Pension Funds and Drivers of Heterogeneous Investment Strategies

74 Pages Posted: 6 Sep 2019 Last revised: 19 Nov 2020

See all articles by Dirk Broeders

Dirk Broeders

De Nederlandsche Bank; Maastricht University

Kristy A.E. Jansen

Tilburg University; De Nederlandsche Bank - Research Department

Date Written: September 1, 2019


We find remarkable heterogeneity in the investment strategies of pension funds with similar objectives. We use bias-free data to measure their investment strategies through factor exposures within equity and fixed income portfolios. Consistent with our model we find that the funding ratio, risk aversion, and liability duration partially explain heterogeneity in factor exposures. The remaining heterogeneity reflects an annual expected return difference of 0.70-1.50 percentage points that we attribute to differences in beliefs that pension funds reveal through contracting asset management firms. This finding shows that beliefs have important economic implications for beneficiaries who cannot freely choose a pension fund.

Keywords: factor exposures, liabilities, pension funds, portfolio choice, retirement income

JEL Classification: G11, G23

Suggested Citation

Broeders, Dirk and Jansen, Kristy A.E., Pension Funds and Drivers of Heterogeneous Investment Strategies (September 1, 2019). Available at SSRN: or

Dirk Broeders

De Nederlandsche Bank ( email )

P.O. Box 98
Amsterdam, 1000 AB


Maastricht University ( email )

P.O. Box 616
Maastricht, 6200MD

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Kristy A.E. Jansen (Contact Author)

Tilburg University ( email )

P.O. Box 90153
Tilburg, DC Noord-Brabant 5000 LE

De Nederlandsche Bank - Research Department ( email )

P.O. Box 98
1000 AB Amsterdam

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