Thesis (Selection of subject)

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The performance of the Czech Private Pension scheme: Current Design and its position within CEE countries

Thesis title in Czech:	Výkonnost českého systému penzijního připojištění: současný stav a jeho pozice ve střední a východní Evropě
Thesis title in English:	The performance of the Czech Private Pension scheme: Current Design and its position within CEE countries
Key words:	Pensions, performance, Sharpe ratio
English key words:	Pensions, performance, Sharpe ratio
Academic year of topic announcement:	2010/2011
Thesis type:	diploma thesis
Thesis language:	angličtina
Department:	Institute of Economic Studies (23-IES)
Supervisor:	doc. Ing. Ondřej Schneider, M.Phil., Ph.D.
Author:	hidden - assigned by the advisor
Date of registration:	13.01.2011
Date of assignment:	14.01.2011
Date and time of defence:	02.02.2011 00:00
Venue of defence:	IES
Date of electronic submission:	14.01.2011
Date of proceeded defence:	02.02.2011
Opponents:	doc. Ing. Vladimír Benáček, CSc.

References

1. Antolin, P. (2008), "Pension Fund Performance", OECD Working Papers on Insurance and Private Pensions, No. 20, OECD publishing.

2. Antolin, P. and F. Stewart (2009): “Private Pensions and Policy Responses the Financial and Economic Crisis”, OECD Working Papers on Insurance and Private Pensions No. 36, OECD publishing.

3. Basak, S. and Makarov, D. (2008): “Strategic Asset Allocation with Relative Performance Concerns”, Working Paper, London Business School.

4. Benartzi, S. and Thaler, R. (2007): “Heuristics and Biases in Retirement Savings Behavior”, Journal of Economic Perspectives 21 (3): 81–104.

5. Bodie, Z., Kane, A. and Marcus, A. J. (1993): “Investments”, 2nd edition, Irwin, Homewood, Illinois.

6. Bohl, M., Lischewski, J. and Voronkova, S. (2010): “Pension Funds’ Performance in Strongly Regulated Industries in Central Europe: Evidence from Poland and Hungary”, Institute for International Integration Studies, Discussion paper No.247.

7. Campbell, J. Y. and Viceira, L. (2002): “Strategic Asset Allocation: Portfolio Choice for Long-term Investors”, Oxford University Press.

8. Campbell, J. Y. (2006): “Household Finance”, Journal of Finance 61: 1553-1604.

9. Castañeda and Rudolph, (2009): “Portfolio Choice, Minimum Return Guarantees, and Competition in Defined Contribution Pension Systems”, Working Paper, published in World Bank (2010) project on Investment Performance of Privately Managed Pension Funds.

10. Clark, R., L., Morrill, M., S. and Allen, S., G. (2010): “Pension Plan Distributions: The Importance of Financial Literacy“, Pension Research Council Working Paper No. 27.
11. EC (2010): “Progress and key challenges in the delivery of adequate and sustainable pensions in Europe“, European Economy, occasional Paper n. 71.

12. Edwin, E. J. and Gruber M. J. (1991): “Modern Portfolio Theory and Investment Analysis”, 4th edition. New York: John Wiley & Sons.

13. Guardiancich, I. (2010): “Poland - Current pension system: first assessment of reform outcomes and output”, Country report, European Social Observatory.

14. Harding, D. (2002): “Critique of the Sharpe Ratio”, Winton capital Management.

15. Haugen, R. A. (1993): “Modern Investment Theory“, 3rd edition. Englewood Cliffs, NJ: Prentice-Hall.

16. Lusardi, A. and Mitchell, O., S. (2006): “Financial Literacy and Planning: Implications for Retirement Wellbeing,” Tech. rep., Pension Research Council, Wharton School, University of Pennsylvania.

17. Jackson, M. and Stauton, M (2002): “Advanced modelling in finance using Excel and VBA“, Wiley & Sons.

18. Jelinek, T. and Schneider, O. (1997): ”An analysis of the voluntary pension fund system in the Czech Republic” in Müller, K. Ryll, A. and Wagener, H., J. (1999): “Transformation of Social Security: Pensions in Central-Eastern Europe”, Heidelberg and New York: Physica-Verlag.

