Purpose: This study utilizes the KNV measure to evaluate performance of national pension funds of Korea. Design … expansions. Second, the performance differences between superior and inferior funds are persistent over one-year. Finally, there …

Recent academic research predicts that (i) equity mutual funds have a systematically better performance during periods … of economic downturn and (ii) investors are willing to pay high fees for funds that provide recession insurance. In this … recession alphas charge low fees to investors. We provide evidence that recession underperformance can be explained by fund …

expansion periods when funds have statistically significant negative risk-adjusted performance and not recession periods when … risk-adjusted performance (or alpha) difference between recession and expansion periods is statistically and economically … risk-adjusted fund performance is positive. These results imply that traditional unconditional performance measures …