Original scientific paper

https://doi.org/10.3326/fintp.39.3.1

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

Petar-Pierre Matek orcid.org/0000-0003-0152-6920 ; Croatian Financial Services Supervisory Agency, Zagreb, Croatia
Maša Radaković orcid.org/0000-0002-2536-712X ; Croatian Financial Services Supervisory Agency, Zagreb, Croatia

Abstract

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.

Keywords

pension funds; performance attribution; policy return; active return; allocation effect; security selection effect

Hrčak ID:

147644

URI

https://hrcak.srce.hr/147644

Publication date:

14.9.2015.

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