EFEKTYWNOŚĆ INWESTYCYJNA POLSKICH FUNDUSZY EMERYTALNYCH W OKRESIE ZMIAN ZASAD PRAWNYCH
INVESTMENT EFFECTIVENESS OF POLISH PENSION FUNDS DURING THE CHANGING OF THE LEGAL RULES
Author(s): Andrzej Karpio, Dorota Żebrowska-SuchodolskaSubject(s): Economy, Methodology and research technology, Law on Economics, Public Finances
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: pension fund; effectiveness coefficient; Spearman’s rank correlation coefficient; persistance;
Summary/Abstract: This paper deals with the assessment of the investment results achieved by 14 pension funds functioning on the Polish capital market in 2012-2016. The period has been chosen with regard to the legal changes that came into force in 2014 and it was divided into two periods: January 2012 – January 2014 and February 2014 – February 2016. The effectiveness measures were calculated taking into account weekly rates of return and rankings of pension funds were created. The following coefficients were taken into consideration: beta coefficients, Information Ratio, Sharpe-Israelsen, Calmar, Omega and UPR.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVII/2016
- Issue No: 3
- Page Range: 64-72
- Page Count: 9
- Language: Polish