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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

64

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

8

Strana od-do

1981-1988

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85008698413