19. Karacabey A. and Gokgoz, F. (2006): “Investment style analysis for the Turkish individual retirement funds”, Investment Management and Financial Innovations, Vol. 3, Issue 2, 88-104.

20. Lo, A. (2002) “The Statistics of Sharpe Ratios”, Financial Analysts Journal 58 (4): 36-52.

21. Lobosco, A. (1999): “Style/Risk-adjusted performance”, The Journal of Portfolio Management Vol. 25, No. 3.

22. Markowitz, H. (1952): “Portfolio Selection“, Journal of Finance, 7(1), 77-91.

23. OECD (2010): “Pension Markets in Focus”, Issue 7.

24. Radcliff, R. C. (1990): “Investment Concepts, Analysis, Strategy“, 3rd edition. New York: HarperCollins.

25. Reilly, F. K. (1989): “Investment Analysis and Portfolio Management“, 3rd edition. Chicago: The Dryden Press.

26. Rudolph, H.P., Hinz, R., Antolin, P. and Yermo J. (2010): “Evaluating the Financial Performance of Pension Funds”, Chapter 1 in World Bank (2010) project on Investment Performance of Privately Managed Pension Funds.

27. Sharpe, W. F. (1966): "Mutual Fund Performance", Journal of Business 39 (S1).

28. Sharpe, W. F. (1992): “Asset Allocation: Management Style and Performance Measurement“, Journal of Portfolio Management, 18, 7-19.
29. Sharpe, W. F. (1994): "The Sharpe Ratio". Journal of Portfolio Management 21 (1).

30. Stanko, D. (2003): “Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland“, The Pensions Institute Birkbeck College, University of London, Discussion Paper PI-0308, 1–32.

31. Tapia, W. (2008a), "Comparing Aggregate Investment Returns in Privately Managed Pension Funds: An Initial Assessment", OECD Working Papers on Insurance and Private Pensions, No. 21, OECD publishing.

32. Tapia, W. (2008b), "Description of Private Pension Systems", OECD Working Papers on Insurance and Private Pensions, No. 22, OECD publishing.

33. Tapia, W. and Yermo, J. (2008): “Fees in Individual Account Pension Systems: A Cross-Country Comparison”, OECD Working Papers on Insurance and Private Pensions, No. 27, OECD Publishing.

34. Walker, E., and Iglesias, A. (2007): “Financial Performance of Pension Fund Systems around the World: An Explanatory Study“, report prepared for the OECD – World Bank 2010 project on Investment Performance of Privately Managed Pension Funds.

35. World Bank (1994): “Averting the old age crisis”, World Bank Policy Research Report, World Bank, Washington, D.C.

36. Zalewska, A. (2006): “Is locking domestic funds into the local market beneficial? Evidence from the Polish pension reforms“, Emerging Markets Review, 7(4), 339-360.

E-sources:
1. http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/cs/dohled_financni_trh/souhrnne_informace_fin_trhy/archiv/penzijni_fondy/VZ_PF_2002.pdf , (downloaded: 1.8.2010)

2. http://www.reuters.com/article/idUSLDE6BT11Y20101230, (5.1.2011)

3. http://hnonline.sk/ekonomika/c1-48881860-treti-pilier-v-tomto-roku-zarobil, (1.1.2011)

Data sources:
1. Annual reports of the Association of Pension Funds of the Czech Republic (1996-2009).

2. Annual reports of the Czech pension funds 2000-2010.

3. Polish Financial Supervisory Authority.

4. Hungarian Financial Supervisory Authority.

5. The association of Slovakian Pension Funds Management Companies.

6. Bulgarian Association of Supplementary Pension Security Companies.

7. Raiffeisen Mandatory Pension Fund Management Company Plc. (Croatia)

8. European Central Bank

9. EUROSTAT

10. The Czech Ministry of Finance

11. Czech National Bank

12. Global Financial Database

13. MSCI