考文垂大学 商科课程 机构投资 课件2.docx
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考文垂大学 商科课程 机构投资 课件2.docx
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考文垂大学商科课程机构投资课件2
PENSIONS
INMANYCOUNTRIES,PENSIONFUNDSARETHEDOMINANTFORMOFINSTITUTIONALINVESTMENT.THESEFUNDSAREBUILTUPDURINGTHEWORKINGLIFEOFTHEINVESTORANDTHENUSEDTOFINANCEANINCOMEDURINGRETIREMENT.
THEYMAYBEOPERATEDBYTHECOMPANYFORWHICHTHEPERSONWORKS.THECOMPANYINVESTSOVERTIMETOBUILDUPAFUNDTHATISUSEDTOPROVIDEARETIREMENTINCOMEFORITSEMPLOYEES.
ALTERNATIVELYTHEEMPLOYEESINVESTINAFUNDOFTHEIRCHOOSINGWITHAVIEWTOBUILDINGUPASUMOFMONEYTHATCANBEUSEDTOBUYANANNUITY(GUARANTEEDSTREAMOFINCOME)ATRETIREMENT.
THEMOSTIMPORTANTASSETSWITHINTHEPORTFOLIOSOFPENSIONFUNDSTENDTOBESTOCKMARKETINVESTMENTSINTHEFORMOFSHARESANDBONDS.BUTOTHERASSETSAREOFTENHELD,SUCHASDEPOSITSANDPROPERTY.
THEIMPORTANCEOFFUNDEDPENSIONSVARIESCONSIDERABLYBETWEENCOUNTRIES.IFSL(INTERNATIONALFINANCIALSERVICES,LONDON)ESTIMATEDTHATIN2004THEUKHAD$1,464BILLIONINPENSIONFUNDS,GERMANYHAD$268BILLIONANDFRANCE$164BILLION.
HOWEVERTHEIMPORTANCEOFPENSIONFUNDSINGERMANYANDFRANCESEEMEDTOBEINCREASINGRAPIDLYSINCEPENSIONFUNDSINBOTHHADMORETHANDOUBLEDINTHEPREVIOUSTHREEYEARS.
PENSIONSCHEMESCANBEDIVIDEDINTODEFINEDBENEFITANDDEFINEDCONTRIBUTIONSCHEMES.
DEFINEDBENEFITSCHEMESAREVIRTUALLYALWAYSPENSIONSPROVIDEDBYEMPLOYERSFORTHEIREMPLOYEES.THEYSTIPULATEAPARTICULARLEVELOFINCOMEINRETIREMENT,NORMALLYBASEDONFINALSALARYANDLENGTHOFSERVICE.
DEFINEDCONTRIBUTIONPENSIONSCHEMESDONOTINVOLVEAPRESCRIBEDINCOMEINRETIREMENT.INSTEADTHEYPRESCRIBELEVELSOFCONTRIBUTIONTOTHEFUNDPRIORTORETIREMENT.
THEPENSIONOBTAINEDTHROUGHADEFINEDCONTRIBUTIONSCHEMEDEPENDSUPONTHEGROWTHRATEOFTHEFUNDANDANNUITYRATESATTHETIMEOFRETIREMENT.
MOSTOFTHEMONEYINPENSIONFUNDSISINVESTEDINSTOCKMARKETS.INCONSEQUENCETHEREISAHIGHDEGREEOFUNCERTAINTYCONCERNINGTHEFUTUREVALUEOFAPENSIONFUND.
INTHECASEOFMONEY-PURCHASESCHEMES,ITISTHERECIPIENTOFTHEPENSIONWHOBEARSTHISRISK.THERECIPIENTALSOBEARSTHERISKTHATANNUITYRATES,ANDHENCETHERETIREMENTINCOMETHATCANBEPURCHASED,WILLBELOWATRETIREMENT.
