Mešťan, Michal, 1991-

How are 1bis pension pillar funds performing? : a cross-country analysis / Michal Mešťan, Jan Šebo, Ivan Králik ; [recenzované]. -- Private DC pension schemes implemented in CEE countries possess common features in the way how contributions are made, investment vehicles and investment management. As the investment risk and subsequent adequacy risk is effectively shifted onto savers, pension funds’ performance net of fees and inflation is of utmost importance for the sustainability of the pension schemes and ability to deliver expected results from the view of replacement ratios. Understanding the investment returns and the impact of fees under the comparative analysis is therefore our main objective. Object of our research are the particular investment vehicles (pension funds) in three countries: Slovakia, Estonia and Latvia. Subject of our research is the risk adjusted returns of analyzed pension funds provided under the 1bis pillar pension scheme in these countries. We use conventional Sharpe and Sortino ratio to assess the performance and confirm that even if there are no major differences in investment policies, the risk adjusted performance is vastly different even when comparing similar pension funds based on their portfolio structure. We also suggest that these differences in risk adjusted performance may result in vastly different pension pots and thus replacement ratios.

In European financial systems 2017 : proceedings of the 14th international scientific conference, June 26-27, 2017, Brno. -- Brno : Masaryk University, 2017. -- 495 s.. -- ISBN ISBN 978-80-210-8610-4. -- S. 52-59