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Performance Measurement using Multiple Asset Class Portfolio Data

Author

Listed:
  • 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.

Suggested Citation

  • 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.
  • Handle: RePEc:cpr:ceprdp:1618
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    Citations

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    Cited by:

    1. 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.
    2. Whitehouse, Edward, 2000. "Administrative charges for funded pensions: An international comparison and assessment," MPRA Paper 14172, University Library of Munich, Germany.
    3. 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.
    4. 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.
    5. 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.

    More about this item

    Keywords

    Asset Allocation; Pension funds; Performance Measurement;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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