Rehabilitating the Role of Active Management for Pension Funds

25 Pages Posted: 9 Jun 2012 Last revised: 27 Jun 2012

Michel Aglietta

affiliation not provided to SSRN

Marie Briere

Amundi Asset Management; Paris Dauphine University; Université Libre de Bruxelles

Sandra Rigot

French National Center for Scientific Research (CNRS) - Centre d'économie de l'Université de Paris Nord (CEPN)

Ombretta Signori

AXA Investment Managers

Date Written: April 1, 2012

Abstract

Pension fund returns can be decomposed into different sources, including market movements, asset allocation policy, and active portfolio management. We use a unique database covering the asset allocations of US defined-benefit pension funds for the period 1990-2008, and we test the role of each factor in explaining their returns. Our results shed new light on pension funds’ sources of performance. While the previous literature emphasized that policy allocation accounts for the bulk of returns, leaving little room for active management, we show that taking explicit account of market movement can change the results significantly. Although active management plays a minor role in global asset allocation, its role is predominant in explaining returns to individual asset classes, whether traditional or alternative. This paper rehabilitates the contribution of active management as a source of performance for pension funds, at least at the asset class level.

Keywords: pension funds, active management, investment policy

JEL Classification: E31, G11, G23

Suggested Citation

Aglietta, Michel and Briere, Marie and Rigot, Sandra and Signori, Ombretta, Rehabilitating the Role of Active Management for Pension Funds (April 1, 2012). Available at SSRN: https://ssrn.com/abstract=1948726 or http://dx.doi.org/10.2139/ssrn.1948726

Michel Aglietta

affiliation not provided to SSRN ( email )

Marie Briere

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

Paris Dauphine University ( email )

place du Maréchal de Lattre de Tassigny
Paris, 75016
France

Université Libre de Bruxelles ( email )

Brussels
Belgium

Sandra Rigot

French National Center for Scientific Research (CNRS) - Centre d'économie de l'Université de Paris Nord (CEPN) ( email )

UMR7115
Université Paris-Nord
Paris XIII
France

Ombretta Signori (Contact Author)

AXA Investment Managers ( email )

Coeur Défense Tour B - La Défense 4
100 Esplanade du Général de Gaulle
PARIS, Paris La Défense Cedex 92932

Paper statistics

Downloads
192
Rank
129,552
Abstract Views
1,658