Journal
ECONOMIST-NETHERLANDS
Volume 160, Issue 1, Pages 17-34Publisher
SPRINGER
DOI: 10.1007/s10645-011-9176-3
Keywords
Pension fund investment; Performance evaluation; z-score
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This paper studies the investment performance of pension funds with a focus on their ability in implementing their intended investment strategy. We use a sample of Dutch industry-wide pension funds, which are obliged by law to report their investment performance according to the so-called z-score. The z-score is a risk-adjusted performance measure with benchmark settings predefined by Dutch law. We find that pension funds as a group cannot beat their self-selected benchmarks consistently. Applying a cross-sectional portfolio approach we find evidence that the largest pension funds outperform the smallest funds.
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