Swiss pension fund performance

The Swiss retirement system is based on a three pillar system. Pillar one consists of compulsory Old age and Survivors’ Insurance (AHV). Pillar two consists of an occupational pension (pension fund), which is also compulsory. The third pillar is a voluntary private pension

Performance studies
Ammann and Zingg (2008) examine the performance of 73 Swiss pension funds and 13 investment foundations, holding CHF 200 billion, and representing 20% - 25% of Swiss pension assets. The study examines returns over the 1996 - 2006 period. While pension asset allocations are constrained by Swiss law, pension funds can receive exemptions by subscribing to a prudent investor rule. Approximately 80% of Swiss pensions are exempted from the rule.

Swiss investment foundation costs are tabulated below:

Net returns for pension funds are tabulated in the tables below.

Factor regressions supply the following returns data. Domestic and international bonds returns are analyzed using a four-factor performance measurement model that includes a bond and a stock market index as well as two factors representing term and default risk. An additional exchange rate factor is added for international bonds. Stock returns are analyzed using the Fama-French three factor model. An additional exchange rate factor is added for international stocks.

Ammann and Zingg (2008) find no evidence of persistence in pension fund or investment foundation performance.