Rehabilitating the Role of Active Management for Pension Funds
Aglietta, Michel; Brière, Marie; Rigot, Sandra; Signori, Ombretta (2012), Rehabilitating the Role of Active Management for Pension Funds, Journal of Banking & Finance, 36, 9, p. 2565-2574
TypeArticle accepté pour publication ou publié
External document linkhttp://dx.doi.org/10.2139/ssrn.1948726
Journal nameJournal of Banking & Finance
MetadataShow full item record
Centre d'Economie de l'Université Paris Nord [CEPN]
Abstract (EN)Pension fund return s can be decomposed into different sources, including market movements, asset allo-cation policy, and active portfolio management. We use a unique database covering the asset allocations of US deﬁned-beneﬁt pension funds for the perio d 1990–2008, and we test the role of each factor in explaining their return s. Our results shed new light on pension funds’ sources of performance. While the previous literature emphasized that policy allocation accounts for the bulk of returns, leaving little room for active management, we show that taking explicit account of market movement can change the results signiﬁcantly. Although active management plays a minor role in global asset allocat ion, its role is predominant in explaining returns to individual asset classes, whether traditional or alternative. This paper rehabilitates the contribution of active managem ent as a source of performance for pension funds, at least at the asset class level.
Subjects / KeywordsPension funds; Active management; Investment policy
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