Abstract
This paper examines the seasonal patterns of Spanish pension plan returns at quarter and year end. Consistent with existing literature, results indicate that a set of portfolios obtain levels of performance during certain months, especially December, that are significantly different from the rest of the months. However, when the relationship between seasonal patterns and previous performance is analyzed, results suggest that top performers during the year experience a penalization in the performance of December. This finding can be explained for different reasons such as window dressing practices and a negative influence of high investment inflows during this month. Nevertheless, the observed decrease in the volatility level at the end of the year seems to suggest that managers follow their benchmarks more closely when they have to report their portfolio returns.
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