根据McGill University的研究，加拿大的养老基金正在全球投资绩效的同行击败全球投资绩效并对责任风险造成的对同行。
他们的成功部分地解释说，他们更有可能管理他们的资产，麦吉尔研究人员Sebastien Betermier和Quentin Spehner以及CEM的Alexander Beath和Chris Flynn，写在一个July paper。作者的调查结果基于2004年至2018年间全球养老金，捐赠和主权财富基金的研究。
Large Canadian funds in particular outperformed in all measures of the study, which analyzed returns, asset allocation strategies, and cost structures. The authors defined large funds as those managing more than $10 billion in assets in 2018.
“不仅他们对每个波动性风险产生了更大的回报，而且他们也做了促进养老金责任风险的卓越工作，”作者写道。“提供高回报绩效和保险免受责任风险的能力是值得注意的，因为预期通常被视为成本。”
而加拿大模型尚未完全证人d by the Covid-19 pandemic, the researchers said the strong performance of the country’s pension plans over the past decades kept them well-funded even as they faced the challenge of falling interest rates and rising life expectancy. U.S. corporate funds, meanwhile, are relatively expensive to run as they outsource a majority of their investments, according to the paper.
麦吉尔和CEM研究人员发现，加拿大养老金在内部管理其52％的资产，而在国内基金的资金相比，麦格尔和CEM研究人员。对于监督超过500亿美元资产的非常大的资金，差距甚至更广泛，加拿大养老金对其全球同行的34％内部管理80％。
“We estimate that, by managing a high proportion of their assets in-house, Canadian funds reduce costs by approximately one third,” the researchers said. “Moving the investment team in-house requires independent corporate governance and competitive compensation schemes to attract and retain talent.”
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根据论文，大型加拿大资金的另一个独特特征是“为每个资产类别重新部署到投资团队”。研究人员发现，在外部管理人员上少花费较少的外部管理人员，加拿大的资金向内部管理的投资组合拓展同行。
“These patterns hold true within each asset class and style,” they said. “Examples of expenses include risk management units and IT infrastructure where Canadian funds spend more than their peers by a factor of 5.”
根据研究人员的说法，加拿大的大型资金也脱颖而出，为增加其投资组合和对冲责任风险的资产。他们指出商品生产商股票，房地产和基础设施，称储蓄来自内部资产管理，允许资金在实际资产中投入更多资产。据本文称，虽然实际资产比股票和债券往往更昂贵的股票和债券，但加拿大资金将其投资组合的18％分配给这一领域 - 或者将其全球同行分配两倍。
在另一个区别中，研究人员表示，大加拿大养老金指挥其负债，使其通过拥有多元化的增长资产混合来更容易“对冲责任风险”。
A high proportion of their pension liabilities is indexed to inflation, driving strong asset-liability performance, according to the paper. “Indexed liabilities tend to correlate more with growth assets than nominal liabilities,” setting the funds up to invest in growth assets that strengthen both return performance and liability hedging, the authors explained.
研究人员发现，采用加拿大模型可以在美国偿还。
In doing so, U.S. public funds would have seen a 15 percent absolute increase in the 15-year Sharpe ratio of their asset portfolios, a 13 percent rise in the 15-year Sharpe ratio of the asset-liability portfolio, and a 20 percent increase in the correlation between assets and liabilities, according to the paper. “These estimates do not include any additional performance resulting from the Canadian funds’ decision to spend more in each asset class,” the researchers said.
他们的回试类似地发现美国的企业资金会受益于加拿大养老金投资的方法。
“For U.S. corporate funds, which already hedge a high proportion of their liability risks, the adoption of the Canadian model would have also led to increases in all performance metrics,” the authors wrote, “but mostly in the Sharpe ratios through the reduction of costs associated with in-house management.”