scholarly journals The Efficiency of a Supplementary Old-Age Pension System – the Case of Polish Voluntary Pension Funds

e-Finanse ◽  
2019 ◽  
Vol 15 (3) ◽  
pp. 76-87
Author(s):  
Joanna Rutecka-Góra
Keyword(s):  
Interest Rates ◽  
Pension System ◽  
Pension Funds ◽  
Investment Efficiency ◽  
Investment Strategies ◽  
Rates Of Return ◽  
Investment Policies ◽  
Bank Deposits ◽  
Pension Saving ◽  
Investment Portfolios

AbstractThe aim of this article is to evaluate the effectiveness of voluntary pension savings plans in Poland, based on the principles of operation and rates of return of voluntary pension funds (pol. Dobrowolne Fundusze Emerytalne, DFE). The selection of those funds from a whole range of solutions available in the 3rd pension pillar is due to the fact that only this type of voluntary pension saving plan provides complete and transparent information about the actual investment policy, the composition of pension investment portfolios, and the achieved rates of return. In order to evaluate the investment policies and the effectiveness of DFEs, the following research methods were used: a literature analysis, an analysis of financial data, and basic methods of investment efficiency assessment. The results of the evaluation lead to the conclusion that despite their adoption of similar investment strategies, the DFEs have achieved very different values of effectiveness. In the years 2013-2018, selected funds achieved higher than average rates of return, while others achieved returns that were no better than the interest rates of standard bank deposits.

scholarly journals CRYPTOCURRENCIES OR CAPITAL MARKETS. COMPARATIVE ANALYSIS OF INVESTMENT EFFICIENCY IN 2011-2020

2022 ◽  
Author(s):  
Sylwester Kozak ◽  
Seweryn Gajdek
Keyword(s):  
Comparative Analysis ◽  
Interest Rates ◽  
Capital Markets ◽  
The Other ◽  
Investment Efficiency ◽  
Rates Of Return ◽  
Global Capital ◽  
Low Interest Rates ◽  
Investment Tool ◽  
Global Financial System

Cryptocurrencies have become an important element of the global financial system and a frequent investment tool in the last decade. The aim of this paper is to compare the efficiency of investments in the cryptocurrency market with investments in global capital markets. The study used the quotations of the analyzed instruments in the years 2011-2020. The investment efficiency was estimated using Sharpe and Sortino ratios. Research has shown that investments in cryptocurrencies were the most effective. They brought, on average, the highest daily rates of return, but on the other hand, they were characterized by the highest risk. Such a result could have been significantly influenced by the widespread persistence of ultra-low interest rates and a decline in the attractiveness of debt securities. The best results were obtained for investments in bitcoin and ethereum, which have the largest share of cryptocurrency market capitalization.

Financialisation and the Pension System: Lessons from the United States and the Netherlands

2017 ◽  
Vol 15 (4) ◽  
pp. 554-584 ◽  
Author(s):  
Natascha van der Zwan
Keyword(s):  
United States ◽  
The Netherlands ◽  
Pension System ◽  
The United States ◽  
Pension Funds ◽  
The State ◽  
Investment Strategies ◽  
Private Pensions ◽  
Labour Unions ◽  
Pension Systems

Financialisation and the Pension System: Lessons from the United States and the Netherlands The articles explores the financialisation of private pensions in the United States and the Netherlands. It proposes two distinct arguments. First, the article shows that both the American and the Dutch pension systems stand out internationally for their high degrees of capitalisation and the absence of substantive investment restrictions for pension funds. The article posits that both pension systems are highly financialised, yet the process of financialisation has proceeded along different historical paths and within different institutional contexts. Secondly, the article maintains that the financialisation of pension systems is accompanied by its own political dynamics. In both political economies, different groups of actors (employers, labour unions, financial professionals) have made claims over the growing concentration of pension assets. Here, particular emphasis is given to the role of the state. It shows how since the mid-1970s, both American and Dutch pension funds have altered their investment strategies, abandoning public debt as the dominant investment category. The article explains this change in terms of the rising popularity of modern portfolio theory and the immense growth of pension capital in need of new investment options. As austerity politics have made governments more dependent on financial markets, pension funds have become more assertive in leveraging their assets and demanding political reform which are in the interest of the financial industries. Financialisation has thus fundamentally altered the balance of power between the state and financial market actors.

