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Primary Article

A Panel Study of U.S. Equity Pension Fund Manager Style Performance

T. Daniel Coggin and Charles A. Trzcinka
The Journal of Investing Summer 2000, 9 (2) 6-12; DOI: https://doi.org/10.3905/joi.2000.319413
T. Daniel Coggin
Director of research at TeamVest, LLC, in Charlotte, North Carolina. He holds a Ph.D. from Michigan State University.
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Charles A. Trzcinka
A professor of finance at the State University of New York at Buffalo. He holds a Ph.D. from Purdue University.
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Abstract

The authors examine the investment performance of 292 U.S. equity pension funds in three major style categories for two consecutive twelve-quarter time periods, including survivors and non-survivors. They offer three major conclusions. First, the choice of an equity benchmark affects the magnitude of alpha. Second, it is difficult to find investment managers within equity styles who consistently add value relative to the S&P 500 and the appropriate style benchmark. Finally, there is no evidence that the number of funds outperforming that appropriate style benchmark index (after fees) exceeds random chance. Including non-survivors and applying selected control variables does not affect the basic results.

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A Panel Study of U.S. Equity Pension Fund Manager Style Performance
T. Daniel Coggin, Charles A. Trzcinka
The Journal of Investing May 2000, 9 (2) 6-12; DOI: 10.3905/joi.2000.319413

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A Panel Study of U.S. Equity Pension Fund Manager Style Performance
T. Daniel Coggin, Charles A. Trzcinka
The Journal of Investing May 2000, 9 (2) 6-12; DOI: 10.3905/joi.2000.319413
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