IDEAS home Printed from https://ideas.repec.org/a/cup/jpenef/v15y2016i01p90-111_00.html
   My bibliography  Save this article

The liability market value as benchmark in pension fund performance measurement

Author

Listed:
  • BOLLA, LIDIA
  • WITTIG, HAGEN
  • KOHLER, ALEXANDER

Abstract

Often performance of pension funds is assessed based on the development of the assets only, neglecting the simultaneous development of the liabilities. This especially is the case in Switzerland, one of the world's largest markets for corporate pension funds. We create a new liability benchmark for referencing the asset performance. Measuring the asset performance with respect to the liability benchmark yields the Asset-Liability-Result. We apply the model to (i) the Swiss pension fund market as a whole and (ii) an individual Swiss pension fund. With our new approach, we are able to show that the pension funds’ recovery from the recent financial crisis took much longer than the value increase of the asset portfolios suggests. We strongly advocate the use of a liability benchmark for analyzing the entire pension fund markets’ performance and specifically as operational tool for individual pension funds.

Suggested Citation

  • Bolla, Lidia & Wittig, Hagen & Kohler, Alexander, 2016. "The liability market value as benchmark in pension fund performance measurement," Journal of Pension Economics and Finance, Cambridge University Press, vol. 15(1), pages 90-111, January.
    • Handle: RePEc:cup:jpenef:v:15:y:2016:i:01:p:90-111_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S147474721400033X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Michail Anthropelos & Evmorfia Blontzou, 2023. "On Valuation and Investments of Pension Plans in Discrete Incomplete Markets," Risks, MDPI, vol. 11(6), pages 1-24, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jpenef:v:15:y:2016:i:01:p:90-111_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/pef .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.