The market benchmark and the investment effectiveness of Polish pension funds

The thesis examines the investment effectiveness of open-end pension funds existing on the Polish capital market. The information ratio and Sharpe-Izrealsen's indicators are considered to be the basis of assessment, and their characteristic feature is the dependence on the benchmark. In the thesis, the market indicator was defined showing legislation limits put on open-end pension fund portfolios valid until the end of 2013. The framework of the definition was the stock exchange index WIG20 and bond market index TBSP. Due to the fact that the second indicator has been calculated from 2007, the period of the research covers the years 2007-2013. Both indicators were calculated after dividing the data into one year subperiods, in each of these rankings taking into account monthly percentage changes of share units. Next, the stability of the market position of open-end pension funds was calculated for the following years. In order to do this, the Spearman's rank correlation coefficient was used. Comparative research was carried out for the chosen open-end stable growth mutual funds, which were later compared with the results of the pension funds. Both groups of funds show a big similarity regarding investment effectiveness and persistency. Consequently, we propose that stable growth mutual funds can be an alternative to the open-end pension funds for people saving money for their future pensions. The thesis builds on previous research carried out by the authors, where other measures of investment effectiveness were used, in particular Sortino, UPR, Omega and Calmar. We discuss our results in relation to the research done by other authors.

 Key words: open-end pension fund, open-end stable growth mutual fund, investment effectiveness, persistency