Немного про пенсионные дела в США. Государственные (т.е. штаты, округа, госслужащие, пожарные, учителя и т.п.) пенсионные фонды в попытке заработать денег вкладываются в альтернативные инвестиции: private equity, real estate и hedge funds. Некоторые отводят на них почти половину, так что это уже не альтернативные получаются инвестиции, а основные. У всех этих направлений комиссионные за управление значительно выше традиционных облигаций и чуть менее традиционных акций, но ведь надо зарабатывать денежки по мере того как все меньше входит в систему и все больше выходить. А заложенные доходности в моделях не соответствуют реальности. Так что надо либо улучшать инвестиционные результаты, либо просить больше денежек вкладывать. Но бумеры выходят на пенсию, так что это не поможет.
While both sides of the debate can point to various studies, the topic is taking on a sharper focus as more funds embrace the riskier strategy. By September 2011, retirement systems with more than $1 billion in assets had increased their stakes in real estate, private equity and hedge funds to 19 percent, from 10.7 percent in 2007, according to the Wilshire Trust Universe Comparison Service.
Fees for the $242 billion in California’s giant state pension system, known as Calpers, nearly doubled, to more than $1 billion a year, after it increased its holdings in private assets and hedge funds to 26 percent of its total in 2010, from 16 percent in 2006.
Calpers, which has earned 3.4 percent annually over the last five years, is pushing the managers of the funds for lower fees as well as reducing the number of outside managers it uses to try to bring costs down.
...
It has been tough to find robust returns in any markets over the last five years. While the median return for private equity investments held by public pension funds was an annualized 7.2 percent, hedge funds returned only 2.74 percent, according to Wilshire TUCS. Likewise, global bonds earned 6.99 percent while global equities rose 3.68 percent.
http://www.nytimes.com/2012/04/02/business/pension-funds-making-alternative-bets-struggle-to-keep-up.html?_r=2&hp=&pagewanted=all
Тот же КАЛПЕРС заработал 1% за год окончившийся 30 июня 2012 года. Это маловато если учесть, что облигационные программы принесли 12,7%. Увлеченность private equity на самом деле сильно снизила качество отбора объектов для инвестирования и риск-менеджмента в отрасли. А денег срубили только те кто пришел раньше на поляну, ну вообщем как всегда.
CALPERS’ returns do not tell us much about the risk-adjusted nature of the returns. Disappointing private equity returns are a case in point. Despite the fact that private equity lost less money than public equity, the private equity performance was arguably much worse once it was adjusted for the characteristics of private equity funds: egregiously high fees; high leverage; concentration risk; and illiquidity. And let us not forget how this asset class imploded in 2008 and is still digging out from that disaster. Institutions remain convinced that they must have large allocations to private equity. This is a result of the success of early investors in private equity such as the Yale University Endowment Fund led by David Swenson. But early investors participated in early private equity firms’ monopoly profits. The industry has since become overcrowded and risk-adjusted returns are now poor. Many institutions are increasing their allocations to private equity; it is time to rethink that approach.
The men and women managing large pension funds have a difficult task. But they need to revise their thinking about asset allocation. They rely too much on consultants, who in turn rely too much on conventional thinking that has proven time and again to be misguided. Traditional notions of asset allocation continue to lead institutions into traps such as excessive allocations to private equity that lead to unacceptably low returns. It is time for a new intellectual regime that recognizes that low interest rates are here to stay but neither assures low fixed income returns nor promise high equity returns.
http://www.cumber.com/commentary.aspx?file=071812.asp
Частные программы тоже страдают от этих грехов:
As the CHART OF THE DAY shows, companies in the Standard & Poor’s 500 Index had a record $354.7 billion deficit in pension funds at the end of last year, according to figures compiled by S&P. The shortfall widened by 45 percent from 2010.
http://www.bloomberg.com/news/2012-07-27/s-p-500-pension-cuts-may-ease-competition-risk-chart-of-the-day.html
Но парни уже нашли выход. Они предлагают выплатить пенсию одним чеком: lump-sum payments (касается текущих пенсионеров и выходящих на пенсию). Вот например ДжиЭм:
DETROIT — General Motors said Friday that it would offer lump-sum payments to thousands of white-collar retirees to reduce its pension obligations, which are the biggest in the nation, and would pay Prudential Insurance to take over its pension payments to other retirees.
