Performance Persistence of Dutch Pension Funds
27 Pages Posted: 6 Dec 2010
Date Written: September 15, 2010
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: pension fund investment, performance evaluation, z-score
JEL Classification: G23, C12
Suggested Citation: Suggested Citation