Performance Persistence of Dutch Pension Funds

Xiaohong Huang, Ronald Mahieu

    Research output: Working paperDiscussion paper

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    Abstract

    This paper studies the investment performance of pension funds with a focus on their ability in implementing the 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 benchmark- and risk-adjusted performance measure where the benchmarks are chosen a priori preventing manipulation in the score calcualtion. We find that pension funds as a group cannot beat their self-selected benchmarks and show no performance persistence. It reflects that pension funds on average do not add value in implementing their investment strategy. Cross-sectionally, it turns out that large funds are better able to beat their benchmarks persistently than small funds
    Original languageEnglish
    Place of PublicationTilburg
    PublisherNETSPAR
    Number of pages27
    Publication statusPublished - 2010

    Publication series

    NameNetspar discussion papers
    No.09/2010-038

    Keywords

    • IR-73449

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