National
Pension Hub

We strive to offer local pension design insights as well as globally-relevant pension investment and governance research to establish Canada as a source for leading pension research.

National Pension Hub Publications


The purpose of the National Pension Hub (NPH) is to provide a sustainable pipeline of independent and objective pension research that, among other things, will lead to innovative solutions to pension design, governance and investment challenges.


 


The Canadian Pension Fund Model: A Quantitative Portrait

Between 2004 and 2018, Canadian pension funds outperformed their international peers both in terms of asset performance and liability hedging. This project shows a central factor driving this success is the implementation of a three-pillar business model that consists of i) managing assets in-house to reduce costs, ii) redeploying resources to investment teams for each asset class, and iii) channeling capital toward growth assets that increase portfolio efficiency and hedge liability risks.

Risk Shifting Versus Risk Management: Canadian Pension Plan Liability Discount Rates

The design of a pension plan should reflect preferences of the stake holders and be resilient to economic, financial and demographic stresses. Observers have often assumed that moral hazard plays a role in pension fund asset allocation. However, based on our empirical findings, it is fair to highlight that, in Canada, discount rates are a reflection of risk preferences, rather than of regulatory structure or political incentives.

Forced Retirement Risk and Portfolio Choice

Older workers in Canada and the U.S. face a significant risk of being forced to retire before their planned retirement ages. In this project, we examine the implications of this risk on late-in-life portfolio management.

Canadians’ Preparation for Retirement (CPR)

In this report, we present and describe a comprehensive stochastic retirement income calculator (Canadians’ Preparedness for Retirement, or CPR) that will be made available to the general public in the near future.

Transition from Defined Benefit to Target Benefit

Transition from Defined Benefit to Target Benefit Industry Report Mary Hardy, David Saunders, and Xiaobai Zhu Department of Statistics and Actuarial Science, University of Waterloo Download the Industry Report Highlights This article is a summary of the paper by the same authors, titled “Long and short term optimal transition from a defined benefit to a… View Article

The Other Longevity Risk

Pension plan sponsors are aware of one longevity risk in their plans – the risk that plan members live longer than assumed. There are steps that they have taken to mitigate this risk. Pension liabilities have been valued anticipating future increases in longevity, and some longevity exposure has been transferred to insurance companies through annuity purchases or pension “buy-ins”.

Leverage to Meet the Pension Promise

This article discusses use of leverage in the context of defined benefit pension plan investment. It defines the term leverage, discusses how leverage creates value using a simple one-period model and stylized market assumptions, examines risks associated with using leverage and reviews methods and best practices to mitigate and manage these risks.

Diversification risks of Canadian hedge fund strategies

Which Canadian hedge fund strategies minimizes downside risk during traditional market declines? Which strategies are most correlated with traditional broad market indices and to other strategies? These are typical questions that form the basis of any due diligence process of hedge funds and which this article addresses. We examine the potential diversification risks to the selection of hedge fund strategies.

Discount Rate Regulation for Canadian Private Defined Benefit Pension Plans

This paper proposes to use an ultimate forward rate (UFR) method to extrapolate the corporate yield. This is a subjective method that extrapolates the liquid market interest rates such that they converge in the long run to an unconditional ultimate forward rate.

A New NPH Initiative from Global Risk Institute

At the 2017 Annual Summit, the Global Risk Institute (GRI) announced the creation of a National Pension Hub (NPH) that will serve as Canada’s centre for pension thought leadership and research.

Forced Retirement Risk and Portfolio Choice

Many Canadian and U.S. households are forced to retire before their anticipated retirement ages. We study the implication of this on the financial portfolio choice of households.

Real Estate Valuation: A Deep Learning Approach

Real Estate Valuation: A Deep Learning Approach The project will help develop a better understanding of real estate values in the Canadian property markets using a sample from Montreal housing market. We also aim to work on the commercial real estate markets to improve our understanding in the commercial markets using a US dataset. The… View Article

Future Pension Plan Adequacy in a Changing World

To significantly improve the assessment of future retirement income adequacy, in a highly granular fashion and using tools that update and significantly improve on previous work in the area, including through the incorporation of detailed pension coverage and saving sources as well as of several sources of uncertainty.

Drivers of Successful Pension Investing: Lessons from the Canadian Model

Drivers of Successful Pension Investing: Lessons from the Canadian Model The classic model of pension investing faces bleak solvency and funding realities that foreshadow a precarious future and will likely result in defined-benefit (DB) plan obsolescence. Over the past forty years, two factors have seriously attenuated the sustainability of DB plans which provide retirees with… View Article

Decumulation Options for Employer Pension Plan Design: Theory to Practice

Decumulation Options for Employer Pension Plan Design: Theory to Practice For years, policymakers, employer pension plan sponsors, consulting professionals, financial advisors, and academics have focused on accumulating retirement wealth. But with Canadian baby boomers now entering retirement – with longer life expectancy, fewer anticipated sources of family support, and a greater dependency on private savings… View Article

Designing Pension Plans for Fairness, Sustainability, and Transparency

Designing Pension Plans for Fairness, Sustainability, and Transparency Inadequacy of pure DB and DC plans lead to the development of some hybrid pension designs. Popular examples include the DB-underpin (also known as floor offset), Cash Balance, and second-election options. However, many DB underpin plans have been wound up as the DB guarantee became too costly…. View Article

Valuation of Private Market Investments in Pension Fund Portfolios

Valuation of Private Market Investments in Pension Fund Portfolios The private asset market has grown from a niche investment in the 1980s to a stand- alone asset class today. Pension funds are increasingly looking outside traditional stock and bond markets to find opportunities to maximize returns and deliver sustainable value. Large pension funds in Canada… View Article