| Title |
Measurement of performance of Lithuanian II pillar pension funds using benchmark and rolling window technique / |
| Authors |
Kabašinskas, Audrius ; Kopa, Miloš ; Šutienė, Kristina ; Lakštutienė, Aušrinė ; Malakauskas, Aidas |
| DOI |
10.15388/DAMSS.13.2022 |
| ISBN |
9786090707944 |
| eISBN |
9786090707951 |
| Full Text |
|
| Is Part of |
DAMSS 2022: 13th conference on data analysis methods for software systems, Druskininkai, Lithuania, December 1–3, 2022 / Lithuanian computer society, Vilnius university Institute of data science and digital technologies, Lithuanian academy of sciences.. Vilnius : Vilnius university press, 2022. p. 39.. ISBN 9786090707944. eISBN 9786090707951 |
| Abstract [eng] |
In this research, we analyse how to measure the performance of Lithuanian II pillar pension funds using a benchmark. In a previous conference (Mathematical Models in Economics 2022), we presented how to present the dynamics of simple performance measures (correlation, VaR, CVaR, Average Recovery time, adjusted Sharpe ratio, etc. ). However, it turned out that simple measures describe dynamical performance only partially. Moreover, pension funds typically have their benchmark that they track. However, straightforward measurement of tracking error also has a lot of weaknesses. Therefore, we analyze the performance of pension funds by using only two benchmarks “MSCI world index” and “BB EURO 1−5yr bond index”. There are many ratios based on comparison of asset performance with performance of benchmark. In this research, we use nearly 40 different ratios and reveal the most important ones. Deeper analysis of funds returns suggest to split data analyzed in to specific regime periods (no crisis, crisis in stock markets, crisis in bond market and global financial crisis) and to analyze them separately. Our results reveal that in different regimes performance ratios correlate to each other quite differently. On the other hand, fund returns are stronger correlated during periods of crisis. It is interesting to note that some performance ratios begin to behave “strange” even before true financial crisis has started. Hence, they could be used as early warning indicators of local or global financial crisis. |
| Published |
Vilnius : Vilnius university press, 2022 |
| Type |
Conference paper |
| Language |
English |
| Publication date |
2022 |
| CC license |
|
