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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

Type
Article accepté pour publication ou publié
External document link
http://dx.doi.org/10.2139/ssrn.1948726
Date
2012
Journal name
Journal of Banking & Finance
Volume
36
Number
9
Publisher
Elsevier
Pages
2565-2574
Metadata
Show full item record
Author(s)
Aglietta, Michel

EconomiX
Brière, Marie

Rigot, Sandra cc
Centre d'Economie de l'Université Paris Nord [CEPN]
Signori, Ombretta
AXA France
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 / Keywords
Pension funds; Active management; Investment policy
JEL
E31 - Price Level; Inflation; Deflation
G11 - Portfolio Choice; Investment Decisions
G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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