We investigate the performance of domestic and international bond and equity portfolios of Swiss pension funds and investment foundations over the period of 1996 to 2006. Our sample consists of 73 pension funds and 13 investment foundations with total assets of more than CHF 200 billion. We find some indications for superior skills of security selection and timing by pension funds in international bond management even net of costs for asset management and fund administration. In contrast, we find a significant net underperformance for domestic bonds, domestic equities and international equities. For investment foundations, we find a significant net underperformance for domestic bonds and international equities, whereas for international bonds and domestic equities the null hypothesis of neither significant outperformance or underperformance cannot be rejected. Finally, we find no evidence of persistence in the performance of Swiss pension funds and investment foundations.
Ambachtsheer, K. P., R. Capelle, and T. Scheibelhut (1998), “Improving Pension Fund Performance”, Financial Analysts Journal, 54, pp. 15–21.
Ammann, M., C. Haeller, and R. von Wyss (2002), „Performance schweizerischer Anlagestiftungen“, Financial Markets and Portfolio Management, 16, pp. 446–466.
Ammann, M., and M. Steiner (2008), “Risk Factors for the Swiss Stock Market”, Swiss Journal of Economics and Statistics, 144, pp. 1–35.
Beck, N., and J. N. Katz (1995), “What to Do (and not to Do) with Time-Series Cross-Section Data”, American Political Science Review, 89, pp. 634–647.
Beebower, G. L., and G. L. Bergstrom (1977), “A Performance Analysis of Pension and Profit-Sharing Portfolios: 1966–1975”, Financial Analysts Journal, 33, pp. 31–42.
Blake, C. R., E. J. Elton, and M. J. Gruber (1993), “The Performance of Bond Mutual Funds”, Journal of Business, 66, pp. 371–403.
Blake, D., B. N. Lehmann, and A. Timmermann (1999), “Asset Allocation Dynamics and Pension Fund Performance”, Journal of Business, 72, pp. 429–461.
Blake, D., B. Lehmann, and A. Timmermann (1997), Performance Measurement using multi-Asset Portfolio Data: A Study Of U.K. Pension Funds, tech. report, Pensions Institute, Birkbeck College.
Blake, D., and A. Timmermann (2005), “Returns from Active Management in International Equity Markets: Evidence from a Panel of U.K. Pension Funds”, Journal of Asset Management, 6, pp. 5–20.
Brinson, G. P., L. R. Hood, and G. L. Beebower (1986), “Determinants of Portfolio Performance”, Financial Analysts Journal, 42, pp. 39–44.
Brinson, G. P., B. D. Singer, and G. L. Beebower (1991), “Determinants of Portfolio Performance II: An Update”, Financial Analysts Journal, 47, pp. 40–48.
Brown, G., P. Draper, and E. McKenzie (1997), “Consistency of U.K. Pension Fund Investment Performance”, Journal of Business Finance and Accounting, 24, pp. 155–078.
Carhart, M. M. (1997), “On Persistence in Mutual Fund Performance”, Journal of Finance, 52, pp. 57–82.
D. T. Coggin, F. J. Fabozzi, and S. Rahman (1993), “The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation, Journal of Finance, 48, pp. 1039–1055.
Cumby, R. E., and J. D. Glen (1990), “Evaluating the Performance of International Mutual Funds”, Journal of Finance, 45, pp. 497–521.
Detzler, M. L. (1999), “The Performance of Global Mutual Funds”, Journal of Banking and Finance, 23, pp. 1195–1217.
Eidgenossenschaft (2006), Szenarien zur Bevölkerungsentwicklung der Schweiz 2005–2050, technical report, Federal Statistical Office, 2006.
Elton, E. J., M. J. Gruber, and C. R. Blake (1995), “Fundamental Economic Variables, Expected Returns, and Bond Fund Performance”, Journal of Finance, 50, pp. 1229–1256.
Fama, E. F., and K. R. French (1993), “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics, 33, pp. 3–56.
Ippolito, R. A., and J. A. Turner, “Turnover, Fees and Pension Plan Performance”, Financial Analysts Journal, 43 (1987), pp. 16–26.
Lakonishok, J., A. Shleifer, R. W. Vishny, O. Hart, and G. L. Perry (1992), “The Structure and Performance of the Money Management Industry”, Brooking Papers on Economic Activity, 1992, pp. 339–391.
Lusenti, G. (2007), Swiss Institutional Survey, study report, Lusenti Partners, Zurich.
Thomas, A., and I. Tonks (2001), “Equity Performance of Segregated Pension Funds in the U.K.”, Journal of Asset Management, 1, pp. 321–343.
Timmermann, A., and D. Blake (2005), “International Asset Allocation with Time-Varying Investment Opportunities”, Journal of Business, 78, pp. 71–98.
Tonks, I. (2005), “Performance Persistence of Pension-Fund Managers”, Journal of Business, 78, pp. 1917–1942.
We would like to thank Ralf Seiz, Alexander Ising, Stephan Süss, Michael Verhofen, Evert Wipplinger, Rico von Wyss, and an anonymous referee for their helpful comments. Watson Watt, the Swiss Pension Fund Association (ASIP), and the Conference of Managers of Investment Foundations (KGAST) are gratefully acknowledged for providing the data.
Rights and permissions
Open Access This article is distributed under the terms of the Creative Commons Attribution 2.0 International License ( https://creativecommons.org/licenses/by/2.0 ), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
About this article
Cite this article
Ammann, M., Zingg, A. Investment Performance of Swiss Pension Funds and Investment Foundations. Swiss J Economics Statistics 144, 153–195 (2008). https://doi.org/10.1007/BF03399252
- pension funds