摘要：Pension fund sponsors have largely moved from centralized to decentralized investment
management over the past few decades, despite the increased coordination problems that this
brings. Using a unique, proprietary dataset of pension sponsors and managers, we find two
major decentralization trends: sponsors switched (i) from balanced to specialist managers and
(ii) from single to multiple managers. We study the effect of decentralization on the risk and
performance of pension funds, and find evidence supporting some predictions of recent theory
on this subject. Specifically, the switch from balanced to specialist managers is motivated by
the superior performance of specialists, and the switch from single to multiple managers is
driven by sponsors properly anticipating diseconomies-of-scale as funds grow larger and adding
managers with different strategies before performance deteriorates. Interestingly, competition
between multiple specialist managers also improves performance, after controlling for size
of assets and fund management company-level skill effects. We also study changes in risk-
taking when moving to decentralized management. Here, we find that sponsors appear to
rationally anticipate the difficulty of coordinating multiple managers by allocating reduced
risk budgets to each manager, which helps to compensate for the suboptimal diversification
that results. Overall, our results provide support for pension fund sponsors rationally choosing
their delegation structure.
