Governance Structure, Asset Allocation And Investment Income Of Public Pensions: International Experience And China's Reference

This paper has done a research on the management of public pension funds based on a multinational dataset, which contains11funds from10countries (mainly OECD countries).We developed a set of indicators to evaluate the funds’Santiago Principles compliance status and propose the Santiago Principle Compliance Index (SCI) to describe the funds’governance structure quantitatively. Then we apply multi-stage regressions on the SCI, asset allocation indicator and investment return rate to analyze the inherent relationships between the three factors. Conclusions are as follows:First, the governance of different funds among the countries varies significantly according to the SCI evaluation. Canada, New Zealand and Australian funds are on the top level while funds of China, Japan and Korea are worst among the sample. Second, the correlation evaluation shows that the governance ratio is highly positively related with investment performance, and further empirical analysis concludes that the governance would affect investment performance through the channel of asset allocation, although the result is not sound due to the poor data quality. Finally, a set of standards are launched for the further improvement of Chinese National Security Fund’s governance.