Wyniki Inwestycyjne Polskich Otwartych Funduszy Emerytalnych I Ich Persystencja
Polish Open-End Pension Funds Performance and its Persistance
Author(s): Andrzej Karpio, Dorota Żebrowska-SuchodolskaSubject(s): National Economy, Business Economy / Management, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: effectiveness; performance measures; pension funds ranking; correlations;
Summary/Abstract: This paper deals with the assessment of the investment results achieved by 14 pension funds functioning on the Polish market in 2000–2013. Calmar, Omega, upside potential ratio (UPR) and Sortino ratios were used to estimate the fund performance in different time frames (two, three, four, five, six and seven years). The performance persistence was investigated by evaluating the Spearman’s rank correlation for the above given sub-periods. The obtained results show randomness of ranking positions occupied by pension funds in successive periods. Almost all Spearman’s correlation coefficients occurred statistically insignificant.
Journal: Acta Scientiarum Polonorum. Oeconomia
- Issue Year: 15/2016
- Issue No: 1
- Page Range: 15-25
- Page Count: 11
- Language: English
