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.
- © 2000 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600