TY - JOUR
T1 - Performance persistence of Dutch pension plans
AU - Huang, X.
AU - Mahieu, R.J.
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
KW - pension fund investment
KW - performance evaluation
KW - z-score
U2 - 10.1007%2Fs10645-011-9176-3
DO - 10.1007%2Fs10645-011-9176-3
M3 - Article
VL - 160
SP - 17
EP - 34
JO - De Economist: Tijdschrift voor alle standen, tot bevordering van volkswelvaart, door verspreiding van eenvoudige beginselen van staatshuishoudkunde
JF - De Economist: Tijdschrift voor alle standen, tot bevordering van volkswelvaart, door verspreiding van eenvoudige beginselen van staatshuishoudkunde
SN - 0013-063X
IS - 1
ER -