Performance Persistence of Pension Fund Managers

Abstract

Previous work on UK pension funds found only slight evidence of fund manager persistence, but survivorship bias in the construction of these data samples, may have disguised true persistence. Using a large sample of pension funds over the period 1983-97 in which there is less survivorship bias, we find strong evidence of persistence in abnormal returns generated by fund managers over one year time horizons, but weaker evidence over longer horizons. Even when an allowance is made for momentum in stock returns, we find pension fund managers exhibit performance persistence.