SINCEANNUITIESAREBASEDONGOVERNMENTBONDS(GILTS),THISRISKRELATESTOTHEPOSSIBILITYTHATRATESOFYIELDONGOVERNMENTBONDSWILLBELOWATTHETIMEOFRETIREMENT.
INTHECASEOFFINAL-SALARYSCHEMES,THEEMPLOYERBEARSTHERISKS.ACOMBINATIONOFPOORINVESTMENTPERFORMANCE,LOWBONDYIELDS,ANDHIGHRATESOFSALARYGROWTHCANRESULTINPENSIONFUNDSBEINGINSUFFICIENTTOMEETTHEPENSIONCOMMITMENTS.INSUCHACASETHEEMPLOYERMUSTREPLENISHTHEPENSIONFUNDOUTOFTHATEMPLOYER’SBUSINESSREVENUES.
UNTIL1999MOSTCOMPANYPENSIONSCHEMESWEREDEFINEDBENEFITSCHEMES(PENSIONBASEDONSALARYANDYEARSOFSERVICE).SINCE1999MANYCOMPANIESHAVEBEENCLOSINGDEFINEDBENEFITSCHEMESTONEWEMPLOYEESANDREPLACINGTHEMWITHDEFINEDCONTRIBUTIONSCHEMES(PENSIONBASEDONANACCUMULATEDPENSIONFUND).
THISHASBEENPARTLYDUETOTHERISKSTHATDEFINEDBENEFITSCHEMESIMPOSEONEMPLOYERS.THESERISKSTAKESEVERALFORMS.THEREISTHERISKOFSTOCKMARKETSPERFORMINGPOORLYWITHTHEEFFECTTHATTHEEMPLOYERHASTOMAKELARGEADDITIONALCONTRIBUTIONSTOTHEPENSIONFUND.
ANOTHERMAJORFORMOFRISKARISESFROMCHANGESINLONGEVITY;IFPENSIONERSLIVELONGERTHEYDRAWMOREFROMTHEPENSIONFUND.
FALLINGBONDYIELDSANDUNEXPECTEDLYFASTSALARYINCREASESCANEXACERBATETHESERISKS.
ANNUITIES
ANNUITIESAREGUARANTEEDINCOMES.THEYAREOFTENUSEDFORPENSIONPURPOSES.UPONRETIREMENTAPERSONWOULDBUYANANNUITYANDTHEREBYGUARANTEEARETIREMENTINCOMEPAYABLEUNTILDEATH.
ONCETHEANNUITYISTAKENOUTITCANNOTBECHANGED.THEBUYEROFTHEANNUITYALSONEEDSTOBEAWARETHATTHEMONEYUSEDTOBUYTHEANNUITYISNOTUSUALLYREFUNDABLE.
IFSOMEONEDIESIMMEDIATELYAFTERBUYINGANANNUITY,THEMONEYUSEDTOBUYTHEANNUITYISNORMALLYLOST.
ANNUITIESCANBELOOKEDUPONASAFORMOFINSURANCE.ANNUITIESTHATPAYANINCOMEFORTHERESTOFAPERSON’SLIFEINSURETHEINDIVIDUALAGAINSTTHEPOSSIBILITYOFOUTLIVINGTHEMONEYSETASIDEFORRETIREMENT.
ASWITHOTHERFORMSOFINSURANCE,RISKISPOOLEDSOTHATTHEREAREBOTHGAINERSANDLOSERS.THEPOOLINGMECHANISMUSESTHEFUNDSOFTHOSEWHODIEEARLYTOSUBSIDISETHEINCOMEOFTHOSEWHOLIVELONGERTHANAVERAGE.THISISA‘MORTALITYCROSS-SUBSIDY’WHEREBYTHOSEWHODIEYOUNGSUBSIDISETHOSEWHOLIVELONGLIVES.
ANNUITIESNORMALLYINVESTINGOVERNMENTBONDS(GILTS).THEANNUITYPAYMENTSTOTHEPENSIONERARISEPARTLYFROMTHEYIELDONTHEGOVERNMENTBONDS,ANDPARTLYFROMTHEREPAYMENTOFTHEINITIALPURCHASEPRICEOFTHEANNUITY.
