Testing the strong information effectiveness of the Polish pension funds' market

This paper deals with the assessment of the investment results achieved by 12 pension funds functioning on the Polish capital market in 2012-2015. The period has been chosen with regard to the legal changes that came into force in 2014. So, the main goal of the investigation is the answer to the question about the strong information effectiveness of pension funds just before and after the changes of the legal rules. The whole period was divided into two periods: January 2012 – January 2014 and February 2014 – December 2015. The Treynor – Mauzy and Henriksson – Merton’s models were created, the second one was used the parametric version. The models describe the market timing ability of the portfolio managers. Obtained results were compared in each period. The coefficients in both models were estimated taking into account weekly rates of return. Then the rankings of pension funds were created separately for two models and for two periods mentioned above. The performance persistence was also investigated by evaluating the Spearman's rank correlation between rankings for the two chosen periods and for both models used in the study. The conclusions were compared with the previously obtained ones that had used different measures, namely Calmar, Information Ratio, Omega, Sharpe – Israelsen coefficients. It occurs that there are no great differences between market timing by portfolio managers in the two given periods. Authors think that the main reason for such a situation is the uncertainty of the future of Polish pension funds. There is a great possibility that pension funds can be liquidated because of political reasons and the market already anticipates it.