Benchmark selection and performance
| Autor: | Dirk Broeders, Leo de Haan |
|---|---|
| Přispěvatelé: | Finance, RS: GSBE Theme Human Decisions and Policy Design, RS: GSBE Theme Data-Driven Decision-Making |
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Organizational Behavior and Human Resource Management
Economics and Econometrics Strategy and Management Non-bank Financial Institutions Financial Instruments Asset allocation Industrial and Manufacturing Engineering Pension Funds Institutional Investors 0502 economics and business Econometrics Economics 050207 economics Investment performance Selection (genetic algorithm) Rate of return Pension 050208 finance Mechanical Engineering 05 social sciences Metals and Alloys investment performance pension funds Investment (macroeconomics) Market timing PENSION Benchmark selection ASSET ALLOCATION Investment decisions Portfolio Choice Investment Decisions Finance |
| Zdroj: | Journal of Pension Economics & Finance, 19(4):1474747219000246, 511-531. Cambridge University Press |
| ISSN: | 1474-7472 |
| DOI: | 10.1017/s1474747219000246 |
| Popis: | Using regulatory data free of self-reporting bias for 2007–16, we decompose investment returns of 455 Dutch pension funds according to their key investment decisions, i.e., asset allocation, market timing and security selection. In extension to existing papers, we also assess the impact of benchmark selection. Over time, asset allocation explains 39% of the variation of returns, whereas benchmark selection, timing and selection explain 11%, 9% and 16%, respectively. Across pension funds, asset allocation explains on average only 19% of the variation in pension fund returns. Benchmark selection dominates this by explaining 33% of cross-sectional returns. We relate the choice for a specific benchmark to investment, risk and style preferences. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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