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.
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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.
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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