Performance Persistence of Dutch Pension Funds

Xiaohong Huang, R. Mahieu

Research output: Contribution to journalArticleAcademicpeer-review

12 Citations (Scopus)
112 Downloads (Pure)


This paper studies the investment performance of pension funds with a focus on their ability in implementing their intended investment strategy. We use a sample of Dutch industry-wide pension funds, which are obliged by law to report their investment performance according to the so-called z-score. The z-score is a risk-adjusted performance measure with benchmark settings predefined by Dutch law. We find that pension funds as a group cannot beat their self-selected benchmarks consistently. Applying a cross-sectional portfolio approach we find evidence that the largest pension funds outperform the smallest funds.
Original languageEnglish
Pages (from-to)17-34
JournalDe Economist
Issue number1
Publication statusPublished - 2012


  • IR-81063
  • METIS-285309


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