Is active management of mandatory pension funds in Croatia creating value for second pillar fund members?

This paper analyses Croatian mandatory pension funds' investment returns during the 2005-2014 period using performance attribution methodology. Results from active investment management are compared to a long-term policy return. Such analysis is essential to shed light on the contribution of ac...

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Bibliographic Details
Published inFinancial theory and practice Vol. 39; no. 3; pp. 245 - 278
Main Authors Matek, Petar-Pierre, Radakovic, Masa
Format Journal Article Paper
LanguageEnglish
Published Institut za javne financije 01.09.2015
Institute of Public Finance
Subjects
active return
allocation effect
Croatia
Financial management
Investment
Investment returns
Pension funds
Pension schemes
performance attribution
policy return
Portfolio management
security selection effect
Social security
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Summary:This paper analyses Croatian mandatory pension funds' investment returns during the 2005-2014 period using performance attribution methodology. Results from active investment management are compared to a long-term policy return. Such analysis is essential to shed light on the contribution of active portfolio management in the second pillar pension scheme. Evidence suggests that in the period analysed portfolio managers have added value through active management decisions. In addition, we determined the sources of portfolio return by breaking down active return into policy, tactical asset allocation and security selection effect.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
147644
ISSN:1846-887X
1845-9757
1845-9757
DOI:10.3326/fintp.39.3.1