The changes, which will eliminate about one-fifth of the automaker’s pension obligations, are intended in part to increase its appeal to investors.
the pension changes announced on Friday would reduce G.M.’s total obligations, currently $134 billion, by $26 billion. Most of the cost will be paid with money the company had already set aside in its pension fund for salaried workers, but G.M. will put in an additional $4 billion from its corporate coffers.
Unionized hourly workers’ benefits are unaffected by the changes.
G.M. said that even after sending roughly $29 billion of pension assets to Prudential, it will still have $8 billion of assets in the salaried workers’ pension fund. That will leave the plan $2 billion short of the total $10 billion that the company owes its current workers for future pensions. The white-collar workers’ pension plan has been frozen already, and officials said their benefits would be unchanged.
G.M. said that in the coming weeks, about 42,000 of its 118,000 retired salaried workers would get letters offering the chance to trade their regular monthly pension checks for a single upfront payment. Those who choose the big check would receive it by September. The conversion factor for calculating the value of the single check was established by law in 2006.
For retirees who do not accept or are ineligible for the lump sum, G.M. will purchase a group annuity contract from Prudential Insurance to pay and administer the continuing benefits.
The lump-sum offers will be made to retirees who left G.M. between October of 1997 and December of last year. The size of the offers will vary by age, health, length of corporate service, and current pension benefits.
G.M. will spend $3.5 billion to $4.5 billion to finance the buyouts, buy the group annuities, and create the new plan for existing salaried workers. The company expects to take a charge of as much as $3.5 billion against earnings in the second half of the year for the changes.
It will also lose about $200 million a year in noncash profits that it was allowed to report because of accounting rules that apply to pensions. Those rules have been controversial among investors because they can allow companies to raise their reported earnings without improving the performance of the business.
http://www.nytimes.com/2012/06/02/business/gm-to-offer-buyouts-to-white-collar-retirees.html
То есть тем кто соглашается выплачиваем чек, тем кто нет покупаем аннуитет у Prudential Insurance, все что осталось (кроме обязательств перед текущим работниками) передаем тем же парням из Prudential Insurance с доплатой. Речь идет о белых воротничках (у которых зарплата), т.е. не о рабочих на конвейере они без изменений. Первым из крупняка по такому пути пошли в Форд (очередной раз доволен тем, что и здесь Форд всех делает, вот есть у меня к нему глубокая инвестиционная любовь, ее конечно не хватило на 18$ за акцию, но и 16 долл. это уже гуд для меня, не зря он за 5 лет превосходит конкурентов по отрасли и широкий рынок, т.е. СП500). Раньше когда вы делали такой трюк надо было платить премию, а теперь нет, к тому же Обама при расчете размера единоразовой выплаты разрешил использовать среднюю ставку за последние 25 лет, а не 2 года. Что разумеется ее увеличило, а приведенную стоимость уменьшило. Профессор вот тут один говорит, что принимать такие предложения не стоит
Moshe A. Milevsky. He's a finance professor at the Schulich School of Business at York University in Toronto and CEO of QWeMA Group, which licenses intellectual property and algorithms used in retirement calculators. His latest book, "The Seven Most Important Equations for Your Retirement and the Stories Behind Them" (John Wiley & Sons), was published this week.
Milevsky cautions that there's no one-size-fits all answer.
"But my default position is not to take the lump sum and I therefore have to be convinced to give up the pension annuity. Not the other way around," he says.
"In most cases, the lump sum won't compensate for loss of the pension, unless you're in poor health and don't expect to live very long."
Помимо плохого здоровья и внезапной смерти, опасаться можно еще двух вещей:
Although Milevsky leans in most cases toward keeping the pension, he notes that there are a couple downsides to pension annuity streams, too. First, private sector pensions aren't adjusted for inflation, so the value of the income streams erodes over time.
Safety is another concern. In the event that your employer goes belly up and the plan defaults on its obligations, the government-sponsored Pension Benefit Guarantee Corporation (PBGC) steps in to take over and continue making payments. But highly-paid workers could be in line for benefits that exceed the PBGC's insurance protection levels. The payout rates available from the PBGC are based on your age at the time the plan is terminated and are updated annually (here). For 2012, the maximum monthly benefit for workers retiring at age 65 is $4,653.41, or $4,188.07 if you elect a joint and survivor option that pays benefits to a spouse.
http://www.reuters.com/article/2012/05/03/us-column-miller-pensions-idUSBRE8420Y020120503
В остальных случаях ставка дисконтирования, используемая при расчете PV этих пенсионных аннуитетов не очень то и низкая, а потому в условиях низких процентных ставок лучше сохранить его за собой. Вот только вопрос, что делать если инфляция вдруг начнет расти?
