Measuring Risk-Ajusted Return of Bulgarian Voluntuary Pension Funds

Georgi Georgiev () and Nikolina Mareva ()
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Georgi Georgiev: University of Agribusiness and Rural Development
Nikolina Mareva: University of Agribusiness and Rural Development

Regional Economy and Sustainable Development, Conference Proceedings 2017, 2018, issue 2, 342-355

Abstract: The purpose of presented manuscript is to evaluate and ranks the Bulgarian voluntary pension funds in the term risk-adjusted return. The segment of voluntary pension funds is chosen because exactly here financial managers make significant efforts in the management of their portfolios and the competition in the sector is realized to the greatest extent. Risk-adjusted returns are calculated using the indicators as: Sharp coefficient, Treynor coefficient, RAROC with VaR framework, Sortino coefficient and Omega.

Keywords: pension funds; portfolio evaluation; Sharpe ratio; Treynor ratio; Jensen ratio; RAROC with VaR Sortino ratio. (search for similar items in EconPapers)
JEL-codes: A00 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:vra:pr1803:y:2018:i:2:p:342-355

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