The main aim of this paper is to analyze if pension funds managers are able to implement style timing strategies, one topic very important for an efficient management of an investment portfolio. Besides it is analyzed the stock-picking abilities of these managers. To this end, conditional and...

According to theory, institutional investors face both risk management and risk shifting incentives. This paper assesses the relevance of these conflicting incentives for Dutch pension funds and insurance firms over the period 1995-2009. Using a unique and extended dataset, we observe a...

Developed countries apply different security mechanisms in regulation to protect defined pension benefits: solvency requirements, a pension guarantee fund, and sponsor support. We test the performance of these mechanisms in terms of the protection offered to pension benefits in relation to the...

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...

According to theory, institutional investors face both risk management and risk shifting incentives. This paper assesses the relevance of these conflicting incentives for Dutch pension funds and insurance firms over the period 1995-2009. Using a unique and extended dataset, we observe a...

Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...

The financial and economic crisis had a profound impact on the financial position of pension funds in most countries. Whilst the magnitude of these losses is primarily related to the severity of the crisis, it appears that shortcomings in the implementation of investment strategies significantly...

Our research project analyses the suitability of social responsible investments (SRI) and alternative asset classes (in particular commodities, hedge fund in-vestments, high-yield bonds) for the portfolio management of German Pension Insurance Funds (Pensionskassen), the largest external...

The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function of their point wise level of risk. The performance of pension funds is often measured by their global asset returns because of the latter's influence on periodic contributions and/or future...

We analyse the investment performance of a large sample of individuals investing in discretionary retirement savings products offered by a large Australian financial institution. This is of interest from the perspective of market efficiency and the ability of individuals to over or under-perform...