Effectiveness of investment activities of managers in the mandatory pension insurance system

Abstract

This article examines reasons for the low efficiency of investment activity by pension asset managers, and pension investment rules are formulated. These rules are based on the Asset Allocation strategy, taking into account the long-term pension investments and the life-cycle investment strategy. All pension portfolios of Russiаn managers have weak diversification by asset classes, a high share of fixed income financial instruments, and a mismatch of the portfolio structure with the risk profile of the beneficiary. The pension industry has high costs. We evaluated the real efficiency of investment activity by pension asset managers according to the classical theory of investments, and compared it with the risk-return benchmarks of the Russian financial market. The real cumulative return by pension asset managers is negative for the period 2008–2018. At the same time, the Russian financial market provided opportunities for real growth of pension savings. Bank deposits allowed to defend capital from depreciation. Modeling of index pension portfolios (conservative, balanced, and aggressive) in the Russian financial market, according to pension investment rules, showed a positive impact on investment management efficiency of regular rebalancing of the portfolio containing stocks. The management of index pension portfolios by the proposed rules protect pension savings against inflation. Pension asset managers improve the investment policy efficiency following the pension investment rules.