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This paper evaluates the risk-adjusted returns, selectivity, market timing skills and persistence of the performance of Nigerian pension funds.

Annual return data of 23 pension funds that operated in Nigeria between 2018 and 2022 were obtained from the National Pension Commission (PenCom). Risk-adjusted return was appraised using the Treynor ratio, Sharpe ratio and Jensen alpha, while the Treynor–Mazuy and Henriksson–Merton multiple regression models were applied to decompose selective and timing skills. Performance persistence was assessed using the contingency table and rank correlation models.

Evidence shows that pension funds deliver excess risk-adjusted returns and exhibit selective skills. However, the evidence does not support the presence of timing skills, and there is overwhelming evidence that good (bad) performance does not repeat.

An evaluation of the investment performance of pension funds is crucial for ensuring the financial stability of retirees, maintaining economic stability and making informed investment decisions. It serves the interests of pensioners, pension fund managers, regulators and the broader economy. Our evidence that pension funds generate positive excess returns is a departure from most of the literature on managed funds. We recommend that more Nigerians should leverage the pension fund industry to grow their wealth and prepare for retirement.

This study, to our knowledge, is the first to appraise all the key facets of the investment performance of pension funds in the Nigerian context.

This study aims to examine the solvency and performance persistence of defined benefit private and public pension plans (DBPPs) in the Republic of Congo.

The authors use the 2 × 2 contingency table approach and the time product ratio (TPR)-based cross-product ratio (CPR) on data covering ten years from 2011 to 2020, with variable funded ratios and excess returns, to determine the solvency and performance persistence of defined benefit pension plans.

The authors document a lack of solvency and performance persistence in DBPP funds. They conclude that the solvency and performance of DBPP funds are not repetitive. The previous year's private and public defined benefit pension funds’ results do not repeat in the current year. Hence, the current solvency and performance of defined benefit pension funds are not good predictors of future funds' solvency and performance.

To the best of the authors’ knowledge, this study is the first to combine solvency and performance to examine the persistence of defined benefit pension plans in sub-Saharan Africa.

This paper aims to examine the investment performance of pension funds in the UK using the three standard performance measurement models, the capital asset pricing model (CAPM), Fama-French model and the Carhart model.

The authors use the CAPS-Mellon survey data for the period 1990-2008 and employ the three standard performance measurement models, the CAPM, Fama-French model and the Carhart model in assessing the investment performance of the pension funds.

The authors show that the abnormal returns of pension funds cannot be fully explained by size, book-to-market values, market returns, momentum and the term spread. The authors find larger abnormal returns in bond than in equity portfolios and that smaller funds outperform larger funds. The paper also shows that the addition of the momentum factor does not improve on the three-factor Fama-French model. The authors find that pension funds exhibit superior performance relative to the linear factor models.

First, this study contributes to the extant literature on pension funds performance. Future research may also extend the authors' work to incorporate economic, tax, political and legal differences across the countries on the performance of pension funds. Second, due to data constraints, this study excludes the default probability of corporate bonds as an additional variable in their tests on bond returns. Future work may add the default probability as an additional variable whilst examining bond returns.

The authors believe that the findings will be considerable food for thought for fund managers who continuously attempt to explore opportunities to provide a higher return to investors.

To the authors' knowledge, this is the first comprehensive study that investigates the performance of UK equity and bond pension funds relative to standard linear factor models such as the CAPM, Fama and French, and Carhart.

The purpose of this paper is to investigate the impact of the public pension governance practices on the public defined benefit pension (DBP) fund performance.

To provide a holistic evaluation of public DBP performance, this study first employs the Data Envelopment Analysis (DEA) approach to construct a relative performance measure that simultaneously takes into account the association between investment inputs and performance outputs across DBPs in our sample. A DEA regression model is then constructed to empirically examine the impact of pension governance on public DBP performance.

Using 1,544 hand-collected observations in the USA from 2002 to 2013, the findings show that the public DBP plans with a small board, appointed board trustees, and a separate investment council exhibit better performance.

The effectiveness of pension governance has increasingly drawn public attention, as it affects the performance of the public DBP plans that especially matter to public employees. The empirical findings of this research offer insights into recent calls to reexamine public DBP management practices and to carry out related public pension fund policy reforms.

The examination of public DBP governance practices in this study enriches the governance literature, particularly research on public pension funds, by using public sector data. Second, by applying the DEA method to evaluate the relative performance of public DBP funds, this study obtains a more comprehensive analysis of the public pension governance.

This paper aims to investigate private pension fund investor sentiment against fund performance and cost in an environment of frequent regulatory changes. The analyses are conducted in a low return, high-cost private pension fund market environment, which makes it easier to observe the relationship between investor sentiment to return and cost.

This paper conducts fixed effect, random effect and random effect within between effect panel data analyses of all Turkish private pension funds from 2011 to 2019. This paper conducts the analyses using aggregate data and subsets based on fund characteristics and pre-post regulation periods.

When regulations provide compensation and improve market efficiency in a pension fund market, investor focus shifted from performance to cost. Investors allocated assets with respect to return realization when adequately compensated for risk or had favorable cost contract clauses. Consequently, investors in pension funds with lower expected returns and no special fee reduction clauses tended to adopt the strategy of cost minimization.

The overlap of regulatory change periods could complicate the ability to distinguish the impact of any one specific change. The findings therefore cannot be generalized to differently structured markets.

Regulatory changes could lead to a switch of investor objectives. When regulatory changes compensate investors and increase market efficiency, investors objective could switch from performance to cost.

