EconStor >
Frankfurt School of Finance and Management, Frankfurt a. M. >
CPQF Working Paper Series, Frankfurt School of Finance and Management >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/43887
  
Title:Return distributions of equity-linked retirement plans PDF Logo
Authors:Detering, Nils
Weber, Andreas
Wystup, Uwe
Issue Date:2010
Series/Report no.:CPQF Working Paper Series 27
Abstract:We have compared the performance of savings plans within the class of difference capital guarantee mechanisms: from the stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed as a compromises between these two extremes. In bullish markets savings plans with a high equity ratio perform the best, in bearish markets the classic insurance concept shows better returns. A stop loss strategy suffers from gap risk, whence a CPPI strategy combines the strength of both gap risk minimization and equity ratio maximization. The effect of fees on the savings plans dominates the performance, especially in typical fee structures found in the German Riester-Rente. The private investor is advised to check carefully if the federal cash payments can compensate the fees taking into account his own salary and tax situation.
Subjects:CPPI
stop loss
capital guarantee mechanisms
retirement provision plan
Riester-Rente
JEL:C15
G11
J26
Document Type:Working Paper
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

Files in This Item:
File Description SizeFormat
644241780.pdf397.55 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/43887

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.