We analyze the three components of active management (asset allocation, market timing and security selection) in the net performance of U.S. pension funds and relate these to fund size and the liquidity of the investments. On average, the funds in our sample have an annual net alpha of 89 basis...

The unique regulation of U.S. public pension funds links their liability discount rate to the expected return on assets, which gives them incentives to invest more in risky assets in order to report a better funding status. Comparing public and private pension funds in the United States, Canada,...

Institutional investors delegate 85% of their alternative investments to external managers and funds-of-funds. Institutions using financial intermediaries have higher costs and underperform institutions investing internally in real assets, private equity, and hedge funds. Large investors rely...

We analyze the investment menus offered within 401(k) pension plans to the employees of the largest finance and non-finance firms. Within the sample of finance firms, we distinguish between finance firms that hire an external independent trustee and finance firms that serve also as a trustee of...

This paper investigates the institutional investor allocations to real assets, private equity and hedge funds. Institutional investors delegate 85 percent of the asset management of their alternative investments to external managers and fund-of-funds. Institutions relying on these financial...

Analysis of required expected return disclosures by public pension funds in individual asset classes reveals a reliance on past performance in setting return expectations. These extrapolative expectations operate through the expected risk premium and occur across all risky asset classes. Pension...