With average returns of 4.8 per cent during the period 2000-2010, Dutch pension funds have beaten the benchmark of 4.6 per cent, research by Dutch regulator De Nederlandsche Bank found.

In the first decade of the 21st century, pension funds’ invested assets grew from €456.7bn to €732.8bn. The funds outperformed the benchmark by 0.21 per cent over that period, resulting in a total difference between actual returns and benchmark returns of €9.7bn over the entire pension industry

Returns were negative during the two crises in 2001-2002 and 2008, and DNB pointed out that the difference between the actual returns and the benchmark returns is only positive during the years the total investment result was positive. Pension funds therefore beat the benchmark in good years, but performed worse in bad years.

The regulator said the analysis cannot give a clear answer to the question of whether the outperformance is due to skilled investing (alpha) or if their investment policy has taken more risk than the benchmark (beta).

DNB also noted that the benchmark is chosen by the pension funds themselves, and that the regulator has very little insight into the exact composition of these benchmarks, as the funds are not obliged to indicate which benchmark they use. However, DNB said analysis has shown the chosen benchmarks are often generally a representative reflection of the investment policy.

The Dutch government had requested DNB carry out the research, for which the regulator analysed 168 pension funds.

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