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1 results

  • Benchmark selection and performance

  • Dirk Broeders, Leo de Haan
  • Journal:
    Journal of Pension Economics & Finance / Volume 19 / Issue 4 / October 2020
    Published online by Cambridge University Press:
    12 November 2019, pp. 511-531

  • 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.