Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

CFA Digest ◽  
2003 ◽  
Vol 33 (1) ◽  
pp. 46-48
Author(s):  
Stephen M. Horan
Keyword(s):  
Performance Measurement ◽  
Pension Funds ◽  
Conditional 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.

Performance Measurement for Pension Funds

CFA Digest ◽  
2008 ◽  
Vol 38 (3) ◽  
pp. 61-62
Author(s):  
William A. Trent
Keyword(s):  
Performance Measurement ◽  
Pension Funds

The liability market value as benchmark in pension fund performance measurement

2014 ◽  
Vol 15 (1) ◽  
pp. 90-111
Author(s):  
LIDIA BOLLA ◽  
HAGEN WITTIG ◽  
ALEXANDER KOHLER
Keyword(s):  
Financial Crisis ◽  
Performance Measurement ◽  
Pension Fund ◽  
Market Value ◽  
Fund Performance ◽  
Pension Funds ◽  
New Approach ◽  
Corporate Pension ◽  
Recent Financial Crisis ◽  
Operational Tool

AbstractOften performance of pension funds is assessed based on the development of the assets only, neglecting the simultaneous development of the liabilities. This especially is the case in Switzerland, one of the world's largest markets for corporate pension funds. We create a new liability benchmark for referencing the asset performance. Measuring the asset performance with respect to the liability benchmark yields the Asset-Liability-Result. We apply the model to (i) the Swiss pension fund market as a whole and (ii) an individual Swiss pension fund. With our new approach, we are able to show that the pension funds’ recovery from the recent financial crisis took much longer than the value increase of the asset portfolios suggests. We strongly advocate the use of a liability benchmark for analyzing the entire pension fund markets’ performance and specifically as operational tool for individual pension funds.

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”.

Sign in / Sign up

Export Citation Format

Share Document