Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds
Series
School of Finance Working Paper Series
Type
working paper
Date Issued
2016-09-05
Author(s)
Abstract (De)
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.
Language
English
HSG Classification
None
HSG Profile Area
None
Publisher
SoF - HSG
Publisher place
St. Gallen
Number
2016/23
Pages
67
Subject(s)
Eprints ID
250439
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Name
16_23_Ammann et al_Is Governance Related to Investment Performance and Asset Allocation.pdf
Size
1.11 MB
Format
Adobe PDF
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