| Abstract [eng] |
Due to the quick development of financial markets, consumers are given more opportunities to make monetary gain using their own money. Depending on personal goals and capabilities they can choose from various forms of investing. There are many ways to employ one’s capital, but one of the easiest is investing in life cycle pension funds. As a result, this research paper presents the system of pension accumulation, the working principles of a pension fund and its evaluation. This research analyzes the logarithmic monetary change of the seven purposive age group pension funds, run and curated by five Lithuanian fund managers, various risk evaluation indexes are calculated. To be certain of the connection between pension funds and their respective comparative indexes, the Granger test and the vine copulas are performed. During the research of risk transmission among pension funds, the distribution of inconsistency in the case of the risk spillover is analyzed. Based on the results, a pension fund risk model is created using dynamic clustering. To objectively evaluate the performance of the funds, the research is divided into six periods, of which the first one is considered a warming period and therefore is disregarded. Considering the composition of the clusters, conclusions regarding fund manager investing strategies, fund similarities and differences are made. |
