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The Influence of the Sharpe Ratio on Appreciation Savings Intended for the Payment of Lifetime Pensions

Author

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  • 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)

Abstract

The paper focuses on the payment of lifetime pensions paid by pension companies based on the selected mortality table of the Czech Statistical Office. We assume different input values depending on the size of the Sharpe ratio pension companies from selected countries. This paper aims to identify and assess the impact of the Sharpe ratio on the payment of lifetime pensions in postproduction period. We used data of nominal appreciation of pension companies from the Visegrad countries and Sweden, Switzerland and the Netherlands in the period 2005-2013. In the empirical analysis we additionally distinguished between guaranteed and non-guaranteed pension funds. For the purpose of calculating lifetime pensions, we used the formula early paid pension by the pension company on the Czech market down in its her pension plan with an expected median payment period of r years. We found link between the value of the Sharpe ratio and the size of lifetime pensions. Conclusion of the paper shows the effects of low performance of pension funds on lifetime pension with a focus on the Czech Republic. The scientific paper describes partial results reached within the project no. 54/2014 of the Internal Grant Agency of the Faculty of Business and Economics of the Mendel University in Brno following the aims and methodology of the given project.

Suggested Citation

  • Petr Kupčík & Pavel Gottwald, 2015. "The Influence of the Sharpe Ratio on Appreciation Savings Intended for the Payment of Lifetime Pensions," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(6), pages 1987-1993.
    • Handle: RePEc:mup:actaun:actaun_2015063061987
    DOI: 10.11118/actaun201563061987
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    References listed on IDEAS

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    1. Vladimir Vovk, 2011. "Losing money with a high Sharpe ratio," Papers 1109.0706, arXiv.org.
    2. Bohl, Martin T. & Lischewski, Judith & Voronkova, Svitlana, 2010. "Pension funds' performance in strongly regulated industries in Central Europe: Evidence from Poland and Hungary," ZEW Discussion Papers 10-076, ZEW - Leibniz Centre for European Economic Research.
    Full references (including those not matched with items on IDEAS)

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