This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of mutual fund that is constituted as a contractual savings scheme, whose value can only be accessed at retirement. By studying the performance of these schemes we are able to assess the role of illiquidity in retail savings products. The paper examines those personal pension schemes that invest predominantly in UK equities, and first reports on the growth in personal pension schemes over this twenty-year period. The paper then assesses the performance of these pension funds relative to various asset pricing benchmarks, including a four factor benchmark that allows for momentum in stock returns, and allowing for market timing and conditioning on macroeconomic variables, and finds that average performance is not significantly different from zero. The paper goes on to examine persistence in performance of these pension schemes and identifies negative persistence at short horizons, but at time-intervals of six months to one year finds significant positive persistence, though this positive persistence weakens at longer time intervals.
