Performance Persistence of Pension Fund Managers

Ian Tonks

No 175, Royal Economic Society Annual Conference 2002 from Royal Economic Society

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.

Date: 2002-08-29
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Working Paper: Performance persistence of pension fund managers (2002)
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