Performance Persistence of Dutch Pension Funds


Huang, X. and Mahieu, R. (2012) Performance Persistence of Dutch Pension Funds. De Economist, 160 (1). 17 - 34. ISSN 0013-063X

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Abstract: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 with benchmark settings predefined by Dutch law. We find that pension funds as a group cannot beat their self-selected benchmarks consistently. Applying a cross-sectional portfolio approach we find evidence that the largest pension funds outperform the smallest funds.
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Copyright:© 2012 The Author(s)
Faculty of Behavioural, Management and Social sciences (BMS)
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