Private pension funds: passivity at active fund prices

ABSTRACT From 2005 to 2015, the total assets managed by open private pension funds increased more than six times in Brazil, where the Free Benefit Generating Plan (PGBL) and the Free Benefit Generating Life (VGBL) represent 90% of these assets. However, private pension institutions are characterized by the collection of high management fees, thus keeping for themselves much of the benefits offered by the government as incentive for investment in this modality. High management fees are justified only when there is active management of these funds, theoretically generating higher performance: this study indicates that this is not the case in this market segment. Similar problems have been faced in other countries, such as the United Kingdom, Denmark, and Sweden, which filed investigation concerning funds that charge high management fees for active management, while they actually provide management that may be regarded as passive. This demonstrates the scale and relevance of this issue, which has been surveyed and addressed by this study. To do this, dynamic style analysis was performed, through rolling regressions, followed by Kalman filter analysis in funds from the top-five private pension institutions in Brazil. Analyzing the exposure evolution of these funds to various asset classes and the R2 generated, passivity traces were found, mainly in composite variable income funds. Such funds are precisely those that should be more actively managed, as they charge the highest management fees. This article also demonstrates it is possible to build a passive portfolio, having a very similar style and returns without statistically significant differences, but at a lower management fee (and aligned with passive funds).

摘要：2005年至2015年间，巴西开放式私人养老基金的管理总资产规模增长逾六倍，其中免费收益生成计划（Free Benefit Generating Plan，PGBL）与免费收益生成寿险（Free Benefit Generating Life，VGBL）占该类资产的90%。然而，私人养老机构以收取高额管理费为典型特征，截留了大量政府为鼓励该类投资而提供的激励收益。高额管理费仅在基金得到主动管理的前提下才具备合理性——理论上主动管理可带来更优的业绩表现，但本研究证实，巴西该市场细分领域的实际情况并非如此。英国、丹麦、瑞典等其他国家也面临过类似问题，这些国家曾针对以主动管理为名收取高额管理费、实则采用被动性质管理方式的基金发起调查。这凸显了该问题的规模与重要性，而本研究已针对该问题完成调研与分析。为此，本研究针对巴西前五名私人养老机构旗下的基金，通过滚动回归法开展动态风格分析，随后辅以卡尔曼滤波（Kalman filter）分析。通过考察这些基金对各类资产类别的敞口演变情况及生成的决定系数R²，研究发现了被动管理的迹象，尤其在混合型可变收益基金中表现明显。此类基金恰恰是最应实施主动管理的品种，因为它们收取的管理费最高。本文还证实，可构建一个风格与收益极为相似、且无统计学显著差异的被动投资组合，但其管理费更低，且与被动型基金的收费标准相当。