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Pension Fund Strategies

Explore pensions fund basis & the different types of pension schemes
  • Low interest rates and volatile stock markets are having a dramatic impact on pension schemes’ ability to fund future liabilities. The sovereign debt and global economic crises have resulted in major shortfalls in pension and retirement schemes, placing a huge amount of pressure on Corporate and Government balance sheets. Several countries have a significant share of savings earmarked for retirement either through private individual savings plans or via Government pension funds. But despite rising savings rates, numerous gaps exist in private and public retirement plans and finances.

    Furthermore, ageing populations in many countries are creating a significant pension burden that will require innovative and radical asset/liability management strategies for years to come.

    Why a Pension Fund Strategy Course

    Ensuring sufficient resources for retirement encompasses a complex set of decisions involving assumptions on asset returns, interest rates, inflation rates, longevity and future salary growth.

    This comprehensive programme addresses many of the current pension issues from both the asset and liability perspectives to give the delegate a holistic appreciation of the complex issues involved.

    Who Should Attend

    Pension Fund Strategy has been designed to meet the needs of the following participants :

    • Pension scheme administrators
    • Pension accounting staff
    • Pension reporting staff
    • Pension investment consultants
    • Pension fund managers
    • Trustees
    • Finance staff
    • Actuarial staff
    • Asset/Liability consultants
    • DC scheme designers
    • Pension product developers
    • Asset allocators/investment strategists
    • Insurance company staff
    • Regulators
    • Pension governance specialists
    • Pension risk specialists
    Note - A good level of spoken and written English is required to attend this course. Delegates should be of an intermediate standard in English at a minimum. Please refer to the Common European Framework of Reference for Languages - as a guide the level required is B2.


  • Day 1

    The Fundamentals of Pension Funds

    The Controversy Surrounding Pension Funds – a Global Perspective

    • The global pensions crisis – European, U.K. and American perspectives
    • The rising costs of funding pension schemes
    • Pension fund deficits, sovereign debt and sovereign default risk
    • Rising longevity and rising dependency ratios
    • Falling real and nominal returns
    • Ruptures in the investment value chain
    • Gaps in governance structures
    • Do Asia Pacific pension funds suffer the same problems?
    • The growing importance of Asia Pacific pension funds in global financial markets
    • Characteristics of the Australian and New Zealand pension markets
    • Overview of Sovereign Reserve Pension Funds

    Trainer Led Discussion: Pension Fund CapitalismDelegates will assess the outlook for pension funds in the Asia-Pacific region against those in the developed markets of the U.S., U.K. and Europe

    Pension Fund Basics

    • The role and purpose of pension funds
    • The role and function of the various parties – trustees, sponsors, actuaries, consultants and investment managers
    • The link between asset allocation, capital structure and financial risk
    • The pension fund as a financial business and as part of the company
    • Sources of wealth in a pension fund
    • The fundamental pension equation
    • The pension fund map and organisational structure – know your stakeholders
    • Creating value in pension funds

    Exercise: A multiple choice exercise on the basics of pension finance

    The Different Types of Pension Scheme

    • An overview of social security and state pension schemes
    • General characteristics of pay-as-you-go schemes
    • The changing role of private pensions
    • Plans for reforming state social pensions
    • Public-private, DB-DC, mandatory-voluntary, means tested-non means tested
    • Defined benefit pension schemes
    • Defined contribution pension schemes
    • Hybrid defined benefit, defined contribution schemes
    • Should DB pension schemes be career average or final salary?

    Case Study: Defined Benefit Vs Defined Contribution Pension SchemesDelegates will design a checklist on the factors to consider in designing a DB scheme and a DC scheme

    Guest Speaker Presentation: Investing in the Age of Volatility

    • Why will markets remain volatile for the next 5 years
    • How can pension plans convert volatility into an investment opportunity
    • As old style diversification no longer works, what will the new style look like
    • Where will the return come from
    • What do pension funds need to do to ensure that investing is not a loser’s game for them

    Led by Amin Rajan, CEO, Centre for Research in Employment and Technology in Europe (CREATE)

    Day 2

    Pension Fund Asset-Liability Management

    Pension Fund Liabilities

    • Measuring and modelling a pension liability
    • Selecting the appropriate discount rate
    • The actuarial value of liabilities
    • The liability return as a hurdle rate
    • Impact of liabilities on investment strategy
    • Liabilities and funding policy
    • Risk management and liabilities
    • Theory of surplus returns and surplus asset allocation
    • Surplus risk and the risk-adjusted change in surplus
    • Funding probabilities

    Case Study: Pension Fund Liability Study
    Delegates will analyse a pension fund with an asset-liability mismatch and an inappropriate asset allocation policy. They will be required to make a number of important policy decisions for the fund

