ABSTRACT

The asset allocation decision is one of the most important decisions made by defined benefit pension schemes, with a major effect on the scheme contribution rate, funding ratio and financial position of the sponsoring company. We investigate the determinants of the equity allocation of UK pension funds using a panel of 1,304 observations on 125 companies that were members of the FTSE 100 over the 2003–2019 period. We find that seven variables have a significant effect on the allocation between equities and bonds – maturity (as measured by the effective duration of scheme liabilities), default risk, leverage of the sponsor, size of the sponsor (or the scheme), whether the scheme is closed to future contributions, whether the scheme has significant overseas liabilities, and a time trend. Our sensitivity analysis finds that the biggest effects on the asset allocation come from scheme maturity, the scheme’s funding ratio and a time trend.

摘要

资产配置决策是设定受益型养老金计划最重要的决策之一，对计划出资率、资金比例和发起公司的财务状况有重大影响。我们使用对 2003 年至 2019 年期间富时 100 指数成员的 125 家公司的 1,304 项观察结果的小组调查了英国养老基金股权分配的决定因素。我们发现七个变量对股票和债券之间的分配有显着影响——期限（以计划负债的有效期限衡量）、违约风险、发起人的杠杆、发起人（或计划）的规模、是否计划不接受未来供款，计划是否有重大海外负债，以及时间趋势。