The Moderating Role of Treasury Bills and Bonds Allocations on the Relationship between Systematic Risk and Investment Portfolio Performance of Pension Schemes in Kenya

Karen Kandie (), Dr. Joseph Macheru () and Dr. Cliff Osoro ()

International Journal of Finance and Accounting, 2023, vol. 8, issue 2, 71 - 84

Abstract: Purpose: This study investigated the moderating role of Treasury Bills and Bonds allocation on the relationship between systematic risk and investment portfolio performance of pension schemes in Kenya. Assets under management by pension schemes make up 14.6% of the GDP in Kenya, making pension schemes significant players in the financial industry and the economy. As of December 2021, the pension industry had mobilised Kshs. 1,547.43 billion in managed pension assets from Kshs. 44.7 billion in 2000, a significant annual average growth rate of 21%. Methodology: The study used secondary data from 1,172 registered pension schemes for seven years between 2015 and 2021. Pension scheme data was collected from the database of the Retirement Benefits Authority. Systematic risk data was collected from the databases of the Central Bank of Kenya, Nairobi Securities Exchange and Kenya National Bureau of Statistics. Panel Regression analysis, fixed effect, random effect, and Hausman test were used to analyse the relationship between the dependent and independent variables. The study applied the Whisman and Maclleland two-step model to evaluate the impact of asset allocation on the investment portfolio performance of pension schemes as moderating variables. Findings: The study results showed that asset allocation to Treasury Bills and Bonds did not significantly moderate the effect of systematic risk on the investment portfolio performance of pension schemes. Unique Contribution to Theory, Practice and Policy: The study contributed to academia by challenging the usefulness of Modern Portfolio Theory. Policymakers should consider reviewing the limits on investment in Treasury Bills and Bonds to less than 100% to encourage diversification to more asset classes. Practitioners are recommended to invest in diverse asset classes.

Keywords: Pension; Asset Allocation; Treasury Bills and Bonds; Systematic Risk (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://iprjb.org/journals/index.php/IJFA/article/view/2105 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdu:ojijfa:v:8:y:2023:i:2:p:71-84:id:2105

Access Statistics for this article

More articles in International Journal of Finance and Accounting from IPRJB
Bibliographic data for series maintained by Chief Editor ().