| Abstract [eng] |
This master's work target is to perform Lithuania's second stage pension funds analysis of the period from 01/01/2007 to 12/31/2013. Also determine the phases of the business cycle, based on the S&P 500 index historical data. According to the information given on the website of The Bank of Lithuania - pension funds under the risk groups are divided into four groups by the number of stocks they contain (a conservative investment, low part of stocks, the average part of stocks and stocks pension funds). So in this work performed a cluster analysis and the target was to approve or deny that the pension funds are distributed into four risk groups. The results, which obtained with both hierarchical and k-means methods, showing that the pension funds are divided into three similarity groups, but not into four groups.
To determine the business cycle phases, based on technical analysis indicators - Bollinger bands, MACD indicator and MACD histogram. These are the main indicators applied by investors. It was found that during the period, cycle of its direction changed six times - received 6-cycle phases.
Pension funds evaluate the effectiveness of applied Sharpe, Treynor and Sortino ratios. Once the most effective pension fund in each of the four pension fund groups was assessed, then performed an analysis of the business cycle phases. The results show that the most effective funds in 1st phase are those that belong to the conservative investment pension funds and in 2nd and 6th phases the most efficient funds are those that belong to the average part of stocks or stocks pension funds groups. |
