Performance appraisal of Croatian mandatory pension funds

Petar Matek, Marko Lukač () and Vedrana Repač ()
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Marko Lukač: Effectus - University Collage for Law and Finance, http://www.effectus-uciliste.eu/
Vedrana Repač: Effectus - University Collage for Law and Finance, http://www.effectus-uciliste.eu/

No 4, Effectus - Working Paper Series from Effectus - University College for Law and Finance

Abstract: The goal of this paper is to determine whether managers of Croatian mandatory pension funds have displayed investment skill on a risk-adjusted basis during the 2005-2014 period. We have calculated various risk-adjusted investment performance measures and have then used a number of statistical tools to test the significance of the results. Evidence from our analysis suggests that Croatian mandatory pension funds have reached their investment targets in terms of risk-free rates or benchmarks. Evidence of investment skill was found in some of the funds analysed.

Keywords: pension funds; risk-adjusted return; performance appraisal (search for similar items in EconPapers)
JEL-codes: G11 G18 G19 G23 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2015-02
New Economics Papers: this item is included in nep-age and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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