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Is active management of mandatory pension funds in Croatia creating value for second pillar fund members?

Petar Matek and Masa Radakovic
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Masa Radakovic: Croatian Financial Services Supervisory Agency, Zagreb, Croatia

Financial Theory and Practice, 2015, vol. 39, issue 3, 245-278

Abstract: This paper analyses Croatian mandatory pension funds’ investment returns during the 2005-2014 period using performance attribution methodology. Results from active investment management are compared to a long-term policy return. Such analysis is essential to shed light on the contribution of active portfolio management in the second pillar pension scheme. Evidence suggests that in the period analysed portfolio managers have added value through active management decisions. In addition, we determined the sources of portfolio return by breaking down active return into policy, tactical asset allocation and security selection effect.

Keywords: pension funds; performance attribution; policy return; active return; allocation effect; security selection effect (search for similar items in EconPapers)
JEL-codes: G11 G18 G19 G23 (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:ipf:finteo:v:39:y:2015:i:3:p:245-278