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

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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

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.

Suggested Citation

  • Petr Kupčík & Pavel Gottwald, 2016. "The Return-risk Performance of Selected Pension Fund in OECD with Focus on the Czech Pension System," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 1981-1988.
    • Handle: RePEc:mup:actaun:actaun_2016064061981
    DOI: 10.11118/actaun201664061981
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    References listed on IDEAS

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    1. Ashraf Chaudhry & Helen L. Johnson, 2008. "The Efficacy of the Sortino Ratio and Other Benchmarked Performance Measures Under Skewed Return Distributions," Australian Journal of Management, Australian School of Business, vol. 32(3), pages 485-502, March.
    2. Vladimir Vovk, 2011. "Losing money with a high Sharpe ratio," Papers 1109.0706, arXiv.org.
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    Cited by:

    1. Audrius Kabašinskas & Kristina Šutienė & Miloš Kopa & Kęstutis Lukšys & Kazimieras Bagdonas, 2020. "Dominance-Based Decision Rules for Pension Fund Selection under Different Distributional Assumptions," Mathematics, MDPI, vol. 8(5), pages 1-26, May.

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