Identifying differences in the performance persistence of pension plans

Abstract

This paper examines performance persistence over the period 2001 – 2005 in the two most important investment categories of the Spanish pension market: fi xed-income and equity pension funds. There is a rising trend for research into performance persistence to focus on mutual funds; however, a small number of studies are looking at this issue in relation to pension plans, especially in the Spanish market, one of the most emerging pension fund industries in the European Union. By using a nonparametric approach, clear evidence of persistence phenomenon is found in fi xed-income plans, with results indicating that their returns are dependent and thus past returns are a good indicator of future investment decisions. The conclusions regarding equity plans are, however, not so clear.