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Rehabilitating the Role of Active Management for Pension Funds

Author

Listed:
  • Michel Aglietta

    (CEPII - Centre d'études prospectives et d'informations internationales - CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique, EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Marie Brière

    (LEDa - Laboratoire d'Economie de Dauphine - Université Paris-Dauphine)

  • Sandra Rigot

    (CEPN - Centre d'Economie de l'Université Paris Nord - UP13 - Université Paris 13 - USPC - Université Sorbonne Paris Cité - CNRS - Centre National de la Recherche Scientifique)

  • Ombretta Signori

    (AXA France - AXA)

Abstract

Pension fund return s can be decomposed into different sources, including market movements, asset allo-cation policy, and active portfolio management. We use a unique database covering the asset allocations of US defined-benefit pension funds for the perio d 1990–2008, and we test the role of each factor in explaining their return s. Our results shed new light on pension funds' sources of performance. While the previous literature emphasized that policy allocation accounts for the bulk of returns, leaving little room for active management, we show that taking explicit account of market movement can change the results significantly. Although active management plays a minor role in global asset allocat ion, its role is predominant in explaining returns to individual asset classes, whether traditional or alternative. This paper rehabilitates the contribution of active managem ent as a source of performance for pension funds, at least at the asset class level.

Suggested Citation

  • Michel Aglietta & Marie Brière & Sandra Rigot & Ombretta Signori, 2012. "Rehabilitating the Role of Active Management for Pension Funds," Post-Print hal-01493326, HAL.
  • Handle: RePEc:hal:journl:hal-01493326
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01493326
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    Citations

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    Cited by:

    1. Ebrahim, M. Shahid & Mathur, Ike & ap Gwilym, Rhys, 2014. "Integrating corporate ownership and pension fund structures: A general equilibrium approach," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 553-569.
    2. repec:eee:jimfin:v:84:y:2018:i:c:p:23-41 is not listed on IDEAS
    3. Gökçen, Umut & Yalçın, Atakan, 2015. "The case against active pension funds: Evidence from the Turkish Private Pension System," Emerging Markets Review, Elsevier, vol. 23(C), pages 46-67.

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