Performance Persistence of Dutch Pension Funds
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 ....
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| Veröffentlicht in: | De Economist (Netherlands) 2012-03, Vol.160 (1), p.17-34 |
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| container_title | De Economist (Netherlands) |
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| creator | Huang, Xiaohong Mahieu, Ronald J. |
| description | 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. |
| doi_str_mv | 10.1007/s10645-011-9176-3 |
| format | Article |
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z-score
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z-score
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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. 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z-score
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z-score
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| subjects | Asset allocation Benchmarks C12 Central banks Economic performance Economic Policy Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Employees funds G23 Investment Investment policy Investments Law Measurement Microeconomics Netherlands Pension fund investment Pension fund management Pension funds Pensions Performance evaluation Portfolio management Portfolio performance portfolios Public Finance Return on investment Standard scores z-score |
| title | Performance Persistence of Dutch Pension Funds |
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