Detail publikace

Financial performance of the Czech private pension scheme: Its current position and the comparison with other CEE countries

Autor:
Typ: IES Working Papers
Rok: 2011
Číslo: 9
ISSN / ISBN:
Publikováno v: IES Working Papers 9/2011
Místo vydání: Prague
Klíčová slova: Private pension schemes, Czech voluntary pension scheme, financial performance, Sharpe ratio
JEL kódy: G23, G28, O57, H55
Citace: Hlaváč, J. (2011). “Financial performance of the Czech private pension scheme: Its current position and the comparison with other CEE countries” IES Working Paper 9/2011. IES FSV. Charles University.
Abstrakt: This paper focuses on the comparison of financial performance of the Czech voluntary private pension scheme with five other reformed private pension schemes in the region of Central Eastern Europe (Bulgaria, Croatia, Hungary, Poland and Slovak Republic). The current state and the recent development of the Czech private pension scheme are analyzed in the first part of the paper. In the main part of this work we construct the dataset of periodic scheme returns covering the last decade, and estimate the schemes Sharpe ratios (SR) for four reference benchmarks. The findings suggest that except for Poland none of the schemes managed to beat its long-term domestic benchmark (10-year government bonds) as the SRs estimates turn out to be negative. The highest underperformance was found in the case of the Czech Republic. Such poor results were assigned to the presence of restrictive annual minimum return guarantees and ineffective legislation arranging the PF costs allocation.
Ke stažení: WP 2011_09_Hlavac

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