The performance of the Czech Private Pension scheme: Current Design and its position within CEE countries
|Author:||Mgr. Jan Hlaváč|
|Year:||2011 - winter|
|Leaders:|| doc. Ing. Ondřej Schneider MPhil., Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This thesis 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 thesis. 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. To complement the analysis we also
employ the Sharpe style analysis to evaluate the impact of managerial decisions of
market selection/timing on the scheme returns. 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 Czech Republic. The results of style
analysis suggest a modest positive influence of the active managerial decisions on the
scheme returns with respect to the passive investment strategies.
|Downloadable:|| Master´s Thesis Hlaváč