Financial performance of the Czech private pension scheme: Its current position and the comparison with other CEE countries

Jan Hlaváč ()
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Jan Hlaváč: Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic, http://ies.fsv.cuni.cz/

No 2011/09, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: This paper focuses on the comparison of financial performance of the Czech voluntary private pension scheme with five other reformed private pension schemes in the region of Central Eastern Europe (Bulgaria, Croatia, Hungary, Poland and Slovak Republic). The current state and the recent development of the Czech private pension scheme are analyzed in the first part of the paper. In the main part of this work we construct the dataset of periodic scheme returns covering the last decade, and estimate the schemes Sharpe ratios (SR) for four reference benchmarks. The findings suggest that except for Poland none of the schemes managed to beat its long-term domestic benchmark (10-year government bonds) as the SRs estimates turn out to be negative. The highest underperformance was found in the case of the Czech Republic. Such poor results were assigned to the presence of restrictive annual minimum return guarantees and ineffective legislation arranging the PF costs allocation.

Keywords: Private pension schemes; Czech voluntary pension scheme; financial performance; Sharpe ratio (search for similar items in EconPapers)
JEL-codes: G23 G28 H55 O57 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2011-03, Revised 2011-03
New Economics Papers: this item is included in nep-age and nep-tra
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