Pension Fund Asset Allocation and Performance

197 Pages·2014·8.63 MB·English

Pension fund asset allocation and performance
Citation for published version (APA):
Andonov, A. (2014). Pension fund asset allocation and performance. [Doctoral Thesis, Maastricht
University]. Datawyse / Universitaire Pers Maastricht. https://doi.org/10.26481/dis.20140521aa
Document status and date:
Published: 01/01/2014
DOI:
10.26481/dis.20140521aa
Document Version:
Publisher's PDF, also known as Version of record
Please check the document version of this publication:
• A submitted manuscript is the version of the article upon submission and before peer-review. There can
be important differences between the submitted version and the official published version of record.
People interested in the research are advised to contact the author for the final version of the publication,
or visit the DOI to the publisher's website.
• The final author version and the galley proof are versions of the publication after peer review.
• The final published version features the final layout of the paper including the volume, issue and page
numbers.
Link to publication
General rights
Copyright and moral rights for the publications made accessible in the public portal are retained by the authors and/or other copyright
owners and it is a condition of accessing publications that users recognise and abide by the legal requirements associated with these
rights.
• Users may download and print one copy of any publication from the public portal for the purpose of private study or research.
• You may not further distribute the material or use it for any profit-making activity or commercial gain
• You may freely distribute the URL identifying the publication in the public portal.
If the publication is distributed under the terms of Article 25fa of the Dutch Copyright Act, indicated by the “Taverne” license above,
please follow below link for the End User Agreement:
www.umlib.nl/taverne-license
Take down policy
If you believe that this document breaches copyright please contact us at:
[email protected]
providing details and we will investigate your claim.
Download date: 18 Feb. 2023
Pension Fund
Asset Allocation
and Performance
ALEKSANDAR ANDONOV
Pension Fund Asset Allocation
and Performance
Aleksandar Andonov
MaastrichtUniversitySchoolofBusinessandEconomics
Maastricht
Athesissubmittedforthedegreeof
DoctorofPhilosophyatMaastrichtUniversity
21May2014
©2014AleksandarAndonov
All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or
transmitted, in any form, or by any means, electronic, mechanical, photocopying, recording or other-
wise,withoutthepriorpermissioninwritingfromtheauthor.
ISBN9789461593320
Cover design by Filip Mishevski (www.filipthedesigner.com) with photographs by Yuukin and Jiahui
Huang
PrintedbyDatawyse/UniversitairePersMaastricht
Pension Fund Asset Allocation and Performance
DISSERTATION
toobtainthedegreeofDoctoratMaastrichtUniversity,
ontheauthorityofProf. dr. L.L.G.Soete,RectorMagnificus,
inaccordancewiththedecisionoftheBoardofDeans,
tobedefendedinpublic
onWednesday,21st May2014,at16:00
by
AleksandarAndonov
Promotors:
Prof. dr. RobBauer
Prof. dr. PietEichholtz
Evaluationcommittee:
Prof. dr. PeterSchotman,Chairman
Prof. dr. FranzPalm
Prof. dr. JoshuaRauh,StanfordUniversity,USA
Prof. dr. OnnoSteenbeek,ErasmusUniversityRotterdam
TomygrandfatherAleksandar

