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Performance of UK Pension Funds: Luck or Skill?
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Pension funds play a large role in the UK pension system since the returns of the funds determine how large the total pension will be. The future retirees can choose between active and passive fund management where the active management often is more expensive. In this study 102 actively managed UK equity pension funds are analyzed in order to see if managers have sufficient skill to generate risk adjusted return to cover the cost imposed on the investors. The result implies that the active pension funds in aggregate, before expenses, hold a portfolio that imitates market returns during 2000 to 2012. Bootstrap simulations suggest that only eight funds out of the sample of 102 have skilled managers and six of these managers are skilled enough to produce risk adjusted excess return large enough to cover the expenses imposed on the investor. 

Place, publisher, year, edition, pages
2013. , 39 p.
Keyword [en]
United Kingdom, Pension, Fund, Performance, Active, Passive, Fund Management, Bootstrapping, Luck, Skill, Fama and French, three-factor model, CAPM
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-205730OAI: oai:DiVA.org:uu-205730DiVA: diva2:642585
Subject / course
Economics
Educational program
Master Programme in Economics
Supervisors
Examiners
Available from: 2013-09-16 Created: 2013-08-22 Last updated: 2013-09-16Bibliographically approved

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