Performance Evaluation of Balanced Pension Plans

32 Pages Posted: 5 Mar 2010

See all articles by Laura Andreu

Laura Andreu

University of Zaragoza - Faculty of Business and Economics

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Quantitative Investments

Multiple version iconThere are 2 versions of this paper

Date Written: October 1, 2009

Abstract

This paper examines the ability of balanced pension plan managers to successfully time the equity and bond market and select the appropriate assets within these markets. In order to evaluate both market timing abilities in these balanced pension plans, we extend the traditional equity market timing models to also account for bond market timing. As far as we know, we are among the first to apply this multifactor timing model to investigate equity and bond market timing simultaneously. This performance evaluation has been conducted on two samples of Spanish balanced pension plans, one with Euro Zone and one with World investment focus. This allows us to decompose managers’ skills in three components: selectivity, equity market timing, and bond market timing. Our findings suggest that the average stock picking ability of pension plans is positive. World schemes tend to have positive bond timing skills, while Euro Zone pension plans are on average not able to time equity or bond markets.

Keywords: Balanced Pension Plans, Market Timing, Performance Evaluation, Stockpicking

JEL Classification: G11

Suggested Citation

Andreu, Laura and Swinkels, Laurens, Performance Evaluation of Balanced Pension Plans (October 1, 2009). Available at SSRN: https://ssrn.com/abstract=1562466 or http://dx.doi.org/10.2139/ssrn.1562466

Laura Andreu

University of Zaragoza - Faculty of Business and Economics ( email )

Gran Via, 2
50005 Zaragoza, Zaragoza 50005
Spain

Laurens Swinkels (Contact Author)

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Robeco Quantitative Investments ( email )

Rotterdam, 3000
Netherlands
+31 10 224 2470 (Phone)
+31 10 224 2110 (Fax)

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