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Asset strongAllocationstrong and Active Management in Italian Closed.pdf

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Asset strongAllocationstrong and Active Management in Italian Closed.pdf

Very preliminary draft Please do not quote without permission Asset Allocation and Active Management in Italian Closed Pension Funds Mirko Cardinale† ∗ Giacomo Nocera Andrzej Pioch‡ This draft: January 15, 2014 ABSTRACT This paper aims at empirically investigating whether the investment management structure of a pension plan sponsor, in particular, its degree of complexity, does affect the investment managers’ behavior and, consequently, the funds’ financial performances. Using a data set on 100 sub-funds from 31 closed pension funds operating in Italy in the 1998-2010 period, we find evidence of an impact of the number of both investment managers and mandates on the fund active risk, showing that a specific investment objective calls for the design of a specific investment management structure. † Russell Investments, E-mail: mcardinale@. ∗ Audencia Nantes School of Management, E-mail: gnocera@ (corresponding author). ‡ Aviva Investors, E-mail: andrzej.pioch@. 1 1. Introduction According to the Italian Law, contractual pension funds must delegate investment management