You are not currently logged in.
Access JSTOR through your library or other institution:
If You Use a Screen ReaderThis content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation
T. Daniel Coggin, Frank J. Fabozzi and Shafiqur Rahman
The Journal of Finance
Vol. 48, No. 3, Papers and Proceedings of the Fifty-Third Annual Meeting of the American Finance Association: Anaheim, California January 5-7, 1993 (Jul., 1993), pp. 1039-1055
Stable URL: http://www.jstor.org/stable/2329025
Page Count: 17
You can always find the topics here!Topics: Portfolio management, Financial investments, Pension funds, Investment strategies, Mutual funds, Capital management, Investment portfolios, Passively managed funds, Finance, Sampling errors
Were these topics helpful?See something inaccurate? Let us know!
Select the topics that are inaccurate.
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Preview not available
This paper presents an empirical examination of the selectivity and market timing performance of a sample of U.S. equity pension fund managers. Regardless of the choice of benchmark portfolio or estimation model, the average selectivity measure is positive and the average timing measure is negative. However both selectivity and timing appear to be somewhat sensitive to the choice of a benchmark when managers are classified by investment style. Meta-analysis revealed some real variation around the mean values for each measure. The 80 percent probability intervals for selectivity revealed that the best managers produced substantial risk-adjusted excess returns. We also found a negative correlation between selectivity and timing, but we argue that the observed negative correlation in our data is largely an artifact of negatively correlated sampling errors for the two estimates.
The Journal of Finance © 1993 American Finance Association