Skip to main content

Table 4 Local linear regression: Share of Equity Assets Related to the Funding Ratio

From: Swiss pension funds: funding ratio, discount rate, and asset allocation

Year   f(85) f(90) f(95) f(100) f(105) f(110) f(115)
2006 f(x) 18.0 22.9 26.6 29.6
C.I. [14.3; 21.8] [21.4; 24.4] [25.2; 27.9] [28.3; 31.0]
h(x) 8.0 3.9 2.5 2.5
2007 f(x) 20.2 23.2 26.0 27.2
C.I. [17.0; 23.4] [21.7; 24.6] [24.6; 27.3] [26.0; 28.5]
h(x) 6.4 3.0 2.3 2.2
2008 f(x) 26.8 24.1 21.9 17.9 19.0 16.1 17.7
C.I. [25.0; 28.5] [22.8; 25.4] [20.7; 23.1] [15.6; 20.2] [16.8; 21.1] [14.5; 17.8] [15.8; 19.6]
h(x) 4.9 2.0 1.1 1.1 1.7 3.4 5.4
2009 f(x) 30.7 28.4 27.6 22.5 25.3 25.7 25.5
C.I. [22.7; 38.7] [25.2; 31.6] [24.7; 30.5] [20.1; 25.0] [24.0; 26.7] [24.1; 27.3] [23.9; 27.1]
h(x) 8.1 3.8 1.3 3.2 1.5 2.1 3.8
2010 f(x) 25.7 28.5 30.9 24.8 26.2 25.8 26.5
C.I. [19.5; 32.0] [23.8; 33.1] [27.2; 34.6] [22.3; 27.4] [24.9; 27.5] [24.4; 27.1] [25.0; 28.0]
h(x) 7.4 3.6 1.2 2.9 1.5 2.3 4.0
2011 f(x) 27.7 25.0 26.3 23.9 23.9 24.4 22.5
C.I. [23.1; 32.3] [21.7; 28.2] [24.1; 28.5] [21.6; 26.1] [22.5; 25.2] [23.0; 25.8] [20.8; 24.1]
h(x) 7.2 3.2 1.3 1.6 1.5 2.8 5.2
2012 f(x) 28.1 28.7 29.1 21.9 26.4 25.5 26.5
C.I. [19.0; 37.2] [25.5; 31.9] [26.9; 31.4] [18.6; 25.2] [25.0; 27.7] [24.0; 27.1] [25.2; 27.9]
h(x) 7.8 3.5 1.5 3.5 1.6 2.2 3.7
2013 f(x) 42.1 37.5 30.4 21.6 26.3 27.4 29.8
C.I. [30.5; 53.8] [26.1; 49.0] [25.3; 35.5] [18.6; 24.6] [24.8; 27.9] [26.2; 28.7] [28.6; 31.0]
h(x) 7.9 3.6 0.9 5.1 2.2 1.9 2.9
2014 f(x) 33.0 40.5 32.3 23.2 25.1 26.4 30.3
C.I. [− 37.0; 102.9] [− 19.1; 100.1] [19.8; 44.9] [18.7; 27.7] [23.6; 26.7] [24.9; 27.8] [29.2; 31.5]
h(x) 8.9 5.8 1.4 7.7 3.7 2.3 2.3
2015 f(x) 33.9 30.2 46.7 24.4 26.8 27.7 30.8
C.I. [20.6; 47.2] [22.6; 37.9] [32.0; 61.5] [20.8; 28.1] [25.5; 28.1] [26.3; 29.0] [29.4; 32.3]
h(x) 9.7 5.2 1.6 5.3 2.5 2.0 2.4
2016 f(x) 24.5 28.7 28.5 30.8
C.I. [20.7; 28.3] [27.5; 29.8] [27.1; 29.9] [29.5; 32.1]
h(x) 5.0 2.2 2.2 2.5
2017 f(x) 17.3 26.7 29.5 30.6
C.I. [13.0; 21.5] [25.0; 28.5] [28.2; 30.7] [29.2; 32.1]
h(x) 8.2 3.8 2.4 2.1
  1. Point estimates (f(x)) for local average share of assets invested in equities (in percent), for different funding ratios (in percent). Estimates from local linear regressions with varying local bandwidths h(x) covering the closest 33.3% of observations and using a tricube kernel. Confidence band (C.I.) in square brackets is from bootstrapped standard errors (500 iterations). The sample includes only private and public funds without state guarantees, and includes only funds with a funding ratio between 81.5 and 152.3% (0.5th–95th percentile range). Local linear regression estimates are not shown where the number of observations for regression does not exceed 10