考量盈餘風險與提撥風險下之最適退休基金管理

Optimal Pension Fund Management Concerning for Surplus and Contribution Risks

蘇恩德(Ender Su) ； 洪偉屏(Wa-Ping Hung) ； 洪端禧(Tuan-Hsi Hung) ； 李勝榮(Sheng-Jung Li)

《管理科學研究》 3卷1期 (2006/06) Pp. 37-60

https://doi.org/10.6873/MSR.200606_3(1).0003

摘要

本文擬探討「考量盈餘」與「提撥風險」下退休基金最適管理過程，研究方向針對基金保管者對於上述兩種基金所面臨的風險下，如何在風險暴露程度最小之情況下，追求退休基金之最適資產配置。綜合Myners研究和本文研究觀點，主要結論如下：（一）明確的基金提撥制度：不同性質退休制度下，其基金提撥方式應用不同，反應出的基金負債的結構也有所不同，以確定給付制下，基金負債深受薪資水準、服務年資、年齡和死亡機率等因素之影響。（二）退休基金資產配置的管理：在考量基金盈餘和提撥風險下，基金之資產配置應該以與基金負債高度相關之資產為主，基金投資管理者的目標在於規避上述之風險下，追求基金盈餘合理規範下之最適投資組合配置。本文以我國公務人員退撫基金為例，其基金最小風險暴露下之最適投資組合應該以固定收益型和委託經營之資產類別為主，相對地減少風險性資產的配置。（三）基金績效評估的改變：傳統之基金績效評估是以「相對的」觀念，比較市場基準指標（股市大盤指標）或同等類型投資團體之績效為目標，投資報酬率和投資風險是主要決定因素。而LDPA績效評估方法注重基金負債面的管理，績效評估中主要要素是資產負債表負債面－基金負債之現值（由退休基金精算顧問精算決定的）、未來預期負債支付率和LDA資產之客觀基準報酬率。

關鍵字

退休基金管理 ； 策略性資產配置 ； 退休基金負債 ； 負債趨動績效評估 ； 負債趨動資產

並列摘要

This paper intends to explore the optimal fund management supposed that fund managers are concerning for surplus risk and contribution risk. The methodology of the research is to find that when the scheme sponsors consider both of the above risks, how they will perform to minimize those risks and explore the optimal asset allocation of pension scheme. Wrapping up Myners report and this thesis's results lead to some substances: First, every pension scheme will have a scheme-specific funding standard that reflects the maturity structure of the liabilities of the scheme, and for the defined benefit schemes, the size of the pension benefit depends on factors such as final salary, length of pensionable service, and age of member. Secondly, if the management of asset allocation of the pension scheme concerning for surplus and contribution risks, the asset classes of the scheme will be selected on the basis of their counterparty with liabilities in terms of correlation and volatility rather than on the basis of expected return. Taking pension fund of public servant as an example, we find that fund managers should put more allocation on fixed income securities and trust operation and less allocation on risk assets. Thirdly, the measurement of the portfolio performance has been traditionally dominated by ＂peer-group＂ pension fund benchmarks and the expected return and volatility of the portfolio have been the first two concerned factors. The performance measurement of liability driven performance attribution (LDPA) is associated with the management of asset-liability management, and the information that is required over the LDPA performance measurement framework is as follows: the present value of the pension liabilities as determined by the pension scheme's actuary along with the pay-out rate of those liabilities, and the value of LDAs along with a customized benchmark returns of those assets.

並列關鍵字

pension fund management ； strategic asset allocation ； pension liabilities ； liability driven performance attribution ； liability driven assets