Achieving Investment Excellence: A Practical Guide for Trustees of Pension Funds, Endowments and Foundations

ISBN-13: 9781119437659 / Angielski / Twarda / 2019 / 328 str.

Kees G. Koedijk; Alfred Slager; Jaap Van Dam

Opis

Crucial methods, tactics and tools for successful pension fund management Achieving Investment Excellence offers trustees and asset managers a comprehensive handbook for improving the quality of their investments.

Spis treści

About the Authors xiiiAcknowledgments xvForeword xviiIntroduction 1Levels of Excellence: Assessing and Improving Your Practice 6How to Use the Book 8Chapters of the Book 9Part One Pension Funds: Understanding the Role, Shaping the MissionChapter 1 The Role of Pension Funds, and the Role of Boards 19The Role of Pension Funds 20The Pension Triangle 22Duties of Trustees 24Responsibility as a Fiduciary 26Delegation and Agency Relationships 27Responsibilities as a Board Member 30Responsibilities as a Shareholder 31Balancing the Three Roles 31Understanding and Managing Your Stakeholders 32Government 32Regulator 32Financial Markets 33Non-Governmental Organizations 34Endnotes 34Case Study--GEPF 36Chapter 2 Developing Purpose, Mission, Vision, and Goals 39The Functions of a Pension Fund 41Purpose 44Mission 45Values 46Vision 49Strategic Goals 50Endnotes 51Part Two Designing the ProcessChapter 3 Grasping the Investment Essentials 55Investment Goals 56Understanding Return Concepts 57Return 57Expectations 57Understanding Risk Concepts 59Risk is not Volatility 60Risk Premium 61Getting Risk Measures Right 62Risk Is about Behavior 63Steering Your Portfolio 64Benchmarks 65Diversification 66Conventional vs. Alternative Assets 67Active vs. Passive Investing 68Better Beta: Styles and Factors 70Responsible Investing 70Motives or Mission 71Instruments 72Endnotes 72Case Study--PFZW 74Chapter 4 Investment Beliefs as Guiding Tools 77Why Investment Beliefs Matter 78Basics of an Investment Belief 81Developing a Set of Investment Beliefs 82When, If Ever, Is the Time to Change Investment Beliefs? 83How (Not) to Use Investment Beliefs 87Endnotes 88Case Study--New Zealand Superannuation Fund 90Chapter 5 Designing the Investment Management Process 93The Investment Process 94Setting Objectives: Aligning Goals and Risk Appetite 95Investment Objectives 99Formulating Expectations 100Portfolio Construction 101Implementation and Monitoring 103Implementation 103Monitoring 103The Investment Policy Statement 105Endnotes 108Chapter 6 Organizing the Investment Function 109Inventorizing Investment Models 110Model 1: Traditional Asset Allocation Model 112Model 2: Endowment Model 112Model 3: Factor Allocation Model 114Model 4: Opportunity Cost or Reference Portfolio Model 116Model 5: Dual Strategic/Operational Benchmark Model 119Model 6: Risk Parity Model 120Developing Your Own Investment Approach 122Endnotes 123Case Study - GPFG 124Part Three Implementing the InvestmentsChapter 7 Implementing the Investment Strategy 129Organizing the Implementation 130The Rationale for Managing Costs 132Selection of Managers 134Active vs. Passive Management 136Internal vs. External Management 138Relationship with Suppliers 139Bridging the Implementation Gap 141Endnotes 142Case Study--ATP 144Chapter 8 Building the Investment Portfolio 147Framework for the Investment Portfolio 148The Board's Role in Portfolio Construction 151What Is a Good Investment Portfolio? 152Capital Market Assumptions 156Diversification 157Rebalancing 160Endnotes 160Case Study--OTPP 161Chapter 9 Monitoring and Evaluation 164Monitoring 165What to Monitor? 167Monitoring as a Multidimensional Process 168Monitoring the Policy 169The Position of Monitoring on the Investment Committee's Agenda 170What Is the Optimal Frequency for Monitoring? 171Monitoring Should Be Based on a Sound Approach: It Should NeverBe a Mechanical Exercise 171What to Look for in Monitoring 171When Does a Board Move from Monitoring to Evaluation? 