Pension Fund Performance

Antolín, Pablo

doi:10.1787/240401404057

Cited by 15 publications

(7 citation statements)

References 3 publications

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“…He finds that there is evidence of persistence when performance is measured in the terms of Jensen's alpha. Antolin (2008) examines the investment performance of privately managed pension funds across OECD, Latin American and CEE countries and finds that pension funds have generally underperformed the markets. He also finds evidence that investment restrictions have had a negative impact on performance.…”

Section: Pension Fund Performancementioning

confidence: 99%

An empirical analysis of the performance of pension funds: evidence from UK

Adami

Gough

Mukherjee

et al. 2014

Studies in Economics and Finance

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Purpose – This paper aims to examine the investment performance of pension funds in the UK using the three standard performance measurement models, the capital asset pricing model (CAPM), Fama-French model and the Carhart model. Design/methodology/approach – The authors use the CAPS-Mellon survey data for the period 1990-2008 and employ the three standard performance measurement models, the CAPM, Fama-French model and the Carhart model in assessing the investment performance of the pension funds. Findings – The authors show that the abnormal returns of pension funds cannot be fully explained by size, book-to-market values, market returns, momentum and the term spread. The authors find larger abnormal returns in bond than in equity portfolios and that smaller funds outperform larger funds. The paper also shows that the addition of the momentum factor does not improve on the three-factor Fama-French model. The authors find that pension funds exhibit superior performance relative to the linear factor models. Research limitations/implications – First, this study contributes to the extant literature on pension funds performance. Future research may also extend the authors' work to incorporate economic, tax, political and legal differences across the countries on the performance of pension funds. Second, due to data constraints, this study excludes the default probability of corporate bonds as an additional variable in their tests on bond returns. Future work may add the default probability as an additional variable whilst examining bond returns. Practical implications – The authors believe that the findings will be considerable food for thought for fund managers who continuously attempt to explore opportunities to provide a higher return to investors. Originality/value – To the authors' knowledge, this is the first comprehensive study that investigates the performance of UK equity and bond pension funds relative to standard linear factor models such as the CAPM, Fama and French, and Carhart.

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Section: Pension Fund Performancementioning

confidence: 99%

An empirical analysis of the performance of pension funds: evidence from UK

Adami

Gough

Mukherjee

et al. 2014

Studies in Economics and Finance

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“…Besides, both the Treynor-Mazuy and Merton-Henriksson model have demonstrated consistent results that market-timing ability is inferior with significant negative alphas. Antolin [17] on the other hand found that the private pension funds in OECD have inferior performance. Meanwhile, more recent researches demonstrated a trend towards multi-factor models in explaining the performance of pension funds returns.…”

Section: Literature Reviewmentioning

confidence: 99%

Investment Performance of Private Pension Funds in Selected Asian Countries: The Role of Fees and Management Companies

Yan¹,

Foong²

2021

Proceedings of the Ninth International Conference on Entrepreneurship and Business Management (ICEBM 2020)

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This paper examines the investment performance of private pension funds in Hong Kong, South Korea, Malaysia, Singapore, and Thailand, segregated by fund universe: Growth (equity), Moderate (balanced), and Conservative (bond) Fund. The adoption of hybrid model is a new attempt and all the three main categories of pension fund are evaluated in which previous studies have focused on merely equity funds. This study employs 6 years of monthly observations and a total of 931 pension-fund samples. Net returns and gross returns are used to evaluate the impact of fees on funds' performance with the hybrid model which mimics the Fama-French and Treynor-Mazuy. Empirical findings imply that most private pension funds in Asia have inferior performance even before the consideration of fees. In addition, the Growth Fund outperforms the Moderate and Conservative Fund before fees are taken into consideration. Nonetheless, management fees do deteriorate the performance of pension funds. Hence, policy makers should strive to devise suitable course of actions to raise the retirement incomes of citizen. Additionally, the results may be useful to investors to make better informed investment decisions and fund managers in building the pension fund's portfolio.

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“…In our investigation we apply several well-known investment efficiency measures, which are described in (Tarczyński, 1997;Białek, 2009;Perez, 2012;Antolin, 2008;Domański (ed. ), 2011;Witkowska et al, 2012;Zamojska, 2012, among others.…”

Section: Performance Measuresmentioning

confidence: 99%

Polish Pension Market Performance in Comparison to Selected Benchmarks

Witkowska

Kompa

2017

Economics &Amp; Sociology

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ABSTRACT. After the great reform of the pension system in Poland in 1999, the several transformations of the new system were performed. The most essential, which changed the rules for the mandatory fully funded pillar, went implemented in 2011 and 2014. The aim of the study is to answer the question if new regulations better protect the retirement savings. To obtain this goal we compare the performance of the pension funds to the actual and hypothetical benchmarks which are constructed according to the changes of the pension system, introduced by the Polish government. The research is provided applying several measures of the investment efficiency, for instance Sharpe, Sharpe-Israelsen, Sortino, Treynor and Jensen ratios.

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Pension Fund Performance

Cited by 15 publications

References 3 publications

An empirical analysis of the performance of pension funds: evidence from UK

An empirical analysis of the performance of pension funds: evidence from UK

Investment Performance of Private Pension Funds in Selected Asian Countries: The Role of Fees and Management Companies

Polish Pension Market Performance in Comparison to Selected Benchmarks

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