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Investment Performance of Swiss Pension Funds and Investment Foundations

  • Manuel Ammann
  • Andreas Zingg

We investigate the performance of domestic and international bond and equity portfolios of Swiss pension funds and investment foundations over the period of 1996 to 2006. We find some indications for superior skills of pension funds in international bond management even net of costs for asset management and fund administration. In contrast, we find a significant net underperformance for domestic bonds, domestic equities and international equities. For investment foundations, we find a significant net underperformance for domestic bonds and international equities, whereas for international bonds and domestic equities the null hypothesis of neither significant out- or underperformance cannot be rejected.

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Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

Volume (Year): 144 (2008)
Issue (Month): II (June)
Pages: 153-195

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Handle: RePEc:ses:arsjes:2008-ii-2
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  1. David Blake & Allan Timmermann, 2002. "International asset allocation with time-varying investment opportunities," LSE Research Online Documents on Economics 24944, London School of Economics and Political Science, LSE Library.
  2. Gavin Brown & Paul Draper & Eddie McKenzie, 1997. "Consistency of UK Pension Fund Investment Performance," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(2), pages 155-178.
  3. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-61, October.
  4. Blake, David & Lehmann, Bruce N & Timmermann, Allan G, 1997. "Performance Measurement using Multiple Asset Class Portfolio Data," CEPR Discussion Papers 1618, C.E.P.R. Discussion Papers.
  5. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1995. " Fundamental Economic Variables, Expected Returns, and Bond Fund Performance," Journal of Finance, American Finance Association, vol. 50(4), pages 1229-56, September.
  6. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
  7. Manuel Ammann & Michael Steiner, 2008. "Risk Factors for the Swiss Stock Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(I), pages 1-35, March.
  8. Blake, Christopher R & Elton, Edwin J & Gruber, Martin J, 1993. "The Performance of Bond Mutual Funds," The Journal of Business, University of Chicago Press, vol. 66(3), pages 370-403, July.
  9. Cumby, Robert E & Glen, Jack D, 1990. " Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
  10. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
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