uu.seUppsala University Publications
Change search
ReferencesLink to record
Permanent link

Direct link
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
URN: urn:nbn:se:uu:diva-205730OAI: oai:DiVA.org:uu-205730DiVA: diva2:642585
Subject / course
Educational program
Master Programme in Economics
Available from: 2013-09-16 Created: 2013-08-22 Last updated: 2013-09-16Bibliographically approved

Open Access in DiVA

Master Thesis Emelie Jomer(713 kB)1007 downloads
File information
File name FULLTEXT01.pdfFile size 713 kBChecksum SHA-512
Type fulltextMimetype application/pdf

By organisation
Department of Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 1007 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 442 hits
ReferencesLink to record
Permanent link

Direct link