Investment effectiveness of polish pension funds during the changing of the legal rules

Dorota Żebrowska-Suchodolska ,  Andrzej Karpio 

Szkoła Główna Gospodarstwa Wiejskiego (SGGW), Nowoursynowska 166, Warszawa 02-787, Poland


This paper deals with the assessment of the investment results achieved by 14 pension funds functioning on the Polish capital market in 2012-2015. The period has been chosen with regard to the legal changes that came into force in 2014. So, the main goal of the investigation is the answer to the question about effectiveness of pension funds just before and after the changes of the legal rules. The treasury debt securities worth almost 150 billion zlotys were withdrawn from pension funds’ portfolios. The amount of the participants has decreased sharply to about 2,7 million. The terms of functioning of pension funds have drastically changed and the investigation of pension funds’ effectiveness seems very important from the point of view of Polish capital market. The whole period was divided into two periods: January 2012 – January 2014 and February 2014 – October 2015. The effectiveness measures were calculated taking into account weekly rates of return and rankings of pension funds were created. The performance persistence was investigated by evaluating the Spearman's rank correlation for the two chosen periods. The following coefficients were taken into consideration: beta coefficients in characteristic lines constructed for every fund, Information Ratio, Sharpe-Izraelsen, Calmar, Omega and UPR. The TBPS index was chosen as the benchmark in measures that need it. 


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Presentation: Oral at Current Economic and Social Topics 2015, by Andrzej Karpio
See On-line Journal of Current Economic and Social Topics 2015

Submitted: 2015-11-12 10:40
Revised:   2016-02-14 19:49