This paper analyzes the international equity holdings of a large panel of U.K. pension funds. We model portfolio weights as a function of time-varying conditional moments and find that a substantial part of the evolution in portfolio weights is explained by time-varying conditional expected...

Using a data set on more than 300 U.K. pension funds' asset holdings, this article provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We find evidence of slow mean reversion in the funds' portfolio weights toward a common, time-varying...