Acknowledgements
My PhD journey commenced when I met Rob Bauer in the corridors of Maastricht University
SchoolofBusinessandEconomics. Iacceptedthechallengeofdevelopinganacademiccareer
immediately,eventhoughIonlyhadavagueideaaboutthefinalproductthatIwassupposed
to deliver. The PhD process gave me the opportunity to learn a lot and to further develop
personally. It has enabled me to live in a great country and also to travel around the world.
Inadditiontodoingresearchinfinance,IlearnthowtowritesongsforSinterklaas,Icarefully
followed speed skating on winter Olympics and I felt disappointed after the World Cup 2010
final. During my PhD journey, I was continuously surrounded and supported by wonderful
people. Ioweadeepgratitudetoeveryonewhohelpedmebecomeanacademic.
I am first and foremost grateful to my supervisors, Rob Bauer and Piet Eichholtz, who
introducedmetotheacademicworld.
Rob, I was very fortunate to work under your supervision, which was a perfect mix of
freedomtoresearchandconstructivesuggestions. Youtrustedmetopresentinfrontofmany
pensionexecutivesattheICPMforumwhenIwasonlyinmysecondyear,whilestillproviding
detailed feedback until the end of my studies. I also benefited a lot from working as your
teaching assistant. Your teaching approach combines great lectures, insightful articles, Monty
Python videos and strict exams. I was honored to have you as a role model teacher. You are
a great person with whom I enjoyed doing research, grading exams, and discussing Roda JC
Kerkradeprospects.
Piet,Iamgratefulforhavingtheopportunitytoworkunderyoursupervisiontoo. Ilearnt
from you how to present and promote my research. You are a visionary thinker, great orator
andprecisewriter. Yourcareeradvicesandcontinuoussupporthelpedmerealizemypotential.
I enjoyed learning from you about the history of Maastricht and attending your annual PhD
BBQevents.
Iamdeeplyindebtedtomyco-authorandmentor,MartijnCremers. Thankyouforhosting
me at Yale and Notre Dame University. I enjoyed the opportunity to work together with you
on two research papers and to receive your support during the entire PhD process. I highly
value your advice on how to grow professionally. Thank you for pushing me to go to the
academic job market and mentoring me during this process. I look forward to continuing our
collaborationinthefuture.
IalsohadtheopportunitytoworktogetherwithNilsKok. Nils, youareagreatco-author
and a colleague. I learnt from you that becoming a successful academic requires persistence
andinnovativeideas.
iii
I would like to thank Franz Palm, Joshua Rauh, Peter Schotman and Onno Steenbeek for
their contribution as members on my evaluation committee. You provided me with valuable
feedbackandsuggestionsonmydissertationmanuscript.
MyresearchonpensionfundsbenefitedalotfromthesupportbyCEMBenchmarkingInc.
and Rotman ICPM, and I am especially grateful to Keith Ambachtsheer, Karen Clarke, Chris
Flynn, Mike Heale and Ann Henhoeffer. Your comprehensive data and continuous support
improved the quality and visibility of my research. The Rotman ICPM forums enabled me
to enter the pension world. I am grateful also to Theo Nijman and Netspar for the multiple
opportunitiestopresentmyresearch.
Regarding the preparation help and insightful thoughts on the academic job market, I
wouldliketothankJaapBos,MattEmbrey,BenjaminGolez,RonaldPeeters,KimPeijnenburg,
ThomasPost,RachellPownall,PauloRodriguesandPeterSchotman.
The Maastricht Finance Department has been a great place to work. I am grateful to ev-
eryone for the pleasant and friendly atmosphere. The department has not only high quality
academics, but also great people with whom I enjoyed delightful lunches, parties and trips. I
owe a lot to my paranymphs, Michael and Leonard. Michael, thank you for supporting me
to start my PhD in Maastricht. You helped me become a successful teacher and researcher.
Together we successfully learnt some econometrics, taught two courses and analyzed football
matches. I hope you will find the ‘right’ side on the way to the ‘dark’ side. Leonard, thanks
for the countless advices on many small and big decisions I had to make. We shared beer in
Lindau, sharska in Macedonia, and burgers in Philly. You are a great friend and I wish you
evenmoresuccessinthefuture.
IwouldliketoespeciallythankJaap,Jeroen,PauloandPeterforlisteningtomeeverytime
I was in doubt when experiencing research obstacles. You provided me with an invaluable
support and I am grateful that your door was always open. I would also like to express my
appreciationtomycolleaguesArvid,Dennis,Joost,Rachel,Roger,Stefan,StefanieandThomas.
AtMaastricht,mylifewasmadesomucheasierbythelovelyladiesofthefinancedepartment
secretariat. Els,Francien,CarinaandCecile,thankyouverymuchforalwayshelpingme!
ManyenjoyablemomentsduringmyPhDcamefromfrequentdiscussionsandlessserious
talks with my officemates: Leonard, Sajid, Sally, Anna and Simone. Leonard and Sajid, your
suggestions helped me a lot at the beginning of my studies, even though my coffee consump-
tionincreasedsubstantiallyduringourtalks. Sally,themultipleSpongeBobslayingallaround
ourofficeandyourdrawingssomehowcreatedaproductiveandpleasantatmosphereinB1.04.
Anna,Ilearntfromyoutoenjoythelifebeyondthestatisticalpackage. Thanksforthepositive
energy and funny afternoon chats while eating lots of chocolate. Simone, it was a pleasure to
go through the final steps of our studies together with you and thanks a lot for the long talks
aboutourfuturecareers.
I also managed to make friends outside the office. Matteo and Gildas, I will miss your
walkingroundsaroundthedepartment. Yourcheerfulstoriesenabledmetolaughevenwhen
doing manual data work or staring at Stata output. Gildas, I wish you success as a finance
iv