This study investigates investor sentiment in a relatively young private pension fund market, in which the relevant regulatory body ambitiously implements frequent changes in regulation. The selected market is unique in the sense that it has negative real returns and high costs, which make investor focus to return and cost more readily apparent.

The purpose of this paper is to provide an in-depth performance evaluation of funds offered by the Turkish pension system.

This paper compares aggregate fund index returns with the corresponding asset class returns, estimates a factor model to decompose excess returns to factor exposures, i.e., β return and excess return originating from residual α and analyzes persistence of fund returns using migration tables and Fama–MacBeth regressions and tests for market timing ability.

Majority of pension funds are unable to generate excess returns. Majority of funds are unable to generate a positive α and fund returns are predominantly driven factor exposures. There is evidence for slight persistence in returns, mainly due to factor exposures and funds do not exhibit market timing ability.

In this paper, the authors perform an in-depth analysis of pension fund performance for the Turkish pension fund system. The authors identify weaknesses and strengths of the pension fund industry and provide policy recommendations for a better design of pension fund system.

Purpose: With this study, the authors aim to analyze and highlight the financial performance of pension funds (public and private) and their impact on the economic growth of The Organisation for Economic Co-­operation and Development (OECD) countries, while taking into account the effect of market capitalization, inflation, and public debt.

Methodology: To carry out this analysis, the authors subjected our secondary data (derived from published in the annual reports of the OECD, the World Bank and the IMF) to econometric tests, specifically linear regression, random effect, fixed effect, the Hausman–Taylor Regression, the Generalized Estimating Equations (GEE), the Generalized Method of Moments – Arellano – Bond Estimation (GMM) and carried out an analysis of linear trends through the historical method and comparative method.

Findings: Based on the empirical results of this study, the authors conclude that the assets of public and private pension funds have positively affected the economic growth of OECD countries (2002–2018).

Practical Implications: This study provides an overview of the functioning of pension systems in OECD countries as well as the effects of these pension funds on their economic growth. Moreover, it provides additional new knowledge for governments and policymakers in these countries and a good source of information for all employees (whether public or private), on the quality and standards of living after retirement.

Significance: The importance of this study rests on the fact that OECD countries have a highly developed economy and have high-performance financial markets. Therefore, this highlights the importance of investments by pension funds in their financial markets for economic growth and for the indirect effects caused on their economies.

This paper analyses whether the active management and the fundamentals of the pension fund allow products that beat their peers to be identified in terms of risk-adjusted performance.

The sample is composed of all the pension funds active in the period 2000 to 2017 investing in the Eurozone. What this means is that a greater similarity is guaranteed in terms of benchmark, assets available for investment and currency. All the data have been retrieved from the Morningstar Direct database.

The paper reveals that the degree of concentration and value for money are important determinants of performance. In this sense, the strategies of investing in concentrated portfolios that differ from the benchmark and with undervalued assets in terms of price earnings ratio (PER)-return on assets (ROA) achieve better results.

This is one of the few papers that shows the effect of active management and value investing strategies’ on the performance of pension funds.

本文旨在分析、我們能否根據退休基金的積極管理及其基本原理, 找到就風險調整表現而言之最優勝產品.

我們的樣本包括於2000年至2017年期間活躍於歐元區內投資活動的所有退休基金。這意味著、樣本確保了相關之退休基金就基準、可供投資的資產及貨幣而言、均擁有較大的相似性。所有數據均從晨星基金資料庫檢索得來的。.

本文顯示、集中程度和價值比率是決定表現的重要因素。在這個意義上說，如投資在與基準不同的及附有就本益比 – 資產收益率 (PER - ROA) 而言被低估的資產的那些集中投資組合上, 這會是效果較佳的策略.

探討積極管理和價值投資策略如何影響退休基金表現的學術研究為數不多, 本文乃屬這類研究。.

The choice of accounting methods is critical in measuring the performance and sustainability of a public defined benefit pension (DBP) plan, and such measurement has an impact on the effectiveness of the entire pension system. Prior literature rarely discusses the choice and rationale of the accounting assumptions for public DBP plans. This study fills the gap by investigating whether crucial plan characteristics, including operational performance, financial health, sponsor fiscal stress, and audit quality, are associated with the accounting assumptions of public DBP plans.

The sample includes 1,170 plan-years from the intersection of the Center for Retirement Research and public DBPs' annual financial reports for the years 2001–2013. This study develops regression models to examine the relationship between the characteristics of public DBP practices and DBP accounting choices.

The empirical results show that the public DBPs that have better investment performance, higher funding status, less fiscal stress, and that are audited by Big 4 accounting firms are more likely to adopt conservative accounting choices.

The study documents the impact of crucial pension plan characteristics on public DBP managers' accounting choices, which were not extensively discussed in pension literature. The findings help us understand the rationale for employing different accounting treatments in the context of public pension fund practices. In addition, the study sheds light on policy implications for the future reform of public pension regulations.

Public pension plans in the U.S. are seriously underfunded, especially following the financial market crisis of 2008-2009 which resulted in large investment losses. However, funding levels vary widely across plans. Pension boards of trustees make key management decisions in pension systems and these decisions have significant effects on funded levels, yet our empirical knowledge of board management is limited. This study explores the effect of board composition on pension funding levels. Existing theoretical debates lead to differing expectations, and previous studies have mixed results. Our research uses a panel data set of large public pension plans from 2001-2009. We also collect data for pension board composition from this time period. We find that increasing political appointees and employee members on the board increases the funding performance of the pension system.