scholarly journals Private pension funds: pragmatics and problems of activity in Ukraine

2021 ◽  
pp. 41
Author(s):  
Zoriana Matsuk
Keyword(s):  
Asset Management ◽  
Pension Fund ◽  
Pension System ◽  
General Structure ◽  
Pension Funds ◽  
Private Pension ◽  
Investment Horizon ◽  
Investment Funds ◽  
Bank Deposits ◽  
State Pension

Introduction. Nowadays, the pension system in Ukraine is being transformed, which necessitates analytical research on the activities of private pension funds, namely, open-ended, identifying problems of their activities and finding ways for further effective development.Methods. In the article author uses methods of analysis and synthesis, graphic research methods, economic and statistical methods for information collection and processing, in particular, sample surveys, groupings, statistical comparisons, trend analysis - in the process of evaluating the activities of private pension funds in Ukraine, and the method of logical generalization in formulating conclusions.Results. Author did an analytical assessment of indicators that characterize both the quantitative side of the activities of private pension funds in Ukraine and the qualitative side of their effectiveness in the domestic financial market. Attention is focused on the peculiarities of the structure of the portfolio of open non-state pension funds and it is concluded that the biggest quote (about 95%) in it belongs to cash on bank deposits and government securities. Author analyzed the indicators of profitability of the five most profitable open pension funds of Ukraine (according to the results of 2020) and their comparative characteristics, both in terms of the level of profitability and with the inflation rate. The tendency to decrease the profitability of investment portfolios during the analyzed period is noted. It was found that the structure of the portfolio of the most profitable open private pension funds is practically the same as the general structure of all pension funds of Ukraine. Discussion. Author proposed to form the portfolio structure of a private pension fund based on the characteristics of its depositors, and for the part of the portfolio with the largest investment horizon include risky instruments: direct investment funds, venture funds and real estate funds. This will allow using part of the pension savings as a long-term investment resource for the modernization of the domestic economy.Prospects for further research necessitate consideration of the main methods used in the process of selecting an asset management company, the administrator of a private pension fund, and assess the effectiveness of its asset management of private pension funds.

scholarly journals Investments in the cryptocurrency market or the commodity exchange. Which is more efficient?

2021 ◽  
Vol 51 (3) ◽  
pp. 61-71
Author(s):  
Sylwester Kozak ◽  
Seweryn Gajdek
Keyword(s):  
Interest Rates ◽  
Essential Element ◽  
Entire Period ◽  
Investment Efficiency ◽  
Rates Of Return ◽  
Gold Silver ◽  
Low Interest Rates ◽  
Investment Tool ◽  
Global Financial System

Cryptocurrencies have become an essential element of the global financial system, and in recent years also a frequent investment tool. The aim of the study is to check whether investments in cryptocurrencies are more effective than in commodities on commodity exchanges. The study was conducted based on the daily quotations of the analyzed instruments in 2011–2020. The investment efficiency level was estimated using Sharpe’s and Sortino’s indicators. The research results showed that, on average, over the entire period under study, investments in cryptocurrencies were burdened with the highest risk, but at the same time achieved the highest daily rates of return. As a result, they were much more effective investment tools than gold, silver and WTI. The advantage of cryptocurrencies could be due to the long-term persistence of ultra-low interest rates and the reduced attractiveness of investment in debt securities. Bitcoin and etherum with the largest shares in cryptocurrency market capitalization have proven to be the most effective investment tools.

scholarly journals Rates of Return on Open-End Debt Investment Funds and Bank Deposits in Poland in the Years 1995–2015 – A Comparative Analysis

