The persistency of the investment results of pension funds existing on the Polish market

Investing on the market of pension funds is definitely a long-term process. This is therefore confirmed and understood by nearly three million Poles, who after the recent legislation changes in Poland, have chosen the Open-End Pension Funds. Long-term investing is connected with the uncertainty in relation to the future results of the chosen investment fund. A well-thought out decision, which is made today, does not have to be the best in five or ten years' time. That is why, the stability of the investment funds results in the following periods is significant, and this is described in literature as persistency. The thesis deals with the assessment of the investment results achieved by 14 pension funds functioning on the Polish market in the years 2000-2013. Calmar, Omega, upside potential ratio (UPR), Sortino, Information Ratio and the Sharpe-Izraelsen's indicators were used in the research. As for the last two measures, the linear combination index WIG20 was used as a market factor, as well as the Treasury Bond Spot Poland (TBSP) index (it refers to the years 2007-2013). The time, during which the research was carried out, was divided into two, three, four, five, six and seven-year subperiods. The stability of the market positions (the persistency) was measured by counting the Spearman's rank correlation coefficient for the above given subperiods. The results were compared with similar ones obtained earlier for open-end mutual funds, balanced and stable growth. The work is treated by authors as preliminary to more detailed investigations of the Polish capital market and the research of the investment effectiveness of the institutions operating on this market.