scholarly journals Pseudo-Na ive Approaches to Investment Performance Measurement

2014 ◽  
Author(s):  
Carlo Alberto Magni
Keyword(s):  
Performance Measurement ◽  
Investment Performance

scholarly journals An empirical analysis of the performance of pension funds: evidence from UK

2014 ◽  
Vol 31 (2) ◽  
pp. 141-155 ◽  
Author(s):  
Roberta Adami ◽  
Orla Gough ◽  
Suranjita Mukherjee ◽  
Sheeja Sivaprasad
Keyword(s):  
Performance Measurement ◽  
Abnormal Returns ◽  
Pension Funds ◽  
Factor Models ◽  
Default Probability ◽  
Investment Performance ◽  
Content Type ◽  
Measurement Models ◽  
Bond Returns ◽  
French Model

Purpose – This paper aims to examine the investment performance of pension funds in the UK using the three standard performance measurement models, the capital asset pricing model (CAPM), Fama-French model and the Carhart model. Design/methodology/approach – The authors use the CAPS-Mellon survey data for the period 1990-2008 and employ the three standard performance measurement models, the CAPM, Fama-French model and the Carhart model in assessing the investment performance of the pension funds. Findings – The authors show that the abnormal returns of pension funds cannot be fully explained by size, book-to-market values, market returns, momentum and the term spread. The authors find larger abnormal returns in bond than in equity portfolios and that smaller funds outperform larger funds. The paper also shows that the addition of the momentum factor does not improve on the three-factor Fama-French model. The authors find that pension funds exhibit superior performance relative to the linear factor models. Research limitations/implications – First, this study contributes to the extant literature on pension funds performance. Future research may also extend the authors' work to incorporate economic, tax, political and legal differences across the countries on the performance of pension funds. Second, due to data constraints, this study excludes the default probability of corporate bonds as an additional variable in their tests on bond returns. Future work may add the default probability as an additional variable whilst examining bond returns. Practical implications – The authors believe that the findings will be considerable food for thought for fund managers who continuously attempt to explore opportunities to provide a higher return to investors. Originality/value – To the authors' knowledge, this is the first comprehensive study that investigates the performance of UK equity and bond pension funds relative to standard linear factor models such as the CAPM, Fama and French, and Carhart.

Measurement of Pension Fund Investment Performance.

1980 ◽  
Vol 24 ◽  
pp. 33-64 ◽  
Author(s):  
D. P. Hager
Keyword(s):  
United States ◽  
United Kingdom ◽  
Performance Measurement ◽  
Pension Fund ◽  
The United States ◽  
Qualitative Assessment ◽  
Investment Performance ◽  
The United Kingdom ◽  
The Subject ◽  
Fund Investment

In the United States the theoretical and practical aspects of the measurement of investment performance have been well researched, and the investment managers and pension fund trustees are accustomed to having a battery of statistics available on the performance of a pension fund.By contrast, in the United Kingdom, attention has only really been given to this subject in this decade. It has taken time for both investment managers and trustees to appreciate the need to measure performance and to move away from a solely qualitative assessment of the ability of investment managers to one involving a quantitative element.There are just a few papers by U.K. authors on the investment performance of pension funds and the Institute has discussed the subject only once. This was in November 1976 when J. P. Holbrook presented a comprehensive paper covering both theoretical and practical aspects of performance measurement.

Investment — assessing a manager's skill and monitoring the risks

1994 ◽  
Vol 121 (1) ◽  
pp. 69-117
Author(s):  
N. Day ◽  
S. J. Green ◽  
J. Plymen
Keyword(s):  
Performance Measurement ◽  
Performance Monitoring ◽  
Measurement Techniques ◽  
Value Added ◽  
Investment Performance ◽  
Manager Skill

AbstractThe paper proposes a new way of assessing an investment manager's skill in the day-to-day management of portfolios. The authors argue that traditional investment performance measurement techniques, whilst appropriate for many purposes, do not provide the insights necessary to judge the skill of investment managers. To judge manager skill, it is necessary to consider the activity within the portfolio in terms of the purchases, sales and trades, and to determine the value added by that activity. The paper sets out a framework by which this analysis can be carried out and, by means of examples, indicates how the results can be interpreted. The paper also explores briefly a number of other issues such as the qualitative aspects of performance monitoring. In writing the paper, the concept of risk in various guises was never far from the authors' minds, and it is true to say that the meaning of risk in the context of assessing manager skill lies at the very heart of the paper.

Pension Fund Performance Measurement—the Way Ahead?.

1987 ◽  
Vol 30 ◽  
pp. 163-179
Author(s):  
T. J. A. Gardener
Keyword(s):  
Performance Measurement ◽  
Theoretical Basis ◽  
Pension Fund ◽  
Fund Performance ◽  
Pension Funds ◽  
Rate Of Return ◽  
Comprehensive Description ◽  
Investment Performance ◽  
The Way

In the last ten years Staple Inn has played host to two major discussions on performance measurement. In November 1976, Holbrook's definitive paper to the Institute set out in some detail the theoretical basis of performance measurement while in January 1980 Hager's paper to the Student's Society gave a detailed view of performance measurement in practice. Between them the two papers provide a fairly comprehensive description of what was, even in 1980, a relatively novel science for many U.K. pension funds. At the time of writing the majority of large- and medium-sized directly invested pension funds have their investment performance measured. Yet even after fifteen years of performance measurement in the U.K. some of the fundamentals of performance measurement are questioned and even disputed by a sizeable proportion of actuaries—for example in his March 1985 paper to the Faculty of Actuaries Marshall states, “This must call in question the validity of its (the Time Weighted Rate of Return) use for comparative purposes”.

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