Coggin is from the Virginia Retirement System, Fabozzi is from Frank J. Fabozzi & Associates, and Rahman is from Portland State University. We thank Jon Christopherson of the Frank Russell Company for providing the pension manager data used in this study. The paper has benefited from the comments of John E. Hunter, Richard Roll, Charles Trzcinka, and seminar participants at Mellon Capital Management and SUNY-Buffalo. The opinions and conclusions offered in this study do not necessarily represent those of the Virginia Retirement System or the Frank Russell Company.
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation
Article first published online: 30 APR 2012
1993 The American Finance Association
The Journal of Finance
Volume 48, Issue 3, pages 1039–1055, July 1993
How to Cite
COGGIN, T. D., FABOZZI, F. J. and RAHMAN, S. (1993), The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation. The Journal of Finance, 48: 1039–1055. doi: 10.1111/j.1540-6261.1993.tb04029.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
This paper presents an empirical examination of the selectivity and market timing performance of a sample of U.S. equity pension fund managers. Regardless of the choice of benchmark portfolio or estimation model, the average selectivity measure is positive and the average timing measure is negative. However both selectivity and timing appear to be somewhat sensitive to the choice of a benchmark when managers are classified by investment style. Meta-analysis revealed some real variation around the mean values for each measure. The 80 percent probability intervals for selectivity revealed that the best managers produced substantial risk-adjusted excess returns. We also found a negative correlation between selectivity and timing, but we argue that the observed negative correlation in our data is largely an artifact of negatively correlated sampling errors for the two estimates.