Sobre a rentabilidade dos fundos de pensões

José Sócrates afirmou no recente debate na AR:

«Os dados que são conhecidos mostram que desde o início da década de 90 os resultados da aplicação de uma carteira média de fundos de pensões, descontados os custos de gestão, foi de cerca de 5,7 por cento ao ano, enquanto que o crescimento das receitas do sistema público de Segurança Social (também líquido de custos de administração) rondou os 6,1 por cento».

Trata-se de uma verdade praticamente universal, independente do modo como os fundos de pensões são geridos em Portugal. Vale a pena ler e medidar no que sobre o assunto escreveu aqui o economista Paul Krugman:

Rates of Return on Private Accounts

Privatizers believe that privatization can improve the government's long-term finances without requiring any sacrifice by anyone - no new taxes, no net benefit cuts (guaranteed benefits will be cut, but people will make it up with the returns on their accounts.) How is this possible?

The answer is that they assume that stocks, which will make up part of those private accounts, will yield a much higher return than bonds, with minimal long-term risk.

Now it's true that in the past stocks have yielded a very good return, around 7 percent in real terms - more than enough to compensate for additional risk. But a weird thing has happened in the debate: proposals by erstwhile serious economists such as Martin Feldstein appear to be based on the assertion that it's a sort of economic law that stocks will always yield a much higher rate of return than bonds. They seem to treat that 7 percent rate of return as if it were a natural constant, like the speed of light.

What ordinary economics tells us is just the opposite: if there is a natural law here, it's that easy returns get competed away, and there's no such thing as a free lunch. If, as Jeremy Siegel tells us, stocks have yielded a high rate of return with relatively little risk for long-run investors, that doesn't tell us that they will always do so in the future. It tells us that in the past stocks were underpriced. And we can expect the market to correct that.

In fact, a major correction has already taken place. Historically, the price-earnings ratio averaged about 14. Now, it's about 20. Siegel tells us that the real rate of return tends to be equal to the inverse of the price-earnings ratio, which makes a lot of sense.[1] More generally, if people are paying more for an asset, the rate of return is lower. So now that a typical price- earnings ratio is 20, a good estimate of the real rate of return on stocks in the future is 5 percent, not 7 percent.

Here's another way to arrive at the same result. Suppose that dividends are 3 percent of stock prices, and that the economy grows at 3 percent (enough, by the way, to make the trust fund more or less perpetual.) Not all of that 3 percent growth accrues to existing firms; the Dow of today is a very different set of firms than the Dow of 50 years ago. So at best, 3 percent economic growth is 2 percent growth for the set of existing firms; add to dividend yield, and we've got 5 percent again.

That's still not bad, you may say. But now let's do the arithmetic of private accounts.

These accounts won't be 100 percent in stocks; more like 60 percent. With a 2 percent real rate on bonds, we're down to 3.8 percent.

Then there are management fees. In Britain, they're about 1.1 percent. So now we're down to 2.7 percent on personal accounts - barely above the implicit return on Social Security right now, but with lots of added risk. Except for Wall Street firms collecting fees, this is a formula to make everyone worse off. Privatizers say that they'll keep fees very low by restricting choice to a few index funds. Two points.

First, I don't believe it. In the December 21 New York Times story on the subject, there was a crucial giveaway: "At first, individuals would be offered a limited range of investment vehicles, mostly low-cost indexed funds. After a time, account holders would be given the option to upgrade to actively managed funds, which would invest in a more diverse range of assets with higher risk and potentially larger fees." (My emphasis.)

At first? Hmm. So the low-fee thing wouldn't be a permanent commitment. Within months, not years, the agitation to allow "choice" would begin. And the British experience shows that this would quickly lead to substantial dissipation on management fees.

Second point: if you're requiring that private accounts be invested in index funds chosen by government officials, what's the point of calling them private accounts? We're back where we were above, with the trust fund investing in the market via an index.

Now I know that the privatizers have one more trick up their sleeve: they claim that because these are called private accounts, the mass of account holders will rise up and cry foul if the government tries to politicize investments. Just like large numbers of small stockholders police governance problems at corporations, right? (That's a joke, by the way.)

If we are going to invest Social Security funds in stocks, keeping those investments as part of a government-run trust fund protects against a much clearer political economy danger than politicization of investments: the risk that Wall Street lobbyists will turn this into a giant fee-generating scheme.

To sum up: claims that stocks will always yield high, low-risk returns are just bad economics. And tens of millions of small private accounts are a bad way to take advantage of whatever the stock market does have to offer. There is no free lunch, and certainly not from private accounts.

Ficará para outra vez o desenvolvimento do problema da potencial politização do mercado de capitais em resultado da aplicação de uma parte dos descontos em fundos de investimento. É um tema que dá pano para manges.

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