How does the Norwegian, Dutch and Canadian models compare in terms of investment management and returns?

Abstract

This paper examines the similarities and differences between the Stichting Pensioenfonds ABP (Algemeen Burgerlijk Pensioenfonds), the Canadian Pension Plan and the Government Pension Fund Global. Based on the funds’ investment management strategies, a comprehensive comparison has been made by examining the respective funds’ risk-return relationships and their associated cost levels throughout the past two decades. The strategies have been linked up to the Endowment Model, pioneered by David F. Swensen. We find that, despite having numerous similarities due to the nature of their liabilities, the funds’ embodiments have significant implications regarding performance. Overall, NBIM achieves the poorest risk-return relationship while ABP achieves the best, moreover, CPPIB is the least cost-efficient and NBIM is the most.