The investment performance of U.S. equity pension fund managers : an empirical investigation PDF
Preview The investment performance of U.S. equity pension fund managers : an empirical investigation
HD28 .M414 • WORKING PAPER ALFRED SLOAN SCHOOL OF MANAGEMENT P. The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation T. Daniel Coggin * Frank J. Fabozzi ** Shafiqur Rahman *** WP #3360-91 EFA December 1991 MASSACHUSETTS INSTITUTE OF TECHNOLOGY 50 MEMORIAL DRIVE CAMBRIDGE, MASSACHUSETTS 02139 The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation T. Daniel Coggin * Frank J. Fabozzi ** Shafiqur Rahman *** WP #3360-91 EFA December 1991 Virginia Retirement System »* Massachusetts Institute of Technology *** Portland State University The order of authorship is alphabetical to reflect an equal contribution by each. We thank Jon Christopherson of the Frank Russell Company for providing the pension manager data used in this study. The paper has benefitted from helpful discussions with John E. Hunter. The opinions and conclusions offered in this study do not necessarily represent those of the Virginia Retirement System or the Frank Russell Company. The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation ABSTRACT This paper presents an empirical examination of the selectivity and timing performance of a sample ofU.S. equity pension fund managers. Regardless ofthe choice ofbenchmark portfolio or estimation model, the average selectivity measure is positive and the average timing measure is negative. However, selectivity does appear to be somewhat sensitive to the choice of a benchmark when managers are classified by investment style. Meta-analysis revealed some real variation around the mean values for each measure. The 80% probability intervals for selectivity revealed that the best managers produced substantial risk-adjusted excess returns. Consistent with previous studies of mutual fund performance, we also found a negative correlation between selectivity and timing. M.I.T. JAN J 1992 1
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