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Performance of pension funds and stable growth open investment funds during the changes in the Polish retirement system

Author

Listed:
  • Krzysztof Kompa

    (Warsaw University of Life Sciences)

  • Dorota Witkowska

    (University of Lodz)

Abstract

The conditions of the pension funds (OFE) functioning were essentially changed in the years 2011–2014. The aim of the paper is to find out if these modifications influence the efficiency of the pension funds and to compare the performance of these funds to stable growth open investment funds (FIO). The analysis is provided for selected funds in the years 2009–2015. We conclude that in the examined period, OFE performed better than FIO, and the modifications of the rules for the pension funds caused the increase of risk and decrease of investment efficiency of these funds’ portfolios.

Suggested Citation

  • Krzysztof Kompa & Dorota Witkowska, 2016. "Performance of pension funds and stable growth open investment funds during the changes in the Polish retirement system," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 117-131.
    • Handle: RePEc:cpn:umkdem:v:16:y:2016:p:117-131
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    File URL: https://apcz.umk.pl/DEM/article/view/DEM.2016.007/10728
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    References listed on IDEAS

    as
    1. Krzysztof Kompa & Dorota Witkowska, 2014. "Pension Funds in Poland: Efficiency Analysis for Years 1999-2013," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 14, pages 105-124.
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    More about this item

    Keywords

    pension funds; stable growth open investment funds; investment efficiency; Sharpe model; CAPM; Sharpe; Treynor and Jensen ratios;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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