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Investigation of the Methods of Investing Pension Savings in Russia and in the World
[Исследование Методов Инвестирования Пенсионных Накоплений В России И В Мире]

Author

Listed:
  • Abramov, Alexander E. (Абрамов, Александр Е.)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Akshentseva, Ksenia (Аксентьева, Ксения)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Radygin, Alexander (Радыгин, Александр)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA), Gaidar Institute for Economic Policy)

  • Chernova, Maria I. (Чернова, Мария)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

Abstract

The authors conducted an analysis of the effectiveness of managing the pension savings portfolio of APF for 2005-2016. It is shown that in the long-term time interval, pension accumulation portfolios in APFs have not yet managed to outbid inflation. The gap between the profitability of APF portfolios and the profitability of investing pension savings on individual pension accounts of citizens in APF remains significant. Based on the existing structure of pension portfolios in APF, the potential profitability of their portfolios was calculated, which turned out to be almost 3 percentage points higher than the actual yield from portfolio management published by APF. The analysis of yields of APF portfolios taking into account the risk has shown that at a 10-year time horizon, the profitability of funds lies close to the set of optimal portfolios for Markowitz. This suggests that the main problem in the effectiveness of portfolio management of pension savings lies not in the effectiveness of the APF itself, but in the limitations of the instruments of the domestic market from the point of potential of profitability and risk.

Suggested Citation

  • Abramov, Alexander E. (Абрамов, Александр Е.) & Akshentseva, Ksenia (Аксентьева, Ксения) & Radygin, Alexander (Радыгин, Александр) & Chernova, Maria I. (Чернова, Мария), 2018. "Investigation of the Methods of Investing Pension Savings in Russia and in the World [Исследование Методов Инвестирования Пенсионных Накоплений В России И В Мире]," Working Papers 031814, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:031814
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