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Journal Article

The risk-return profile of Lithuanian private pension funds

Kabašinskas A., Šutienė K., Kopa Miloš, Valakevičius E.

: Ekonomska Istrazivanja vol.30, 1 (2017), p. 1611-1630

: GA13-25911S, GA ČR

: Pension system reform, private pension funds, performance ratios, risk– return measuring, clustering

: 10.1080/1331677X.2017.1383169

: http://library.utia.cas.cz/separaty/2017/E/kopa-0483752.pdf

(eng): The introduction of a private pension funds in conjunction with the public social security system is the essence of pension system reform that was implemented in Lithuania. The performance of private funds is mainly presented by fund’s net asset value and few classical risk estimates. Such evaluation shows the management company’s ability to profitably invest funds, but does not give the evidential risk-return evaluation. This paper refers to the overall statistical analysis of 26 private pension funds over a certain time period. The objective of the research is to determine the risk-return profile of pension funds and to answer the question whether the categories specified\nbased on investment strategy in equities reflect fund’s empirical behaviour. Research methodology includes the statistical analysis, risk measuring, performance ratio estimation, and K-means clustering. The conclusions obtained by the research allow determining whether the distinct pension funds have beaten a low risk reference and are adequately assigned to a certain risk category.

: AH

: 50206

07.01.2019 - 08:39