on ESG relative to any expected benefits for the principals; managers cynically sign up to UNPRI else their business suffers; while principals, when given a choice, eschew the option. Nonetheless, ESG raises important questions about the very purpose of fiduciary investing, especially whether a pension fund has any social responsibility beyond generating the greatest risk-adjusted return for its beneficiaries. Jane Ambachtsheer, Stephen Davis, and Keith Johnston were invited to respond toGray&rsquo;s views. Their comments follow immediately after this article.
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                                    <title>Selling Hope</title>
                                    <link>http://www.rijpm.com/article/selling-hope</link>
                                    <pubDate>Mon, 17 Sep 2012 11:06:06 EDT</pubDate>
                                    <description><!--[CDATA[ 
 Numerous studies show that most active managers fail to deliver alpha over time, net of fees; yet investors continue to pay high fees for active management. This article asks why investors persist in such seemingly irrational behavior. As long as active managers can keep on charging high fees, they will do so. Investment managers are fond of telling clients that &ldquo;hope is not a strategy&rdquo;; ironically, however, selling hope has turned out to be a fantastic strategy for investment managers. It may benefit investors to think twice about how much they want to pay for hope.

 
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                                    <title>Editorial: Challenging the Status Quo</title>
                                    <link>http://www.rijpm.com/article/editorial-challenging-the-status-quo</link>
                                    <pubDate>Mon, 17 Sep 2012 11:01:48 EDT</pubDate>
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                                    <title>ICPM Invests in Research and Innovation</title>
                                    <link>http://www.rijpm.com/article/icpm-invests-in-research-and-innovation</link>
                                    <pubDate>Wed, 23 May 2012 15:37:44 EDT</pubDate>
                                    <description><!--[CDATA[ 
 Since its inception in 2005, Rotman ICPM has funded 20 research projects for which completed Research Papers can be accessed through the Rotman ICPM website. Research Papers are presented at Discussion Forums, and related articles are published in the Rotman International Journal of Pension Management. This update describes four new research projects the ICPM Research Committee has selected for funding over the 2012&ndash;2013 period.
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                                    <title>The BP Crisis as a “Preventable Surprise”: Lessons for Institutional Investors</title>
                                    <link>http://www.rijpm.com/article/the-bp-crisis-as-a-preventable-surprise-lessons-for-institutional-investors</link>
                                    <pubDate>Wed, 23 May 2012 15:27:40 EDT</pubDate>
                                    <description><!--[CDATA[ 
 With high-impact, low-probability events increasing in frequency and impact,this article shows what investors can learn from BP&rsquo;s Gulf of Mexico spill. It identifies six causative drivers, one of which is shareholder value maximization; shows why these events are &ldquo;preventable surprises&rdquo; and describes how investors could choose to be enablers of sustainable capitalism rather than of the dysfunctional markets experienced today. Arguing for a fundamentally different mindset that includes, among other things, acknowledging the importance of &ldquo;sustainable cash flows&rdquo; and &ldquo;ESG beta,&rdquo; the authors highlight a practical management agenda for long-horizon asset owners who have a twenty-first-century understanding of fiduciary duty.
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                                    <title>Thinking Strategically about Climate Change: Risks and Opportunities</title>
                                    <link>http://www.rijpm.com/article/thinking-strategically-about-climate-change-risks-and-opportunities</link>
                                    <pubDate>Wed, 23 May 2012 15:21:28 EDT</pubDate>
                                    <description><!--[CDATA[ 
 This article presents the results of a large-scale research project analyzing the potential impact of climate change on investors&rsquo; portfolios. This collaborative endeavor was led by Mercer and included 14 global institutional investors representing in excess of $2 trillion in assets under management, together with the International Finance Corporation and the Carbon Trust. The article summarizes four climate change scenarios through a factor risk framework to measure the different sources of investment risk. Institutional investors can use this framework to enhance their understanding of climate-related investment risks and opportunities across many asset classes and regions. One key finding is that risks and uncertainty around climate policy can account for as much as 10%of total fund risk in a pension fund with a hypothetical strategic asset allocation. The authors also suggest that some asset classes are more sensitive to climate change in terms of both the risks and the opportunities that need to be proactively managed, including infrastructure, private equity, real estate, sustainable listed equities, agricultural land, and timberland.
