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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We are especially grateful for helpful comments from our referees. We also thank Jenke ter Horst, Carmen Pilar Marti, and other participants in the research seminars at Erasmus University and University of Twente, Netspar Pension Day and EFMA 2008 conference for valuable comments. We gratefully acknowledge Company Info (www.company.info) for providing us access to their pension fund database. The usual disclaimer applies.
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Open Access This is an open access article distributed under the terms of the Creative Commons Attribution Noncommercial License (https://creativecommons.org/licenses/by-nc/2.0), which permits any noncommercial use, distribution, and reproduction in any medium, provided the original author(s) and source are credited.
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Huang, X., Mahieu, R.J. Performance Persistence of Dutch Pension Funds. De Economist 160, 17–34 (2012). https://doi.org/10.1007/s10645-011-9176-3
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DOI: https://doi.org/10.1007/s10645-011-9176-3