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Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds

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  • Manuel Ammann

    (University of St. Gallen, Swiss Institute of Banking and Finance)

  • Christian Ehmann

    (University of St. Gallen, Swiss Institute of Banking and Finance)

Abstract

Summary This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational design, management incentives, target setting, investment strategy, investment processes, risk management, monitoring, and transparency. We find empirical evidence that pension fund governance is positively related to excess returns, benchmark outperformance and Sharpe ratios. Pension funds in the top governance quartile outperform those in the bottom quartile by approximately 1% in terms of average excess returns and benchmark deviation. Furthermore, our study results indicate that asset allocation decisions are not related to governance, but rather to institutional factors.

Suggested Citation

  • Manuel Ammann & Christian Ehmann, 2017. "Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 153(3), pages 293-339, July.
    • Handle: RePEc:spr:sjecst:v:153:y:2017:i:3:d:10.1007_bf03399510
    DOI: 10.1007/BF03399510
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    References listed on IDEAS

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    More about this item

    Keywords

    G11; G19; G23; J32;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • J32 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Nonwage Labor Costs and Benefits; Retirement Plans; Private Pensions

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