Performance Persistence of Dutch Pension Funds

29 Pages Posted: 19 Feb 2008 Last revised: 19 Aug 2010

See all articles by Xiaohong Huang

Xiaohong Huang

University of Twente - Department of Finance & Accounting

Ronald Mahieu

Tilburg University - Center for Economic Research, Econometrics and Finance Group; TiasNimbas Business School

Multiple version iconThere are 2 versions of this paper

Date Written: August 17, 2010

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 where the benchmarks are chosen a priori preventing manipulation in the score calculation. We find that pension funds as a group cannot beat their self-selected benchmarks and show no performance persistence. It reflects that pension funds on average do not add value in implementing their investment strategy. Cross-sectionally, it turns out that large funds are better able to beat their benchmarks persistently than small funds.

Keywords: Performance evaluation, pension funds, industry-wide, z-score, the Netherlands

JEL Classification: G23, C12

Suggested Citation

Huang, Xiaohong and Mahieu, Ronald J., Performance Persistence of Dutch Pension Funds (August 17, 2010). Available at SSRN: https://ssrn.com/abstract=1094704 or http://dx.doi.org/10.2139/ssrn.1094704

Xiaohong Huang (Contact Author)

University of Twente - Department of Finance & Accounting ( email )

P.O.Box 217
7500 AE Enschede
Netherlands

Ronald J. Mahieu

Tilburg University - Center for Economic Research, Econometrics and Finance Group ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 13 466 2430 (Phone)
+31 13 466 3280 (Fax)

HOME PAGE: http://center.uvt.nl/staff/mahieu/

TiasNimbas Business School ( email )

Warandelaan 2
Tilburg, North-Brabant 5071HS
Netherlands

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