Performance persistence of Dutch pension funds

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 where the benchmarks are chosen a priori preventing manipulation in the score calculation. We find that pension funds as a group cannot beat their self-selected benchmarks and show no performance persistence. It reflects that pension funds on average do not add value in implementing their investment strategy. Cross-sectionally, it turns out that large funds are better able to beat their benchmarks persistently than small funds.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.


Missie en strategie           •           Netwerk           •           Organisatie           •          Podcasts
Board Brief            •            Werkprogramma 2023-2027           •           Onderzoeksagenda


Onze partners

B20160708_universiteit utrecht
B20210909_SPMS_logo download greyscale smaller
Bekijk al onze partners