De Nederlandsche Bank

Does it pay to pay performance fees?

A new study finds no statistical evidence that returns of pension funds that pay performance fees for active investing are significantly higher or lower than the returns of pension funds that don't.

Dirk Broeders, David Rijsbergen and Arco van OordMarch 12, 2019

Performance fees hardly worth it

An analysis of 218 Dutch pension funds has shown that paying performance fees has little impact on performance. Size of fund and specialisation were deemed more important for net returns.

Amanda WhiteJuly 19, 2017

More evidence big is better in pension funds

A pension fund that has 10 times more assets under management has on average 7.67 basis points lower annual investment costs according to a working paper from authors at De Nederlansche Bank, that explores the relationship between pension fund size and investment costs. Written by Dirk Broeders, Arco van Oord and David Rijsbergen the paper […]

Amanda WhiteJuly 3, 2015

Research

Systemic tail risk

A research paper by executives at the Dutch Central Bank, De Nederlandsche Bank, examines tail risk, and shows that historical tail betas are able to capture the sensitivity to future systematic tail risk. The paper can be downloaded here Systemic tail risk

Amanda WhiteJanuary 31, 2014

Uncategorised posts

Broeders develops risk-sharing formula

Senior economist, supervisory strategy at De Nederlandsche Bank, Dirk Broeders, has completed research which calculates an explicit formula for risk sharing by pension funds.

Amanda WhiteOctober 20, 2010