Performance Persistence of Dutch Pension Funds

Xiaohong Huang, R. Mahieu

Research output: Contribution to journalArticleAcademicpeer-review

11 Citations (Scopus)
70 Downloads (Pure)

Abstract

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
JournalEconomist
Volume160
Issue number1
DOIs
Publication statusPublished - 2012

Keywords

  • IR-81063
  • METIS-285309

Fingerprint Dive into the research topics of 'Performance Persistence of Dutch Pension Funds'. Together they form a unique fingerprint.

Cite this