RESEARCH

Pension fund performance and costs: small is beautiful

AMANDA WHITE

SSRSresearchpaperThis new paper by Rob Bauer, Martijn Cremers, and Rik Frehen uses the CEM pension fund data set to document the cost structure and performance of a large sample of US pension funds. It finds that small-cap mandates of defined-benefit funds have outperformed their benchmarks by about 3 per cent per year. Concluding that while large scale brings cost advantages, liquidity limitations seem to allow  only smaller funds, and especially small-cap mandates, to outperform their benchmarks.

 


 
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