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Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds

Author

Listed:
  • Ammann, Manuel
  • Ehmann, Christian
Abstract
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.

Suggested Citation

  • Ammann, Manuel & Ehmann, Christian, 2016. "Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds," Working Papers on Finance 1623, University of St. Gallen, School of Finance.
    • Handle: RePEc:usg:sfwpfi:2016:23
    as

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    File URL: http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1623.pdf
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    References listed on IDEAS

    as
    1. Mehta, S.J.B., 1998. "Pension Fund Excellence: Creating Value for Stakeholders. By Keith Ambachtsheer and Don Ezra (Wiley, 1998)," British Actuarial Journal, Cambridge University Press, vol. 4(5), pages 1081-1081, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Pension Fund Governance; Investment Performance; Swiss Occupational Pension Plans;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • J32 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Nonwage Labor Costs and Benefits; Retirement Plans; Private Pensions

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