175Evaluation 176Endnotes 178Part Four Organizing the BoardChapter 10 Becoming an Effective Board 181Responsibilities of the Board 181Board Composition 185What is Expected from Board Members? 187What is Expected of the Chair? 188Appointing New Board Members 189Governance Budget of the Board 191Board Decision-Making Culture 193Supporting the Board: Executive Office and Staff 194Ingredients of an Effective Board 197People and Board Composition 197Process 198Perspective 198The Right Altitude, Horizon and Distance 198Power and Delegation 198Learning 199Endnotes 199Case Study--CalPERS 200Chapter 11 Establishing the Investment Committee 203Roles and Responsibilities 204Advise the Board on an Investment Policy Statement 205Evaluate the Managers' Performance and Take Appropriate Actions 205Document the Investment Process and Decisions Made 205Members of the Investment Committee 207Forming an Effective Investment Committee 208The Role of the Chairman of the Investment Committee 210A Model for an Effective Investment Committee Meeting 210The Investment Committee Agenda 211Committee Preparation: Quality, Clarity and Timeliness and Extent of Materials 212Roles 213The Results of the Meeting 214Evaluation and Learning 214Endnotes 215Chapter 12 Managing the Investment Management Organization 216The Roles of the Investment Management Organization 217Functions and Typical Evolution of the IMO 219Outsourcing 222Subsidiaries: Majority or Fully Owned by the Pension Fund 223Pros and Cons of a Proprietary IMO 225Issues in Dealing with an Investment Organization 225The Service Level Agreement 227Monitoring and Evaluating the Investment Management Organization 228Endnotes 228Case Study--Future Fund 229Part Five Learning, Adapting and ImprovingChapter 13 Learning to Decide and to Take Advice 235Psychology of Decision-Making: Biases, Preferences, and Habits 236Group Processes on the Right Track 241Learning to Make Complex Decisions 243Using Expert Opinions 245The Investment Consultant 247Challenges and Dilemmas in Taking Advice 249Decision-Making under Pressure 251Endnotes 254Chapter 14 Achieving Investment Excellence 255The Five Activities Driving Towards Excellence 256Activity 1: Setting the Strategy (Chapters 1-2) 257Activity 2: Designing the Investment Process (Chapters 3-6) 257Activity 3: Implementing the Investments (Chapters 7-9) 259Activity 4: Organizing the Board (Chapters 10-12) 259Activity 5: Learning to Adapt (Chapter 13) 261The Learning Board and the Characteristics of the Levels of Excellence 261Leadership 262Resources 262Mind-Set and Culture 262Measures and Scorecards 263Maintenance and Education 264Levels of Excellence and the Board Learning Perspective 264The Board's Journey towards Achieving Excellence 264Step 1: Determine Where You Are Now 264Step 2: Define Your Long-Term Ambition 266Step 3: Define the Roadmap 266Step 4: Execute the Roadmap 267Enduring Investment Excellence 267Endnotes 269Self-Reflection Questions 270Appendix A 282Appendix B 284References 293Index 301

O autorze

KEES KOEDIJK is dean and director of TIAS Business School and a professor of finance at Tilburg University, the Netherlands. He is managing editor for the Journal of International Money and Finance, and his work has been published in numerous peer-reviewed journals. Kees Koedijk has served on many investment committees and advisory boards.ALFRED SLAGER is professor of pension fund management at TIAS Business School, and a trustee for the Dutch Pension Fund for General Practitioners. His extensive practical experience makes him a frequently invited advisor to pension funds and speaker at international events on pensions and asset management.JAAP VAN DAM is principal director of investment strategy at PGGM, where he is responsible for the strategic change agenda for the pension fund. He chairs the European Chapter of the 300 Club and serves as member on numerous advisory boards, including the Research Committee of the International Centre for Pension Management.