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Transition matrix and stochastic kernel for repeatability assessment of performance of Polish open pension funds

Author

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  • Rafał Buła

    (University of Economics in Katowice, Poland)

Abstract

This study focuses on the issue of repeatability and reversal of performance achieved by Polish open pension funds. For the choice of the fund investing the contributions of the future pensioner, the phenomenon of repeatability and reversal of its performance is essential. Otherwise, historical rates of return cannot be used to predict future ones, and in that case the only rational method of choosing a pension fund is a pure random selection. Contrarily to the other studies taking into account numerous variables describing open pension funds, the author analyzes the only one variable interesting from a future pensioner’s viewpoint: rate of return. As a consequence the formulated conclusions are not flawed due to considering factors having no influence on future pensioners’ wealth. The analysis of these phenomena was carried out by adopting the dynamics of distribution testing methods. The estimated Markovian transition matrix and the conditional density function allowed us to formulate the conclusion about the weak performance repeatability of pension funds.

Suggested Citation

  • Rafał Buła, 2020. "Transition matrix and stochastic kernel for repeatability assessment of performance of Polish open pension funds," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(2), pages 984-1005, December.
    • Handle: RePEc:ssi:jouesi:v:8:y:2020:i:2:p:984-1005
    DOI: 10.9770/jesi.2020.8.2(60)
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    References listed on IDEAS

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    1. Krzysztof Kompa & Dorota Witkowska, 2014. "Pension Funds in Poland: Efficiency Analysis for Years 1999-2013," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 14, pages 105-124.
    2. Brzeszczyński, Janusz & Bohl, Martin T. & Serwa, Dobromił, 2019. "Pension funds, large capital inflows and stock returns in a thin market," Journal of Pension Economics and Finance, Cambridge University Press, vol. 18(3), pages 347-387, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    pension fund; Markov chain; performance repeatability; transition matrix; stochastic kernel;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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