Профессор строго рекомендует самому не сидеть с калькулятором и его книжкой, а пойти к консультанту, но только тому кто берет стандартный размер за консультацию, а не тому кто захочет склонить вас получить чек, а потом взять процент от него. Что еще сказать хороший профессор.
While both sides of the debate can point to various studies, the topic is taking on a sharper focus as more funds embrace the riskier strategy. By September 2011, retirement systems with more than $1 billion in assets had increased their stakes in real estate, private equity and hedge funds to 19 percent, from 10.7 percent in 2007, according to the Wilshire Trust Universe Comparison Service.
Fees for the $242 billion in California’s giant state pension system, known as Calpers, nearly doubled, to more than $1 billion a year, after it increased its holdings in private assets and hedge funds to 26 percent of its total in 2010, from 16 percent in 2006.
Calpers, which has earned 3.4 percent annually over the last five years, is pushing the managers of the funds for lower fees as well as reducing the number of outside managers it uses to try to bring costs down.
...
It has been tough to find robust returns in any markets over the last five years. While the median return for private equity investments held by public pension funds was an annualized 7.2 percent, hedge funds returned only 2.74 percent, according to Wilshire TUCS. Likewise, global bonds earned 6.99 percent while global equities rose 3.68 percent.
http://www.nytimes.com/2012/04/02/business/pension-funds-making-alternative-bets-struggle-to-keep-up.html?_r=2&hp=&pagewanted=all
Тот же КАЛПЕРС заработал 1% за год окончившийся 30 июня 2012 года. Это маловато если учесть, что облигационные программы принесли 12,7%. Увлеченность private equity на самом деле сильно снизила качество отбора объектов для инвестирования и риск-менеджмента в отрасли. А денег срубили только те кто пришел раньше на поляну, ну вообщем как всегда.
CALPERS’ returns do not tell us much about the risk-adjusted nature of the returns. Disappointing private equity returns are a case in point. Despite the fact that private equity lost less money than public equity, the private equity performance was arguably much worse once it was adjusted for the characteristics of private equity funds: egregiously high fees; high leverage; concentration risk; and illiquidity. And let us not forget how this asset class imploded in 2008 and is still digging out from that disaster. Institutions remain convinced that they must have large allocations to private equity. This is a result of the success of early investors in private equity such as the Yale University Endowment Fund led by David Swenson. But early investors participated in early private equity firms’ monopoly profits. The industry has since become overcrowded and risk-adjusted returns are now poor. Many institutions are increasing their allocations to private equity; it is time to rethink that approach.
The men and women managing large pension funds have a difficult task. But they need to revise their thinking about asset allocation. They rely too much on consultants, who in turn rely too much on conventional thinking that has proven time and again to be misguided. Traditional notions of asset allocation continue to lead institutions into traps such as excessive allocations to private equity that lead to unacceptably low returns. It is time for a new intellectual regime that recognizes that low interest rates are here to stay but neither assures low fixed income returns nor promise high equity returns.
http://www.cumber.com/commentary.aspx?file=071812.asp
Частные программы тоже страдают от этих грехов:
As the CHART OF THE DAY shows, companies in the Standard & Poor’s 500 Index had a record $354.7 billion deficit in pension funds at the end of last year, according to figures compiled by S&P. The shortfall widened by 45 percent from 2010.
http://www.bloomberg.com/news/2012-07-27/s-p-500-pension-cuts-may-ease-competition-risk-chart-of-the-day.html
Но парни уже нашли выход. Они предлагают выплатить пенсию одним чеком: lump-sum payments (касается текущих пенсионеров и выходящих на пенсию). Вот например ДжиЭм:
DETROIT — General Motors said Friday that it would offer lump-sum payments to thousands of white-collar retirees to reduce its pension obligations, which are the biggest in the nation, and would pay Prudential Insurance to take over its pension payments to other retirees.
The changes, which will eliminate about one-fifth of the automaker’s pension obligations, are intended in part to increase its appeal to investors.
the pension changes announced on Friday would reduce G.M.’s total obligations, currently $134 billion, by $26 billion. Most of the cost will be paid with money the company had already set aside in its pension fund for salaried workers, but G.M. will put in an additional $4 billion from its corporate coffers.
Unionized hourly workers’ benefits are unaffected by the changes.
