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Consistency of UK Pension Fund Investment Performance

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  • Gavin Brown

    (PanAgora Asset Management Ltd, London,)

  • Paul Draper
  • Eddie McKenzie
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    Abstract

    "Transition matrix techniques are used to relate the past and present performance of pension fund portfolios. In particular, funds are ranked to study the tendency of portfolios to remain in the same quartile of the ranking as they were in the previous period. For raw returns, funds in both of the top quartiles are found to be more likely to remain in the same quartile than would be expected by chance. This result can be taken as limited evidence for the consistency of performance. Similar systemic effects are observed on a risk-adjusted basis. There appears to be clear evidence that some fund managers can offer a degree of consistent good performance." Copyright Blackwell Publishers Ltd 1997.

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.

    Volume (Year): 24 (1997-03)
    Issue (Month): 2 ()
    Pages: 155-178

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    Handle: RePEc:bla:jbfnac:v:24:y:1997-03:i:2:p:155-178

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X

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    Cited by:
    1. Alan Gregory & Ian Tonks, 2004. "Performance of personal pension schemes in the UK," LSE Research Online Documents on Economics 24698, London School of Economics and Political Science, LSE Library.
    2. Anastasia Petraki & Anna Zalewska, . "With whom and in what is it better to save? Personal pensions in the UK Abstract: This paper studies the relationship between fund and provider characteristics, and fund performance using a sample of ," The Centre for Market and Public Organisation 13/304, Department of Economics, University of Bristol, UK.
    3. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2014. "On the robustness of persistence in mutual fund performance," Working Papers 2014/01, Economics Department, Universitat Jaume I, Castellón (Spain).
    4. Carmen-Pilar Mart¨ª-Ballester, 2012. "A Comparative Analysis of the Performance of Collective Investment Institutions," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 43-52, May.
    5. Fabrice Herve, 2002. "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Working Papers 2002-3, Laboratoire Orléanais de Gestion - université d'Orléans.
    6. Whitehouse, Edward, 2000. "Pension reform, financial literacy and public information: a case study of the United Kingdom," MPRA Paper 10323, University Library of Munich, Germany.
    7. Anastasia Petraki & Anna Zalewska, . "Jumping over a low hurdle: Personal pension fund performance Abstract: This study analyses a sample of 8,255 UK personal pension funds operated by 60 providers over a 30 years’ period (1980 – 2009," The Centre for Market and Public Organisation 13/305, Department of Economics, University of Bristol, UK.
    8. Fletcher, Jonathan & Forbes, David, 2002. "An exploration of the persistence of UK unit trust performance," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 475-493, December.
    9. Manuel Ammann & Andreas Zingg, 2008. "Investment Performance of Swiss Pension Funds and Investment Foundations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 153-195, June.

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