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Is active management of mandatory pension funds in Croatia creating value for second pillar fund members?

Author

Listed:
  • Petar-Pierre Matek

    (Croatian Financial Services Supervisory Agency, Zagreb, Croatia)

  • Masa Radakovic

    (Croatian Financial Services Supervisory Agency, Zagreb, Croatia)

Abstract

This paper analyses Croatian mandatory pension funds’ investment returns during the 2005-2014 period using performance attribution methodology. Results from active investment management are compared to a long-term policy return. Such analysis is essential to shed light on the contribution of active portfolio management in the second pillar pension scheme. Evidence suggests that in the period analysed portfolio managers have added value through active management decisions. In addition, we determined the sources of portfolio return by breaking down active return into policy, tactical asset allocation and security selection effect.

Suggested Citation

  • Petar-Pierre Matek & Masa Radakovic, 2015. "Is active management of mandatory pension funds in Croatia creating value for second pillar fund members?," Financial Theory and Practice, Institute of Public Finance, vol. 39(3), pages 245-278.
    • Handle: RePEc:ipf:finteo:v:39:y:2015:i:3:p:245-278
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    Citations

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    Cited by:

    1. Eva Horvat & Mladen Latkovic, 2021. "Long-term cash flows of mandatory and voluntary pension funds in Croatia and their impact on asset allocation," Public Sector Economics, Institute of Public Finance, vol. 45(2), pages 229-255.
    2. Draženović Bojana Olgić & Hodžić Sabina & Maradin Dario, 2019. "The Efficiency of Mandatory Pension Funds: Case of Croatia," South East European Journal of Economics and Business, Sciendo, vol. 14(2), pages 82-94, December.
    3. Petar Pierre Matek & Masa Galic, 2017. "The Impact of Minimum Return Guarantees on Management of Mandatory Pension Funds in Croatia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(4), pages 342-369, August.

    More about this item

    Keywords

    pension funds; performance attribution; policy return; active return; allocation effect; security selection effect;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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