Acta Univ. Agric. Silvic. Mendelianae Brun. 2016, 64(6), 1981-1988 | DOI: 10.11118/actaun201664061981

The Return-risk Performance of Selected Pension Fund in OECD with Focus on the Czech Pension System

Petr Kupčík, Pavel Gottwald
Department of Finance, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic

This paper focuses on the measuring and comparing investment performance of pension funds in selected European countries. Comparison of the investment performance of pension funds is determined by means of the Sharpe ratio and the Sortino ratio. We used data of nominal appreciation of pension funds from the Czech Republic, Slovakia, Poland, Sweden, Switzerland and the Netherlands in the period 2005-2013. These countries were selected because they have many common features but Sweden, Switzerland and the Netherlands were added to the analysis because we wanted to show the differences between a developed and less developed fully funded system. The last part of this article presents the main causes of the differences in investment performance of pension funds. Conclusions of the paper are focused on a comparison of the results of the Sharpe ratio and the Sortino ratio of pension funds from selected countries and recommendations for the Czech pension system. The article proposes a mechanism for determining the order of the negative Sharpe ratio and the Sortino ratio.

Keywords: Sharpe ratio, Sortino ratio, Performance, Pension funds, Lifetime pensions

Prepublished online: December 21, 2016; Published: January 1, 2017  Show citation

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Kupčík, P., & Gottwald, P. (2016). The Return-risk Performance of Selected Pension Fund in OECD with Focus on the Czech Pension System. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 64(6), 1981-1988. doi: 10.11118/actaun201664061981
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