Performance Measurement using Multiple Asset Class Portfolio Data
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.
|Date of creation:||Jun 1997|
|Contact details of provider:|| Postal: Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ.|
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:cpr:ceprdp:1618. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.