Performance Persistence of Dutch Pension Funds |
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Authors: | Xiaohong Huang Ronald J Mahieu |
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Institution: | (1) Department of Finance and Real Estate, College of Business, University of Cincinnati, Cincinnati, OH 45221-0195, USA;(2) Paul Mitchell Real Estate Consultancy Ltd, London, E11 2SA, UK |
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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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Keywords: | |
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