    Pension Funding Policies
    • Pension funding policies
    • Determination of the required funding contribution
    • The funding target
    • The pace at which the target is attained
      - Funding policies and benefit policies
      - Building and accumulating reserves in the fund
      - The lack of symmetry in the treatment of surplus and deficit
      - The relationship between pension assets and liabilities

    Case Study: Pension Funding PolicyDelegates will select the fund’s appropriate contribution rate and strategic asset allocation that minimises a weighted sum of surplus risk and contribution risk

    Asset-Liability Management Tools
    • Static portfolio analysis for asset allocation
    • Dynamic portfolio analysis with assets and liabilities
    • Dynamic models for asset-liability management in defined benefit pension funds
    • Minimising surplus risk and contribution risk
    • Contribution and benefit policies for underfunded schemes
    • Developing a strategic benchmark in an asset-liability framework
    • Integrated asset-liability management

    Case Study: Asset-Liability Management for a Pension FundDelegates will examine how an asset-liability study might be conducted and how strategic asset allocation decisions can affect a number of important asset-liability variables

    Asset-Liability Modelling
    • What is asset-liability modelling and why do it?
    • What can an asset-liability study realistically achieve?
    • Current issues in asset-liability modelling
    • The liability matching asset portfolio - LMAP
    • Can asset-liability modelling generate a LMAP?
    • The actuary’s confidence in the economic/demographic projections and correlation assumptions

    Case Study: Asset-Liability ModellingDelegates will review the results of an asset-liability study and design an appropriate investment strategy to match accordingly

    Day 3

    Pension Fund Investment Strategies

    Strategic Asset Allocation and Portfolio Optimisation – Setting Objectives
    • The optimal asset allocation of a pension fund – factors to consider
    • The fund manager’s relationship with the trustees
    • Deciding on the appropriate portfolio structure and benchmark
    • Portfolio optimisation with drawdown constraints
    • Strategic asset allocation in the presence of liabilities
    • Portfolio diversification – the importance of correlation
    • The target return and minimum acceptable return
    • The return orientation of the Pension Fund – relative, absolute, unconstrained
    • Core/explore/satellite approaches
    • The importance of alternative assets
    • The importance of inflation-hedging assets

    Case Study: Strategic Asset Allocation for a Pension FundDelegates will devise an appropriate portfolio structure and relevant benchmark for a pension fund facing shortfall risk

    Tactical Asset Allocation and Benchmark Timing
    • The move away from static benchmarks
    • Dynamic approaches to asset allocation – tactical, integrated and insuredAlpha, beta and market timing
    • Market cycle analysis
    • Factors affecting asset prices in different phases
    • The equity cycle and how it interacts with the interest rate and credit cycles
    • Sector and style allocation at each phase of the cycle
    Case Study: Tactical Asset Allocation through the Economic CycleDelegates will devise a tactical asset allocation framework for a pension fund. Emphasis will be placed on important retirement considerations like target retirement date and lifecycle issues

    Dynamic Approaches to Pension Fund Management
    • Liability-matching strategies – LDI investing, duration matching and cashflow matching
    • Strategies with upside – unconstrained investing, portable alpha and dynamic contingent immunisation
    • Limiting the sponsor risk – absolute return and liability hedging
    • Generating real returns – new asset classes and structural alpha
    • Target date investing and target date funds
    • Lifecycle investing and lifecycle funds
    Case Study: Dynamic Investment ApproachesGiven a choice of dynamic investment approaches, delegates will be required to choose the approach that best matches the needs and profile of the fund

    Guest Speaker Presentation: Plotting a Path to Full Funding
    • Setting an objective for full funding
    • Defining a plan to achieve it
    • Liability issues to address before implementing
    • The mechanics of how to make the plan successful
    • Governance options
    • The end game
    Led by Bobby Riddaway, Head of Investment Consulting, Capita Employee Benefits

    Day 4

    Actuarial Considerations, Scheme Design and the Annuity Market

    Role and Responsibilities of the Actuary
    • The role of the pensions actuary
    • The actuaries’ contribution to the existence of pensions
    • How the role of the actuary is changing
    • Advocate or broker; calculator or auditor
    • Conventional pension accounting and actuarial standards
    • How useful are conventional actuarial and accounting methodologies
    Case Study: The Role of the Actuary

    Actuarial Calculations and Assumptions
    • The actuary’s choice of discount rate
    • Why the confusion and controversy surrounding the choice of discount rate
    • Lessons from financial economics and modern portfolio theory
    • Demographic and economic/financial assumptions
    • Actuarial value of assets
    • Actuarial value of liabilities
    • Moving to an economic accounting system for pensions
    • Risk does not diminish with time, it accumulates
    Case Study: Synchronising Asset Allocation and Funding Recommendations with the Actuary’s Recommendations

