The Return-risk Performance of Selected Pension Fund in OECD with Focus on the Czech Pension System

Petr Kupčík and Pavel Gottwald
Additional contact information
Petr Kupčík: Department of Finance, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic
Pavel Gottwald: Department of Finance, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2016, vol. 64, issue 6, 1981-1988

Abstract: This paper focuses on the measuring and comparing investment performance of pension funds in selected European countries. Comparison of the investment performance of pension funds is determined by means of the Sharpe ratio and the Sortino ratio. We used data of nominal appreciation of pension funds from the Czech Republic, Slovakia, Poland, Sweden, Switzerland and the Netherlands in the period 2005-2013. These countries were selected because they have many common features but Sweden, Switzerland and the Netherlands were added to the analysis because we wanted to show the differences between a developed and less developed fully funded system. The last part of this article presents the main causes of the differences in investment performance of pension funds. Conclusions of the paper are focused on a comparison of the results of the Sharpe ratio and the Sortino ratio of pension funds from selected countries and recommendations for the Czech pension system. The article proposes a mechanism for determining the order of the negative Sharpe ratio and the Sortino ratio.

Keywords: Sharpe ratio; Sortino ratio; Performance; Pension funds; Lifetime pensions (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://acta.mendelu.cz/doi/10.11118/actaun201664061981.html (text/html)
http://acta.mendelu.cz/doi/10.11118/actaun201664061981.pdf (application/pdf)
free of charge

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2016064061981

DOI: 10.11118/actaun201664061981

Access Statistics for this article

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis is currently edited by Markéta Havlásková

More articles in Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis from Mendel University Press
Bibliographic data for series maintained by Ivo Andrle ().