Pension fund equity performance: Patience, activity or both?

Tanja Artiga Gonzalez, Iman van Lelyveld and Katarína Lučivjanská

Journal of Banking & Finance, 2020, vol. 115, issue C

Abstract: We study how pension fund (out)performance is influenced by a) a pension fund’s activity, i.e., how much the pension fund deviates in its stock allocation from typical pension fund behavior, and b) whether the pension fund is patient in exploiting investment opportunities (measured by stock holding duration). We do not find that high activity or higher holding duration, separately, lead to higher risk adjusted returns on average. However, if high activity is paired with long-term holdings, the pension fund’s performance increases. Quantitatively, if an active pension fund increases its duration by one standard deviation, annual returns tend to increase by 2.3%. Our findings indicate that some pension funds are patient enough to exploit long-term investment opportunities.

Keywords: Pension funds; Active share; Fund duration (search for similar items in EconPapers)
JEL-codes: G11 G23 H55 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300790

DOI: 10.1016/j.jbankfin.2020.105812

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