2016 ◽  
Vol 16 (1) ◽  
pp. 93-112
Author(s):  
Iwona Dittmann
Keyword(s):  
Comparative Analysis ◽  
Interest Rates ◽  
Bond Market ◽  
Investment Horizon ◽  
Moving Window ◽  
Rates Of Return ◽  
Investment Funds ◽  
Empirical Distributions ◽  
Bank Deposits ◽  
Very High

Abstract This paper presents the results of a comparison of the rates of return on specific open-end debt investment funds in Poland with the rates of return on bank deposits, in light of different time horizons. A comparative analysis was conducted based on the quartiles of the empirical distributions of the rates of return on selected funds and bank deposits. The empirical distributions were obtained using a moving window of observation. The results were largely influenced by very high interest rates on bank deposits in Poland in the years 1995–2001 (in the case of the oldest funds), and by the boom in the bond market in the years 2011–2012 (for the youngest funds). The investment horizon turned out to be significant. The best and worst funds were identified.

scholarly journals Degree of Convergence of the Efficiency of the Polish Equity Investment Funds Obtained with Measures Based on the Sharpe Ratio

e-Finanse ◽  
2017 ◽  
Vol 13 (3) ◽  
pp. 33-42
Author(s):  
Sylwester Kozak
Keyword(s):  
Interest Rates ◽  
High Efficiency ◽  
Sharpe Ratio ◽  
Risk Level ◽  
Investment Efficiency ◽  
Investment Funds ◽  
Bank Deposits ◽  
Efficiency Measures ◽  
Equity Funds ◽  
Degree Of Convergence

AbstractLong-term persistence of low interest rates and a decline in attractiveness of investing in low-interest bank deposits generate additional demand for investments in investment funds. In such a situation, it is expected to have widespread use of the investment efficiency measures which take into account not only return, but risk level. The study examines eight measures of efficiency based on the Sharpe ratio. The study uses monthly data for 22 active equity funds over the period 2005-2015. It was found that the majority of funds were more efficient than the market in periods of moderate economic growth and less effective in the period of strong growth on the capital market. The most efficient funds retain high efficiency in all phases of the economic cycle. The efficiency values obtained using indicators: Shape, Treynor, Jensen, Sortino, Omega, Sharpe-Israelsen and IR were strongly correlated, while values of the UPR indicator were significantly different from the other results.

scholarly journals Reality and expectations of old-age pension savings in the pension system of the Slovak Republic

2021 ◽  
Vol 21 (4) ◽  
pp. 411-436
Author(s):  
Peter Sika ◽  
Jarmila Vidová
Keyword(s):  
Old Age ◽  
Pension System ◽  
Slovak Republic ◽  
Age Distribution ◽  
Investment Strategy ◽  
Pension Funds ◽  
Investment Strategies ◽  
Short Term ◽  
Pension Systems ◽  
Long Run

Abstract The aim of the authors is to provide a critical statistical-analytical view of the current pension system of the Slovak Republic with special regard to old -age pension savings in its fifteen-year existence, resulting in proposals for adjustments to its operation. It includes an analysis of the sustainability of pension systems, an analysis of the age distribution of savers as well as possible investment strategies of savers and the distribution of their property savings in pension funds. We model the investment strategy of a participant in old-age pension savings. We draw attention to the evaluation of old -age pension savings in pension funds during its existence and quantify the potential loss caused by an inappropriate investment strategy of savers. The an alysis showed that the Slovak participant in old-age pension savings invests mainly in conservative pension assets, which bring low volatility in the short term, which may not be optimal in the long run. In order to achieve change, we also outline the possibilities of changing the attitudes of savers to value their savings and propose reform steps that would contribute to ensuring a balance between the financial and social sustainability of the pension system.

scholarly journals Pension Fund Management, Investment Performance, and Herding in the Context of Regulatory Changes: New Evidence from the Polish Pension System

Risks ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 6
Author(s):  
Łukasz Dopierała ◽  
Magdalena Mosionek-Schweda
Keyword(s):  
Pension System ◽  
Pension Funds ◽  
Management Style ◽  
Market Model ◽  
Herd Behavior ◽  
Investment Performance ◽  
Fund Managers ◽  
Regulatory Changes ◽  
Increased Risk ◽  
The Impact

