Performance persistence of pension fund managers

Ian Tonks

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper examines persistence over time in the performance of fund managers responsible for making the investment decisions of UK pension funds. Previous work on UK pension funds found little evidence of fund manager persistence, but we argue that this may have been due to survivorship bias in the construction of these data samples, which may have disguised true persistence. Using a large sample of pension funds over the period 1983-97 in which there is less survivorship bias, we find strong evidence of persistence in abnormal returns generated by fund managers over one year time horizons.

Keywords: pension funds; fund management; performance measurement (search for similar items in EconPapers)
JEL-codes: G23 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2002-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://eprints.lse.ac.uk/24942/ Open access version. (application/pdf)

Related works:
Journal Article: Performance Persistence of Pension-Fund Managers (2005)
Working Paper: Performance Persistence of Pension Fund Managers (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24942

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