Performance persistence of Dutch pension plans

X. Huang, R.J. Mahieu

Research output: Contribution to journalArticleScientificpeer-review

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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
JournalDe Economist
Volume160
Issue number1
DOIs
Publication statusPublished - 2012

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Performance persistence
Pension plans
Pension funds
Benchmark
Z-score
Investment performance
Industry
Risk-adjusted performance
Investment strategy
Performance measures

Keywords

  • pension fund investment
  • performance evaluation
  • z-score

Cite this

Huang, X. ; Mahieu, R.J. / Performance persistence of Dutch pension plans. In: De Economist. 2012 ; Vol. 160, No. 1. pp. 17-34.
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Performance persistence of Dutch pension plans. / Huang, X.; Mahieu, R.J.

In: De Economist, Vol. 160, No. 1, 2012, p. 17-34.

Research output: Contribution to journalArticleScientificpeer-review

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