The aim of this paper is to assess the impact of reforms introduced in the operation of Polish open pension funds on management style, risk exposure and related investment performance. The article analyzes the impact of the reformed regulations on the herd behavior of fund managers. In particular, we examined whether the elimination of the internal benchmark for fund evaluation impacts the elimination or reduction of herd behavior. We proposed a multi-factor market model to evaluate the performance of funds investing in various types of instruments. Moreover, we used panel estimation to directly take into account the impact of the internal benchmark on herd behavior. Our results indicate that highly regulated funds may slightly outperform passive benchmarks and their unregulated competitors. In the case of Polish open pension funds, limiting investments in Treasury debt instruments clearly resulted in increased risk and volatility of returns. However, it also raised competition between funds and decreased the herd behavior. Additionally, the withdrawal of the mechanism evaluating funds based on the internal benchmark was also important in reducing herd behavior.

scholarly journals The recommendations of the De Kock Commission of Inquiry and its implications for foreign security investments by South African residents

1985 ◽  
Vol 16 (4) ◽  
pp. 204-208 ◽  
Author(s):  
N. Bhana
Keyword(s):  
South Africa ◽  
Interest Rates ◽  
South African ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Rates Of Return ◽  
Local Exchange ◽  
International Portfolio Diversification ◽  
Exchange Control

South African investors have been precluded from investing in foreign securities by the Exchange Control Regulations of 1961. Furthermore, the monetary policy pursued by the authorities has resulted in an inefficient financial market. Investments on the capital market have not earned satisfactory real rates of return, and prices on the JSE appear to have been driven to artificial heights. The De Kock Commission of Inquiry has proposed several recommendations which will have far-reaching consequences for investors in South Africa. The proposal of market-related interest rates and the abolition of prescribed investments by institutional investors is likely to result in long-term securities earning substantially higher real rates of return. The relaxation of exchange control for both direct and portfolio investment is likely to stem the flow of funds into the JSE. Investment funds can be expected to flow between the JSE and the various foreign equity markets depending on the economic prospects in the different countries. The high foreign exchange cost and poor liquidity of the local exchange market has been an obstacle to investors in foreign securities. The creation of a larger and more efficient foreign exchange market is likely to facilitate international portfolio diversification in South Africa.

scholarly journals DETERMINANTS INFLUENCING PENSION FUND INVESTMENT PERFORMANCE IN KENYA

2018 ◽  
Vol 3 (1) ◽  
pp. 14
Author(s):  
Anthony Kyanesa Mutula ◽  
Dr. Assumptah Kagiri
Keyword(s):  
Pension Fund ◽  
Multiple Linear Regression Model ◽  
Target Population ◽  
Pension Funds ◽  
Primary Data ◽  
Investment Strategies ◽  
Investment Performance ◽  
Descriptive Research ◽  
Fund Investment ◽  
Regulation Compliance

Purpose: The purpose of the study was to investigate the determinants influencing pension fund investment performance in Kenya.Methodology: The study employed a descriptive research design. The study target population was all the 33 registered pension funds in Kenya, and the sample size was 66 senior employees involved in decision making. The study adopted a census approach and therefore data was collected from all the 33 registered pension funds. A questionnaire was used to collect primary data from the selected respondents. The data collected was analyzed using the statistical package for social sciences (SPSS) version 23.0. The software was used to produce frequencies, descriptive and inferential statistics which was used to derive generalizations and conclusions regarding the population. Multiple linear regression model was used to measure the relationship between the independent variables and the dependent variable. The study findings were presented using figures and tables.Results: The study findings revealed a positive and significant relationship between diversification decisions, management competency, investment strategies, regulation compliance and investment performance of pension funds in Kenya.Unique contribution to theory, practice and policy: The study recommended that the management of pension funds should establish a strong organization structure and policy implementation, which will enhance their portfolio composition; the firms should have highly competent management; should incorporate investment literacy and capability programs in their organizations; and should continue adhering to the set regulations.

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