Blake, David; Lehmann, Bruce N; Timmermann, Allan G - C.E.P.R. Discussion Papers - 1997
performance of managed portfolios across multiple asset classes. We find surprisingly little cross-sectional variation in the ex …-post average performance across the UK pension fund portfolios as a whole as well as within asset classes. This finding we ascribe … for an important fraction of the cross-sectional variation in measured performance. …