Pension Fund Performance

21 Pages Posted: 26 Mar 2009

See all articles by Pablo Antolin

Pablo Antolin

Organisation for Economic Cooperation and Development, OECD

Date Written: August 29, 2008

Abstract

This report provides an analysis of aggregate investment performance by country on a risk adjusted basis using relatively standard investment performance measures. The report also describes privately managed pension funds around the world and the regulatory environment they face. It compares pension funds across countries according to total assets under management and asset allocation, and briefly discusses certain issues surrounding the data reported by pension funds and regulators on investment returns.

Keywords: Investment performance, pension funds, returns on investment, asset allocation, Sharpe ratio, Markowitz mean-variance portfolio maximization

JEL Classification: G11, G23, C80

Suggested Citation

Antolin, Pablo, Pension Fund Performance (August 29, 2008). Available at SSRN: https://ssrn.com/abstract=1368816 or http://dx.doi.org/10.2139/ssrn.1368816

Pablo Antolin (Contact Author)

Organisation for Economic Cooperation and Development, OECD ( email )

2 rue Andre Pascal
Paris Cedex 16, MO 63108
France
33-1-45.24.90.86 (Phone)
33-1-44.30.63.08 (Fax)

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