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Returns from active management in international equity markets: Evidence from a panel of UK pension funds

Author

Listed:
  • David Blake

    (Pensions Institute, Cass Business School)

  • Allan Timmermann

    (Pensions Institute, Cass Business School)

Abstract

This paper proposes new performance decomposition measures that allow one to analyse the sources of returns on the international equity holdings of a large cross-section of UK pension funds. The results suggest that the pension funds earned negative returns both from international market timing and from selecting stocks within individual foreign regions. The average fund underperformed a passive global equity benchmark by 70 basis points per annum. This is substantially greater than UK pension funds' underperformance in their domestic equity market. The implications of these findings for theories of informational asymmetries in international stock markets are discussed.

Suggested Citation

  • David Blake & Allan Timmermann, 2005. "Returns from active management in international equity markets: Evidence from a panel of UK pension funds," Journal of Asset Management, Palgrave Macmillan, vol. 6(1), pages 5-20, June.
    • Handle: RePEc:pal:assmgt:v:6:y:2005:i:1:d:10.1057_palgrave.jam.2240162
    DOI: 10.1057/palgrave.jam.2240162
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    Cited by:

    1. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    2. Carmen-Pilar Mart¨ª-Ballester, 2012. "A Comparative Analysis of the Performance of Collective Investment Institutions," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 43-52, May.
    3. Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2012. "Rentabilidad de los Fondos de Pensiones en España. 2001-2011," IESE Research Papers D/947, IESE Business School.
    4. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004. "The Performance of International Equity Portfolios," International Finance Discussion Papers 817, Board of Governors of the Federal Reserve System (U.S.).
    5. Alda, Mercedes & Andreu, Laura & Sarto, José Luis, 2017. "Learning about individual managers’ performance in UK pension funds: The importance of specialization," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 654-667.

    More about this item

    Keywords

    pension funds; investment performance measurement; active management; equities;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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