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Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland

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  • Dariusz Stanko

    (Osaka University & Warsaw School of Economics)

Abstract

The paper is an updated first performance evaluation study of the Polish pension funds operating from 1999. The unconditional performance evaluation models are used. It is shown that pension fund managers did produce additional value due to active management. Therefore, unsatisfactory overall results for the public pension system cannot be attributed to the inefficiency of the investment process. The research presents some facts on pension fundsf investment behaviour (successful diversification, returns clustering around median manager, positive timing skills).

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File URL: http://128.118.178.162/eps/fin/papers/0306/0306002.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0306002.

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Length: 36 pages
Date of creation: 09 Jun 2003
Date of revision:
Handle: RePEc:wpa:wuwpfi:0306002

Note: Type of Document - Acrobat ; prepared on IBM PC; to print on HP/PostScript/Franciscan monk; pages: 36. This is the Pensions Institute Working Paper PI-0308 http://www.bbk.ac.uk/res/pi/wp.html
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Web page: http://128.118.178.162

Related research

Keywords: performance evaluation; pension funds; pension reform;

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References

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  1. David Blake & John Board, 2000. "Measuring Value Added in the Pensions Industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan, vol. 25(4), pages 539-567, October.
  2. Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
  3. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  4. Heber Farnsworth, 2002. "Performance Evaluation with Stochastic Discount Factors," The Journal of Business, University of Chicago Press, vol. 75(3), pages 473-504, July.
  5. Diane Del Guercio & Paula A. Tkac, 2000. "The determinants of the flow of funds of managed portfolios: mutual funds versus pension funds," Working Paper, Federal Reserve Bank of Atlanta 2000-21, Federal Reserve Bank of Atlanta.
  6. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-61, October.
  7. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
  8. Wayne Ferson & Kenneth Khang, 2002. "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers 8790, National Bureau of Economic Research, Inc.
  9. Klaas Baks & Andrew Metrick & Jessica Wachter, . "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research.
  10. Coggin, T Daniel & Fabozzi, Frank J & Rahman, Shafiqur, 1993. " The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 48(3), pages 1039-55, July.
  11. Cesari, Riccardo & Panetta, Fabio, 2002. "The performance of Italian equity funds," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 99-126, January.
  12. Ferson, Wayne & Khang, Kenneth, 2002. "Conditional performance measurement using portfolio weights: evidence for pension funds," Journal of Financial Economics, Elsevier, vol. 65(2), pages 249-282, August.
  13. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc.
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