The Moderating Role of Treasury Bills and Bonds Allocations on the Relationship between Systematic Risk and Investment Portfolio Performance of Pension Schemes in Kenya


  • Karen Kandie Catholic University of Eastern Africa
  • Dr. Joseph Macheru Catholic University of Eastern Africa
  • Dr. Cliff Osoro Catholic University of Eastern Africa



Pension, Asset Allocation, Treasury Bills and Bonds, Systematic Risk


Purpose: This study investigated the moderating role of Treasury Bills and Bonds allocation on the relationship between systematic risk and investment portfolio performance of pension schemes in Kenya. Assets under management by pension schemes make up 14.6% of the GDP in Kenya, making pension schemes significant players in the financial industry and the economy. As of December 2021, the pension industry had mobilised   Kshs. 1,547.43 billion in managed pension assets from Kshs. 44.7 billion in 2000, a significant annual average growth rate of 21%.

 Methodology: The study used secondary data from 1,172 registered pension schemes for seven years between 2015 and 2021. Pension scheme data was collected from the database of the Retirement Benefits Authority. Systematic risk data was collected from the databases of the Central Bank of Kenya, Nairobi Securities Exchange and Kenya National Bureau of Statistics. Panel Regression analysis, fixed effect, random effect, and Hausman test were used to analyse the relationship between the dependent and independent variables. The study applied the Whisman and Maclleland two-step model to evaluate the impact of asset allocation on the investment portfolio performance of pension schemes as moderating variables.

Findings: The study results showed that asset allocation to Treasury Bills and Bonds did not significantly moderate the effect of systematic risk on the investment portfolio performance of pension schemes. 

Unique Contribution to Theory, Practice and Policy: The study contributed to academia by challenging the usefulness of Modern Portfolio Theory. Policymakers should consider reviewing the limits on investment in Treasury Bills and Bonds to less than 100% to encourage diversification to more asset classes. Practitioners are recommended to invest in diverse asset classes.


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How to Cite

Kandie , K., Macheru, J., & Osoro, C. (2023). The Moderating Role of Treasury Bills and Bonds Allocations on the Relationship between Systematic Risk and Investment Portfolio Performance of Pension Schemes in Kenya. International Journal of Finance and Accounting, 8(2), 71–84.