UK pension fund management after Myners: the hunt for correlation begins

David Blake

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: The Myners Report will have a number of significant consequences for pension fund management and performance measurement in the UK. It changes the way in which assets are selected. The strategic asset allocation will have overriding importance in pension fund management. Asset classes will be selected on the basis of their match with liabilities in terms of correlation and volatility, rather than on the basis of expected return. Every pension scheme will have a scheme-specific funding standard that reflects the maturity structure of the liabilities of the scheme. It changes the role of the fund manager. A hierarchical relationship will develop between the investment advisor, actuary and fund manager. The investment advisory function assumes a primacy over the actuarial and fund management functions. It changes the way investment performance is measured. Liability-driven performance measurement and attribution will replace the existing performance measurement framework in the UK. The passively managed components of the pension fund will be judged on the costs of implementation. Only the performance of the surplus assets will be measured on a conventional basis. The Myners Report is summarised and an illustrative statement of investment principles and transparency statement are presented.

Keywords: pension fund management; strategic asset allocation; liabilities; performance measurement; Myners Report; scheme-specific funding standard; statement of investment principles (search for similar items in EconPapers)
JEL-codes: G23 (search for similar items in EconPapers)
Pages: 59 pages
Date: 2003-03-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://eprints.lse.ac.uk/24833/ Open access version. (application/pdf)

Related works:
Journal Article: UK pension fund management after Myners: The hunt for correlation begins (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24833

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().