Historical threshold portfolio return and analysis of its drivers
Ljudmila Bertschi and Matthew Glass
The financial statements of a pension fund comprise very useful information, which is often not fully appreciated. The analysis of historical threshold portfolio return (Sollrendite) and its drivers helps to compare different key metrics on a common basis and to assess gains and losses, as well as corresponding cross-subsidies. It allows one to estimate the bandwidth of the future threshold portfolio return and to make a forecast of the funding ratio development.