Performance persistence of Dutch pension plans
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... Mehr ...
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| Dokumenttyp: | Artikel |
| Erscheinungsdatum: | 2012 |
| Reihe/Periodikum: | Huang , X & Mahieu , R J 2012 , ' Performance persistence of Dutch pension plans ' , Economist-Netherlands , vol. 160 , no. 1 , pp. 17-34 . https://doi.org/10.1007%2Fs10645-011-9176-3 |
| Schlagwörter: | pension fund investment / performance evaluation / z-score |
| Sprache: | Englisch |
| Permalink: | https://search.fid-benelux.de/Record/base-29029850 |
| Datenquelle: | BASE; Originalkatalog |
| Powered By: | BASE |
| Link(s) : | https://research.tilburguniversity.edu/en/publications/3dba651c-bb31-443f-963c-440994fd9018 |
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.