The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation

Performance Persistence of Pension‐Fund Managers*

“…They emphasise that although there is a long literature on the under-performance of mutual funds, pension funds also under-perform relative to mutual funds on average. Coggin, Fabozzi and Rahman (1993) investigate the investment performance of a random sample of 71 US equity pension fund managers for the period January 1983 through December 1990, and find that the average selectivity measure is positive and average timing ability is negative. Though both selectivity and timing are sensitive to the choice of benchmark when management style is taken into consideration.…”

Just How Much Do Individual Investors Lose By Trading?

“…2 For studies of mutual fund performance, see Carhart (1997); Chan, Jegadeesh, and Wermers (2000); Coval and Moskowitz (2001); Daniel et al (1997); Titman (1989, 1993);. For studies of pension fund performance, see Ferson and Khang (2002); Lakonishok, Shleifer, and Vishny (1992); Coggin, Fabozzi, and Rahman (1993); Christopherson, Ferson, and Glassman (1998); Delguercio and Tkac (2002); Coggin and Trzcinka (2000); and Ikenberry, Shockley, and Womack (1998). In analyses of hedge funds, Ackermann, McEnally, and Ravenscraft (1999); Brown, Goetzmann, and Ibbotson (1999); Liang (1999); and Agrawal and Naik (2000) provide evidence of superior returns, though Amin and Kat (2003) argue that hedge fund performance results may be attributable to the skewed nature of hedge fund payoffs, which when appropriately accounted for, renders hedge fund performance unremarkable.…”

The role of credit default swaps and other alternative betas in hedge fund factor analysis

“…Hamza et al (2006) add squared terms to the model, where a non-linear regression is used to test market timing skill. The idea of using squared terms to detect timing ability was pioneered in Treynor and Mazuy (1966) and further explained by Coggin et al (1993). A manager with perfect market timing ability will have a long position in rising markets, and a short position in declining markets.…”