Performance persistence of Dutch pension plans

X. Huang, R.J. Mahieu

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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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Keywords

  • pension fund investment
  • performance evaluation
  • z-score

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