Note(s): This table contains the GMM regression parameter values between the 5-factor Alphas and a set of explanatory variables. R² is the coefficient of regression determination between the profitability of the fund and the index, Assets10 is the percentage invested in the 10 main securities, logHoldings is the logarithm of the number of holdings, Return is the net return and Logassets is the logarithm of the size in euros of the pension fund, LossDev_ is the volatility of the fund, NetflowTA is the percentage that the net flows represent over the total assets. Largeblend, Largegrowth and Largevalue are dummies for the investment style of the fund. The model has been estimated including temporary dummies that are not shown in the results. N refers to the number of observations. Hansen is a test for overidentifying restrictions and AR2 is the autocorrelation test. Legend: ^*p < 0.1; ^**p < 0.05; ^***p < 0.01