Finnish pension fund performance
Finland's retirement system is split between a 75% pay-as-you-go publicly funded pension and a 25% pre-funded pension. In 2011 the prefunded pension funds hold approximately €150 billion in net assets. This pool of capital is managed by 37 not for profit organizations; the four largest organizations manage €103 billion. 
In a report requested by the government of Finland, Ambachtsheer (2013) provides asset allocation, cost, and performance data for a combination portfolio made up of the seven largest Finnish pension fund managers. The report examines the 2007 - 2011 period.
The report found that the average asset allocation of the composite pension fund consisted of 40% equities, 45% debt, 10% real estate, and 5% alternative investments. The plans overweighted Finnish stocks, in comparison to global stock market weights, by holding 17% of the fund in Finnish stocks (see Figure). 
The annual average cost of the composite pension fund is 49.2 basis points. This compares to a 47.4 average basis point expense for global larger funds, and an average 41.3 basis point expense for global smaller funds. Finland's pension funds internally manage 65% of plan assets compared to the 12% internally managed average of global pension fund. The cost advantage of internal management is offset by the Finnish plan's higher costs for alternative outsourced assets, mostly Finnish private equity, and hedge funds. 
In terms of investment performance, over the 2007 - 2011 period, the composite Finland pension fund provided a net 2.5% compound return. This return compares to the 2.1% return of the fund's benchmark. For comparison, over the same five year period global larger funds earned a net compound 3.5% return (versus a 3.6% benchmark return). The Finland composite fund's 1% lower return was due to the home bias reflected in the 17% allocation to Finnish stocks, which underperformed the global stock market over this five year period. 
- Ambachtsheer, Keith, "The Pension System in Finland: Institutional Structure and Governance ", Rotman International Centre for Pension Management, January 2013. Available at Investment Research, CEM Benchmarking