G.M. said that even after sending roughly $29 billion of pension assets to Prudential, it will still have $8 billion of assets in the salaried workers’ pension fund. That will leave the plan $2 billion short of the total $10 billion that the company owes its current workers for future pensions. The white-collar workers’ pension plan has been frozen already, and officials said their benefits would be unchanged.
G.M. said that in the coming weeks, about 42,000 of its 118,000 retired salaried workers would get letters offering the chance to trade their regular monthly pension checks for a single upfront payment. Those who choose the big check would receive it by September. The conversion factor for calculating the value of the single check was established by law in 2006.
For retirees who do not accept or are ineligible for the lump sum, G.M. will purchase a group annuity contract from Prudential Insurance to pay and administer the continuing benefits.
The lump-sum offers will be made to retirees who left G.M. between October of 1997 and December of last year. The size of the offers will vary by age, health, length of corporate service, and current pension benefits.
G.M. will spend $3.5 billion to $4.5 billion to finance the buyouts, buy the group annuities, and create the new plan for existing salaried workers. The company expects to take a charge of as much as $3.5 billion against earnings in the second half of the year for the changes.
It will also lose about $200 million a year in noncash profits that it was allowed to report because of accounting rules that apply to pensions. Those rules have been controversial among investors because they can allow companies to raise their reported earnings without improving the performance of the business.
http://www.nytimes.com/2012/06/02/business/gm-to-offer-buyouts-to-white-collar-retirees.html
То есть тем кто соглашается выплачиваем чек, тем кто нет покупаем аннуитет у Prudential Insurance, все что осталось (кроме обязательств перед текущим работниками) передаем тем же парням из Prudential Insurance с доплатой. Речь идет о белых воротничках (у которых зарплата), т.е. не о рабочих на конвейере они без изменений. Первым из крупняка по такому пути пошли в Форд (очередной раз доволен тем, что и здесь Форд всех делает, вот есть у меня к нему глубокая инвестиционная любовь, ее конечно не хватило на 18$ за акцию, но и 16 долл. это уже гуд для меня, не зря он за 5 лет превосходит конкурентов по отрасли и широкий рынок, т.е. СП500). Раньше когда вы делали такой трюк надо было платить премию, а теперь нет, к тому же Обама при расчете размера единоразовой выплаты разрешил использовать среднюю ставку за последние 25 лет, а не 2 года. Что разумеется ее увеличило, а приведенную стоимость уменьшило. Профессор вот тут один говорит, что принимать такие предложения не стоит
Moshe A. Milevsky. He's a finance professor at the Schulich School of Business at York University in Toronto and CEO of QWeMA Group, which licenses intellectual property and algorithms used in retirement calculators. His latest book, "The Seven Most Important Equations for Your Retirement and the Stories Behind Them" (John Wiley & Sons), was published this week.
Milevsky cautions that there's no one-size-fits all answer.
"But my default position is not to take the lump sum and I therefore have to be convinced to give up the pension annuity. Not the other way around," he says.
"In most cases, the lump sum won't compensate for loss of the pension, unless you're in poor health and don't expect to live very long."
Помимо плохого здоровья и внезапной смерти, опасаться можно еще двух вещей:
Although Milevsky leans in most cases toward keeping the pension, he notes that there are a couple downsides to pension annuity streams, too. First, private sector pensions aren't adjusted for inflation, so the value of the income streams erodes over time.
Safety is another concern. In the event that your employer goes belly up and the plan defaults on its obligations, the government-sponsored Pension Benefit Guarantee Corporation (PBGC) steps in to take over and continue making payments. But highly-paid workers could be in line for benefits that exceed the PBGC's insurance protection levels. The payout rates available from the PBGC are based on your age at the time the plan is terminated and are updated annually (here). For 2012, the maximum monthly benefit for workers retiring at age 65 is $4,653.41, or $4,188.07 if you elect a joint and survivor option that pays benefits to a spouse.
http://www.reuters.com/article/2012/05/03/us-column-miller-pensions-idUSBRE8420Y020120503
В остальных случаях ставка дисконтирования, используемая при расчете PV этих пенсионных аннуитетов не очень то и низкая, а потому в условиях низких процентных ставок лучше сохранить его за собой. Вот только вопрос, что делать если инфляция вдруг начнет расти?
Профессор строго рекомендует самому не сидеть с калькулятором и его книжкой, а пойти к консультанту, но только тому кто берет стандартный размер за консультацию, а не тому кто захочет склонить вас получить чек, а потом взять процент от него. Что еще сказать хороший профессор.
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