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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/3482

Title: Are Canadian pension plans disadvantaged by the current structure of portfolio regulation?
Authors: Davis, EP
Hu, YW
Keywords: pension funds; regulation; prudent person rule; quantitative asset restriction; mean-variance optimisation; Canada
Publication Date: 2008
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 08-13.
Abstract: We investigate the performance of Canadian pension funds relative to those from the UK and US, in the light of the ongoing quantitative asset restrictions that still apply in Canada, compared with the purer prudent person approach in the UK and US. We find that although Canadian funds often obtain better combinations of return and risk, returns are often less than could be obtained given financial market conditions, as shown by dummy portfolios split evenly between bonds and equities, or diversified into real estate, as well as mean-variance optimal portfolios. In contrast, UK and US funds typically outperform such benchmarks. Combined with criticisms of specific Canadian regulations in the light of finance theory and empirical evidence, the paper makes a case for removal of residual quantitative restrictions in Canada, and their replacement by sole prudent person regulations.
URI: http://bura.brunel.ac.uk/handle/2438/3482
Appears in Collections:School of Social Sciences Research Papers
Economics and Finance

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