Polish Open-End Pension Funds Performance and its Persistance
Journal Title: Acta Scientiarum Polonorum. Oeconomia - Year 2016, Vol 15, Issue 1
Abstract
This paper deals with the assessment of the investment results achieved by 14 pension funds functioning on the Polish market in 2000–2013. Calmar, Omega, upside potential ratio (UPR) and Sortino ratios were used to estimate the fund performance in different time frames (two, three, four, five, six and seven years). The performance persistence was investigated by evaluating the Spearman’s rank correlation for the above given sub-periods. The obtained results show randomness of ranking positions occupied by pension funds in successive periods. Almost all Spearman’s correlation coefficients occurred statistically insignificant.
Authors and Affiliations
Andrzej Karpio, Dorota Żebrowska-Suchodolska
Keywords
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