DISCUSSION PAPER PI-9704
Performance Measurement Using Multiple Asset Class
Portfolio Data: A Study of UK Pension Funds
David Blake, Bruce Lehmann and Allan Timmermann
Using a data set containing 364 UK pension funds' asset holdings,
this paper provides a systematic investigation of the performance of
managed portfolios across multiple asset classes. We find surprisingly
little cross-sectional variation in the ex post average performance across
the UK pension fund portfolios as a whole as well as within asset classes.
This finding we ascribe to the strong incentive the fund managers had not
to underperform relative to their peergroup. For domestic equities, by far
the most important component of the portfolios, we find that fund size is the
only variable that appears to account for an important fraction of the
cross-sectional variation in measured performance.