Long-term cash flows of mandatory and voluntary pension funds in Croatia and their impact on asset allocation
https://doi.org/10.3326/pse.45.2.3 | Published online: June 6, 2021 Table 1
Main characteristics of different mandatory pension funds’ categories
Source: Mandatory Pension Funds Act (2014). Table 2
The expected returns and volatilities for fixed income and equity asset classes on Croatian (HR) and developed (DM) capital markets (in %, annualized)
Source: Estimations by the authors. Table 3
Assumptions for correlations between asset classes
Source: Estimations by the authors. Table 4
Expected asset allocation of MPFs in equity and fixed income asset classes (in % of funds’ assets)
Source: Estimations by the authors. Table 5
Expected asset allocation of MPFs to Croatian (HR) and developed market (DM) asset classes (in % of funds’ assets)
Source: Estimations by the authors. Table 6
The expected returns and volatilities of MPFs (in %, annualized)
Figure 1
Realized and expected long-term membership dynamic (number of members at the end of period) for 2nd pillar proxy life-cycle scheme in Croatia Source: Authors’ own calculations. Figure 2
Realized and expected long-term net inflows (in mn HRK) to 2nd pillar proxy life-cycle scheme in Croatia Source: Figure 3
Realized and expected net asset values (in mn HRK) for 2nd pillar proxy life-cycle scheme in Croatia Source: Authors’ own calculations. Table 7
Expected liquidity implied asset allocation of MPFs in asset classes (in % of funds’ assets)
Source: Estimations by the authors. Table 8
The expected returns and volatilities of MPFs after liquidity implied reallocations (in %, annualized)
Source: Authors’ own calculations. Figure 4
OVPFs membership base (left axis, in 000), AuM (left axis, in mn euro) and new members growth rate (right axis, in %) Source: HANFA reports. Figure 5
Trend in age structure of OVPFs in Croatia – growth rate of members under 50 years and members over 50 years old in % Source: HANFA reports. Table 9
Expected asset allocation of OVPFs in equity and fixed income asset classes (in % of funds’ assets)
Source: Authors’ own calculations. Table 10
Expected asset allocation of OVPFs in Croatian and developed market asset classes (in % of funds’ assets)
Table 11
The expected returns and volatilities of OVPFs (in %, annualized)
Source: Authors’ own calculations. Figure 6
VPFs net inflow (left axis, in EUR mn), VPFs net inflow pessimistic (left axis, in EUR mn), VPFs net asset value (right axis, in EUR bn) and VPFs net asset value pessimistic (right axis, in EUR bn) Source: Authors’ own calculations. Figure 7
VPFs Liquidity requirement (left axis, in € mn), VPFs Liquidity requirement pessimistic (left axis, in € mn), share of liquidity requirement in AuM (right axis, in %), share of liquidity requirement pessimistic in AuM (right axis, in %) Source: Authors’ own calculations. Table 12
Expected liquidity implied asset allocation of OVPFs in asset classes (in % of funds’ assets)
Source: Estimations by the authors. Table 13
The expected returns and volatilities of OVPFs after liquidity implied reallocations (in %, annualized)
Source: Authors’ own calculations. Table 1 Main characteristics of different mandatory pension funds’ categories DISPLAY Table Table 2 The expected returns and volatilities for fixed income and equity asset classes on Croatian (HR) and developed (DM) capital markets (in %, annualized) DISPLAY Table Table 3 Assumptions for correlations between asset classes DISPLAY Table Table 4 Expected asset allocation of MPFs in equity and fixed income asset classes (in % of funds’ assets) DISPLAY Table Table 5 Expected asset allocation of MPFs to Croatian (HR) and developed market (DM) asset classes (in % of funds’ assets) DISPLAY Table Table 6 The expected returns and volatilities of MPFs (in %, annualized) DISPLAY Table Figure 1 Realized and expected long-term membership dynamic (number of members at the end of period) for 2nd pillar proxy life-cycle scheme in Croatia DISPLAY Figure Figure 2 Realized and expected long-term net inflows (in mn HRK) to 2nd pillar proxy life-cycle scheme in Croatia DISPLAY Figure Figure 3 Realized and expected net asset values (in mn HRK) for 2nd pillar proxy life-cycle scheme in Croatia DISPLAY Figure Table 7 Expected liquidity implied asset allocation of MPFs in asset classes (in % of funds’ assets) DISPLAY Table Table 8 The expected returns and volatilities of MPFs after liquidity implied reallocations (in %, annualized) DISPLAY Table Figure 4 OVPFs membership base (left axis, in 000), AuM (left axis, in mn euro) and new members growth rate (right axis, in %) DISPLAY Figure Figure 5 Trend in age structure of OVPFs in Croatia – growth rate of members under 50 years and members over 50 years old in % DISPLAY Figure Table 9 Expected asset allocation of OVPFs in equity and fixed income asset classes (in % of funds’ assets) DISPLAY Table Table 10 Expected asset allocation of OVPFs in Croatian and developed market asset classes (in % of funds’ assets) DISPLAY Table Table 11 The expected returns and volatilities of OVPFs (in %, annualized) DISPLAY Table Figure 6 VPFs net inflow (left axis, in EUR mn), VPFs net inflow pessimistic (left axis, in EUR mn), VPFs net asset value (right axis, in EUR bn) and VPFs net asset value pessimistic (right axis, in EUR bn) DISPLAY Figure Figure 7 VPFs Liquidity requirement (left axis, in € mn), VPFs Liquidity requirement pessimistic (left axis, in € mn), share of liquidity requirement in AuM (right axis, in %), share of liquidity requirement pessimistic in AuM (right axis, in %) DISPLAY Figure Table 12 Expected liquidity implied asset allocation of OVPFs in asset classes (in % of funds’ assets) DISPLAY Table Table 13 The expected returns and volatilities of OVPFs after liquidity implied reallocations (in %, annualized) DISPLAY Table |
June, 2021 II/2021 |
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