Abstract
Using the universe of the 200 largest corporate pension plans in 1998, the authors report their value at risk (VaR) estimates and perform peer group comparisons on the basis of sector, plan assets, funding status, asset allocation, and performance. The results indicate that VaR estimates differ significantly for this sample, ranging from about 10% to 28%, with a median value of 17%. Also, plan aggressiveness increases more with plan assets than with funding status. More surprising is the finding that plan performance (i.e., actual plan returns) is not related. Although risk profiles differ across sectors, plans in the Healthcare, Technology, and Transportation sectors are the most aggressive (and risk profiles with in sectors are closely aligned). The exceptions are Financials, Capital Goods, and Basic Materials.
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