PROPOZYCJA OCENY EFEKTYWNOŚCI INWESTYCYJNEJ RYNKÓW FUNDUSZY EMERYTALNYCH
THE PROPOSAL HOW TO EVALUATE THE PERFORMANCE OF PENSION FUNDS MARKETS
Author(s): Dorota WitkowskaSubject(s): Economy, Economic policy, Methodology and research technology, Public Finances
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: retirement system; pension fund; performance; benchmark;
Summary/Abstract: The essential increase of the old-dependency ratio requires changes in retirement system which have been introduced in OECD countries for 20 years now. The aim of our research is comparison of the performance of the pension fund markets in selected European countries and the USA. Investigation is provided using OECD data from the years 2002-2013. To evaluate the investment efficiency in these states we apply the following measures: Sharpe and Treynor ratios, excess return information ratio, and Jensen alpha. We present some proposals of the benchmark construction.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVII/2016
- Issue No: 2
- Page Range: 149-159
- Page Count: 11
- Language: Polish