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 language | English |
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Place of Publication | Tilburg |
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Publisher | NETSPAR |
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Number of pages | 27 |
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Publication status | Published - 2010 |
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Name | Netspar discussion papers |
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No. | 09/2010-038 |
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