The Return-risk Performance of Selected Pension Fund in OECD with Focus on the Czech Pension System

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F16%3A43910711" target="_blank" >RIV/62156489:43110/16:43910711 - isvavai.cz</a>

Result on the web

<a href="https://doi.org/10.11118/actaun201664061981" target="_blank" >https://doi.org/10.11118/actaun201664061981</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201664061981" target="_blank" >10.11118/actaun201664061981</a>

Result language

angličtina

Original language name

The Return-risk Performance of Selected Pension Fund in OECD with Focus on the Czech Pension System

Original language description

This paper focuses on the measuring and comparing investment performance of pension funds in selected European countries. Comparison of the investment performance of pension funds is determined by means of the Sharpe ratio and the Sortino ratio. We used data of nominal appreciation of pension funds from the Czech Republic, Slovakia, Poland, Sweden, Switzerland and the Netherlands in the period 2005-2013. These countries were selected because they have many common features but Sweden, Switzerland and the Netherlands were added to the analysis because we wanted to show the differences between a developed and less developed fully funded system. The last part of this article presents the main causes of the differences in investment performance of pension funds. Conclusions of the paper are focused on a comparison of the results of the Sharpe ratio and the Sortino ratio of pension funds from selected countries and recommendations for the Czech pension system. The article proposes a mechanism for determining the order of the negative Sharpe ratio and the Sortino ratio.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

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Volume of the periodical

64

Issue of the periodical within the volume

6

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

8

Pages from-to

1981-1988

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-85008698413