    Scheme Design Considerations – DC Plans
    • DC scheme design in the accumulation phase
    • Risks confronting the DC member
    • Risk and control variables in stochastic pension modelling
    • Charges attached to DC schemes
    • The distribution phase of DC pension schemes
    • Optimal design of DC schemes during the distribution phase
    • The annuitisation decision
    Case Study: DC Scheme Design in the Accumulation Phase

    • Overview of the annuity markets
    • Different types of annuity – purchase arrangements, coverage, variations, payment terms
    • ILRIPs – Investment-linked Retirement Income Programmes
    • Decomposition of annuity charges
    • Designing and stress-testing the various ILRIPs
    Case Study: The Annuity Market

    Guest Speaker Presentation: Infrastructure Investing for Pension Funds
    • Risks and rewards of infrastructure as an asset class
    • What are the characteristics of infrastructure investing that appeal to pension funds
    • The unique characteristics of infrastructure
    • Opportunities and pitfalls of infrastructure investing for pension funds
    • What is required for successful infrastructure investing
    Led by Georg Inderst, Independent Adviser, Inderst Advisory


    Day 5

    Pension Risk Management, Pension Reporting and Governance

    Pension Risk Management
    • Defining pension fund risks
    • Different types of risk and what they mean for a pension fund
    • Asset-liability risk, tactical risk and manager selection risk
    • Funding risk
    • Solvency risk
    • Surplus risk and contribution risk
    • Counterparty credit risk
    • Interest rate mismatch risk
    • Tracking error, VaR and downside risk measures
    Case Study: Pension Risk ManagementApplying a number of statistical risk measures in analysing and managing the risk in a pension fund

    Longevity Risk Hedging and Transfers
    • What exactly is longevity risk
    • De-risking a pension fund
    • The potential impact of ageing populations on asset returns
    • Longevity risk transfers and pension buy-outs and pension buy-ins
    • The development of mortality-linked securities and derivatives
    • Longevity bonds and longevity swaps
    • Hedging pension liabilities with longevity-linked securities and derivatives
    Case Study: Managing Longevity RiskDelegates will assess some high profile moves by pension funds to manage their longevity risks

    Pension Scheme Reporting
    • Key issues in pension scheme reporting
    • Developing appropriate reporting mechanisms
    • Reporting on funding status
    • Trustee reporting
    • Performance and attribution reporting
    • Risk management reporting
    Case Study: Pension Scheme Reporting

    Pension Governance and Organisation Structure
    • The pension mission statement
    • Best practice governance of pension schemes
    • Trustee board effectiveness
    • Legal and governance structure of pension funds
    • Codes of governance for pension funds
    • Ways to improve pension fund governance
    • Lessons from the Netherlands and Australia
    Trainer Led Discussion: Pension Fund Governance

    Course summary and close

  • Our Tailored Learning Offering

    Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.

    If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

    We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

  • We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

    We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

    • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
    • Track record – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
    • Knowledge – our 100+ strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
    • Reliability – if we promise it, we deliver it. We have delivered over 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
    • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
This course can be run as an In-house or Tailored Learning programme


  • Mark Holder


    Dr. Mark Holder is a consultant in financial markets, providing services to leading global Investment Banks, Exchanges, and Commodity Firms.  He is also a lead partner for a proprietary trading firm located in Hong Kong.  He has prior experience as the Director of Research and Product Development at two Exchanges, as well as Managing Director for a leading financial training company.  His background also includes 14 years of teaching experience at the masters and PhD levels.  While at the university he was the Chairman of the Department of Finance and Program Director of the Master Science in Financial Engineering program. Dr. Holder has designed and conducted training programs for a wide range of clients including Goldman Sachs, Merrill Lynch, Barclays, Reuters, Dubai Financial Services Authority, CSRC, Guotai Junan, Aberdeen Asset Management and many other leading financial institutions for the past 15 years. These programs have covered a wide variety of topics, including Derivatives, Risk Management and Financial Modeling, for audiences such as Analysts and Associates to Managing Directors and Vice Chairs. He has also offered courses for Practical Training requirements and client-based courses as well. Dr. Holder is also an accomplished author.  His publication record includes more than 50 articles in leading journals.  He was the Editor of the journal Review of Futures Markets, a leading academic journal covering the field of derivatives and markets for over 10 years. Mark has significant prior experience working in fixed incomes and derivatives from the CBOT and as a trader. He has firsthand knowledge of market practices and operations.  His evaluations show he can convey this information is an intuitive way to participants to maximize their understanding and knowledge.