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Performance Measurement using Multiple Asset Class Portfolio Data

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  • Blake, David
  • Lehmann, Bruce N
  • Timmermann, Allan G

Abstract

Using a data set containing 364 UK pension funds’ asset holdings, this paper provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We find surprisingly little cross-sectional variation in the ex-post average performance across the UK pension fund portfolios as a whole as well as within asset classes. This finding we ascribe to the strong incentive the fund managers had not to underperform relative to their peer group. For domestic equities, by far the most important component of the portfolios, we find that fund size is the only variable that appears to account for an important fraction of the cross-sectional variation in measured performance.

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Bibliographic Info

Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 1618.

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Date of creation: Jun 1997
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Handle: RePEc:cpr:ceprdp:1618

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Related research

Keywords: Asset Allocation; Pension funds; Performance Measurement;

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Cited by:
  1. 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.
  2. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds’ structure, performance and investments: cross-country evidence," MPRA Paper 14753, University Library of Munich, Germany.
  3. Whitehouse, Edward, 2000. "Paying for pensions: An international comparison of administrative charges in funded retirement-income systems," MPRA Paper 14171, University Library of Munich, Germany.
  4. Whitehouse, Edward, 2000. "Pension reform, financial literacy and public information : a case study of the United Kingdom," Social Protection Discussion Papers 21312, The World Bank.
  5. Whitehouse, Edward, 2000. "Administrative charges for funded pensions : an international comparison and assessment," Social Protection Discussion Papers 23140, The World Bank.

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