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Performance Measurement using Multiple Asset Class Portfolio Data

Author

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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.

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. "Paying for pensions: An international comparison of administrative charges in funded retirement-income systems," MPRA Paper 14171, University Library of Munich, Germany.
    2. Whitehouse, Edward, 2000. "Administrative charges for funded pensions : an international comparison and assessment," Social Protection Discussion Papers and Notes 23140, The World Bank.
    3. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.
    4. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds'structure, performance, and investments : cross-country evidence," Social Protection Discussion Papers and Notes 23302, The World Bank.
    5. Whitehouse, Edward, 2000. "Pension reform, financial literacy and public information : a case study of the United Kingdom," Social Protection Discussion Papers and Notes 21312, The World Bank.
    6. 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

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    JEL classification:

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

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