Pension Fund Equity Performance: Patience, Activity or Both?

37 Pages Posted: 11 Oct 2018

See all articles by Tanja Artiga González

Tanja Artiga González

VU University Amsterdam

Iman van Lelyveld

De Nederlandsche Bank; Vrije Universiteit Amsterdam

Katarina Lucivjanska

University of Pavol Jozef Šafárik in Kosice

Date Written: September 21, 2018

Abstract

We study how pension fund (out)performance is influenced by a) a pension fund's activity, i.e., how much the pension fund deviates in its stock allocation from the typical pension fund behavior, and b) whether the pension fund exploits short- or long-term mispricing opportunities (measured by stock holding duration). We do not find that high activity or higher holding duration, separately, lead to higher risk adjusted returns on average. However, if high activity is paired with long-term holdings, the pension fund's performance increases. Quantitatively, if an active pension fund with a duration of one year increases its duration by one month, annual returns tend to increase by 3.3%. Our findings indicate that some pension funds are patient enough to exploit long-term mispricing opportunities.

Keywords: Pension funds, Active share, fund duration

JEL Classification: G11, G23, H55

Suggested Citation

Artiga Gonzalez, Tanja and van Lelyveld, Iman and Lucivjanska, Katarina, Pension Fund Equity Performance: Patience, Activity or Both? (September 21, 2018). De Nederlandsche Bank Working Paper No. 606, Available at SSRN: https://ssrn.com/abstract=3255023 or http://dx.doi.org/10.2139/ssrn.3255023

Tanja Artiga Gonzalez

VU University Amsterdam ( email )

De Boelelaan 1105
Amsterdam, North Holland 1081 HV
Netherlands

Iman van Lelyveld (Contact Author)

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Vrije Universiteit Amsterdam ( email )

Netherlands

Katarina Lucivjanska

University of Pavol Jozef Šafárik in Kosice ( email )

Šrobárova 2
Košice, 041 32
Slovakia

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
31
Abstract Views
399
PlumX Metrics