Investment Performance of Swiss Pension Funds and Investment Foundations

37 Pages Posted: 8 Feb 2008

See all articles by Manuel Ammann

Manuel Ammann

University of St. Gallen - School of Finance

Andreas Zingg

UBS Global Asset Management

Date Written: January 2008

Abstract

We investigate the performance of domestic and international bond and equity portfolios of Swiss pension funds and investment foundations over the period of 1996 to 2006. Our sample consists of 73 pension funds and 13 investment foundations with total assets of more than CHF 200 billion. We find some indications for superior skills of security selection and timing by pension funds in international bond management even net of costs for asset management and fund administration. In contrast, we find a significant net underperformance for domestic bonds, domestic equities and international equities. For investment foundations, we find a significant net underperformance for domestic bonds and international equities, whereas for international bonds and domestic equities the null hypothesis of neither significant out- or underperformance cannot be rejected. Finally, we find no evidence of persistence in the performance of Swiss pension funds and investment foundations.

Keywords: Investments, Performance, Pension funds, Switzerland

JEL Classification: G11, G23

Suggested Citation

Ammann, Manuel and Zingg, Andreas, Investment Performance of Swiss Pension Funds and Investment Foundations (January 2008). Available at SSRN: https://ssrn.com/abstract=1091165 or http://dx.doi.org/10.2139/ssrn.1091165

Manuel Ammann (Contact Author)

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

Andreas Zingg

UBS Global Asset Management ( email )

Gessnerallee 3-5
CH-8098 Zurich
Switzerland

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