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                                    <title>Really Investing for the Long-Term: A Case Study</title>
                                    <link>http://www.rijpm.com/article/really-investing-for-the-long-term-a-case-study</link>
                                    <pubDate>Wed, 23 May 2012 15:10:38 EDT</pubDate>
                                    <description><!--[CDATA[ 
 Many public company decisions continue to be dominated by short-term thinking, which can lead to negative long-term consequences for investors. Pension funds have a duty to act in the financial interest of their beneficiaries as investors, but they can achieve this only within a framework of good corporate governance and long-term sustainable investing. This article details the steps that Dutch asset manager PGGM has taken in this direction by creating the Responsible Equity Portfolio, a dedicated equity portfolio with a long-term investment horizon that integrates financial, environmental, social, and governance factors with active ownership. The article sets out the investment philosophy, implementation processes, and results of this unique strategy.
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                                    <title>The Road Ahead: Rethinking the Investment Policy Roadmap</title>
                                    <link>http://www.rijpm.com/article/the-road-ahead-rethinking-the-investment-policy-roadmap</link>
                                    <pubDate>Wed, 23 May 2012 15:05:21 EDT</pubDate>
                                    <description><!--[CDATA[ 
 Poor recent investment returns have often been seen as one of the main culprits in the current public pension funding crisis in the United States. Yet scant attention is paid to the investment risks, return assumptions, and investment decision-making processes underpinning these results. This article lays out a framework proposed in the City of New York to address the three shared investment challenges faced by many public funds across the United States: first, create a new starting point for investment planning based on understanding risks; second, draw an investmentpolicy roadmap with clear steps to get to a long-term balanced policy portfolio; and, finally, get governance right. The solutions to some of the most difficult problems of pension stewardship are visibly within the grasp of everyone involved.
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                                    <title>How Large Pension Funds Organize Themselves: Findings from a Unique 19-Fund Survey</title>
                                    <link>http://www.rijpm.com/article/how-large-pension-funds-organize-themselves-findings-from-a-unique-19-fund-survey</link>
                                    <pubDate>Wed, 23 May 2012 15:01:35 EDT</pubDate>
                                    <description><!--[CDATA[ 
 This article documents the organizational and compensation structures of 19 major pension funds around the world. Among the study&rsquo;s key findings are that more internal management is associated with greater fund size, lower operating costs, and higher net returns; internal compensation levels vary considerably around the globe; and the majority of fund&rsquo;s Boards of Directors continue to lack diversity. Looking ahead, the authors find that risk management is the number-one Board concern.
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                                    <title>Incorporating Uncertainty into Accounting Estimates of Pension Liabilities</title>
                                    <link>http://www.rijpm.com/article/incorporating-uncertainty-into-accounting-estimates-of-pension-liabilities</link>
                                    <pubDate>Wed, 23 May 2012 14:56:44 EDT</pubDate>
                                    <description><!--[CDATA[ 
 This paper develops a model for obtaining an estimate of pension shortfall at a given time point and uses this model to analyze how defined benefit pension plan accounting is affected by uncertainty about rates of return. Results show that the risks of underfunding are much higher than indicated in current financial reporting. We propose that these risks be disclosed in financial reporting so as to address the disclosure problems identified in prior research.
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                                    <title>Pension Liability Measurement and Intergenerational Fairness: Two Case Studies</title>
                                    <link>http://www.rijpm.com/article/pension-liability-measurement-and-intergenerational-fairness-two-case-studies</link>
                                    <pubDate>Wed, 23 May 2012 14:52:43 EDT</pubDate>
                                    <description><!--[CDATA[ 
 This article shows how valuation techniques for pension liabilities in risk-sharing pension plans affect the distribution of wealth between generations. Some techniques in use today underestimate liabilities and benefit current retirees at the expense of other plan stakeholders, undermining the sustainability of risk-sharing pension plans by shifting concealed deficits to future generations. The liability valuation techniques of state and local pension plans in the United States and those recently proposed in the Netherlands for its Collective Defined Contribution pension system are two examples. The article shows that these techniques are not &ldquo;arbitrage free,&rdquo; meaning that their intergenerational wealth-distribution effects are deeply damaging.
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