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Consistency of UK Pension Fund Investment Performance
Author(s) -
Brown Gavin,
Draper Paul,
McKenzie Eddie
Publication year - 1997
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00100
Subject(s) - quartile , consistency (knowledge bases) , pension , target date fund , ranking (information retrieval) , actuarial science , investment (military) , economics , pension fund , portfolio , econometrics , investment performance , business , open end fund , financial economics , finance , statistics , mathematics , return on investment , institutional investor , computer science , microeconomics , confidence interval , law , corporate governance , geometry , machine learning , political science , production (economics) , politics
Transition matrix techniques are used to relate the past and present performance of pension fund portfolios. In particular, funds are ranked to study the tendency of portfolios to remain in the same quartile of the ranking as they were in the previous period. For raw returns, funds in both of the top quartiles are found to be more likely to remain in the same quartile than would be expected by chance. This result can be taken as limited evidence for the consistency of performance. Similar systemic effects are observed on a risk‐adjusted basis. There appears to be clear evidence that some fund managers can offer a degree of consistent good performance.