THECOSTOFTHEANNUITYISRETURNEDTOTHEPENSIONEROVERTIMEATARATETHATWOULDRETURNTHEENTIRESUMBYTHEEXPECTEDDATEOFDEATH.INSURANCECOMPANYSTATISTICIANS(ACTUARIES)DETERMINETHEEXPECTEDDATEOFDEATH.
SINCEANNUITYPAYMENTSDEPENDONTHEYIELDSONGOVERNMENTBONDS,PENSIONERSFACEAHIGHDEGREEOFUNCERTAINTY.YIELDSONGOVERNMENTBONDSVARYOVERTIME.
INCONSEQUENCEANNUITYRATESCANCHANGESUBSTANTIALLYFROMYEARTOYEAR.IFAPERSONRETIRESINAYEARINWHICHANNUITYRATESARERELATIVELYLOW,THATPERSONSUFFERSALOWPENSIONFORTHERESTOFHIS,ORHER,LIFE.
THESYSTEMOFOBTAININGAPENSIONBYBUYINGANANNUITYATRETIREMENTINVOLVESACONSIDERABLEAMOUNTOFRISK.THESIZEOFTHEPENSIONDEPENDSUPONWHENTHISOCCURS.
RETIREMENTATATIMEWHENSHAREPRICES(ANDHENCEPENSIONFUNDVALUES)ARELOWANDGOVERNMENTBONDYIELDSARELOWRESULTSINALOWPENSION.ASMALLFUNDWOULDBEINVESTEDATALOWRATEOFYIELD.
THEENDOWMENTEQUATION
THEEQUATIONFORESTIMATINGTHESUMTOBEACCUMULATEDFROMREGULARINVESTMENTIS:
M=p[(1+y)T-1]/y
WHERE:
M=SUMTOBEACCUMULATED
P=PERIODICPAYMENT
Y=RATEOFRETURNONTHE
ENDOWMENTFUND(PERPERIOD)
T=NUMBEROFPERIODS(e.g.MONTHS)
Exercise
If£100permonthweretobeinvestedover25yearsinafundwithanexpectedaveragerateofreturnof6%p.a.(netofcharges)whatfundvalue,attheendofthe25years,wouldbeexpected?
Answer
M=p[(1+y)T-1]/y
M=1200[(1.06)25–1]/0.06
M=£65,837.41
Exercise
Someoneisplanningtoaccumulate£250,000over40years.Whatistherequiredannualcontributiontotheendowmentfundiftherateofreturnonthefundis5%p.a.?
Answer
M=p[(1+y)T-1]/y
250,000=p[(1.05)40-1]/0.05
250,000=px120.8
p=250,000/120.8=2069.54
Therequiredannualcontributionis£2,069.54
Exercise265
(a)Pensioncontributionsaretax-deductibleandyourmarginalrateoftaxis40%.Youplantoinvestanetsumof£150permonthinapensionfundfor(i)30years,and(ii)50years.Whatsumwouldyouexpecttoaccumulateatanaverageannualgrowthrateof6%withazeroannualmanagementcharge?
(b)Howwouldtheanswerschangeiftherewerea2%p.a.managementcharge?
Answer
(a)Anetmonthlycontributionof£150amountstoagrosscontributionof£250permonth(£250x0.6=£150).
Theendowmentequationis:
M=p.[(1+y)T-1]/y
(i)Using0.5%permonth(6%/12)
M=250.[(1.005)360–1]/0.005
M=£251,128.76
(ii)M=250.[(1.005)600–1]/0.005
M=£946,797.77
(b)Anannualmanagementchargeof2%wouldreducetheannualgrowthrateto4%(6%-2%).
(i)Using0.333%permonth(4%/12)
M=250.[(1.00333)360–1]/0.00333
M=£173,388.69
(ii)M=250.[(1.00333)600–1]/0.00333
M=£476,715.90
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