An Empirical Investigation into the Performance of UK Pension Fund Managers

21 Pages Posted: 12 Jan 2009

See all articles by Andrew Clare

Andrew Clare

City University London - Sir John Cass Business School

Keith Cuthbertson

City University London - Sir John Cass Business School

Dirk Nitzsche

City University London - Sir John Cass Business School

Date Written: January 9, 2009

Abstract

The UK's defined benefit pensions industry makes widespread use of pooled investment vehicles which are provided by a large number of fund management groups. In this paper we provide the first comprehensive performance analysis of these funds. Using data on 734 pooled funds, that had a combined value of just over 400 billion pounds at the end of 2007, ranging from UK equity to funds specialising in Pacific Basin equities, we found almost no statistically significant evidence that the managers of these funds generate alpha, or can time the market. With increasing numbers of UK fund managers purporting to be able to provide high alpha products to the UK's beleaguered pensions industry, our results do not give us great confidence that the solution to the widespread deficits lies in the hands of the UK's active institutional investment managers.

Suggested Citation

Clare, Andrew D. and Cuthbertson, Keith and Nitzsche, Dirk, An Empirical Investigation into the Performance of UK Pension Fund Managers (January 9, 2009). Available at SSRN: https://ssrn.com/abstract=1325410 or http://dx.doi.org/10.2139/ssrn.1325410

Andrew D. Clare

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Keith Cuthbertson

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Dirk Nitzsche (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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