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Izvorni znanstveni članak
https://doi.org/10.17535/crorr.2015.0030

Statistical analyses of the performance of Macedonian investment and pension funds

Petar Taleski ; NLB Nov penziski fond Skopje, Euro College – Kumanovo, Skopje, Macedonia
Vasko Bogdanovski   ORCID icon orcid.org/0000-0003-3979-9932 ; NLB Nov penziski fond Skopje, Skopje, Macedonia

Puni tekst: engleski, pdf (1 MB) str. 387-404 preuzimanja: 357* citiraj
APA 6th Edition
Taleski, P. i Bogdanovski, V. (2015). Statistical analyses of the performance of Macedonian investment and pension funds. Croatian Operational Research Review, 6 (2), 387-404. https://doi.org/10.17535/crorr.2015.0030
MLA 8th Edition
Taleski, Petar i Vasko Bogdanovski. "Statistical analyses of the performance of Macedonian investment and pension funds." Croatian Operational Research Review, vol. 6, br. 2, 2015, str. 387-404. https://doi.org/10.17535/crorr.2015.0030. Citirano 18.06.2019.
Chicago 17th Edition
Taleski, Petar i Vasko Bogdanovski. "Statistical analyses of the performance of Macedonian investment and pension funds." Croatian Operational Research Review 6, br. 2 (2015): 387-404. https://doi.org/10.17535/crorr.2015.0030
Harvard
Taleski, P., i Bogdanovski, V. (2015). 'Statistical analyses of the performance of Macedonian investment and pension funds', Croatian Operational Research Review, 6(2), str. 387-404. doi: https://doi.org/10.17535/crorr.2015.0030
Vancouver
Taleski P, Bogdanovski V. Statistical analyses of the performance of Macedonian investment and pension funds. Croatian Operational Research Review [Internet]. 2015 [pristupljeno 18.06.2019.];6(2):387-404. doi: https://doi.org/10.17535/crorr.2015.0030
IEEE
P. Taleski i V. Bogdanovski, "Statistical analyses of the performance of Macedonian investment and pension funds", Croatian Operational Research Review, vol.6, br. 2, str. 387-404, 2015. [Online]. doi: https://doi.org/10.17535/crorr.2015.0030

Sažetak
The foundation of the post-modern portfolio theory is creating a portfolio based on a desired target return. This specifically applies to the performance of investment and pension funds that provide a rate of return meeting payment requirements from investment funds. A desired target return is the goal of an investment or pension fund. It is the primary benchmark used to measure performances, dynamic monitoring and evaluation of the risk–return ratio on investment funds. The analysis in this paper is based on monthly returns of Macedonian investment and pension funds (June 2011 - June 2014). Such analysis utilizes the basic, but highly informative statistical characteristic moments like skewness, kurtosis, Jarque–Bera, and Chebyishev’s Inequality. The objective of this study is to perform a trough analysis, utilizing the above mentioned and other types of statistical techniques (Sharpe, Sortino, omega, upside potential, Calmar, Sterling) to draw relevant conclusions regarding the risks and characteristic moments in Macedonian investment and pension funds. Pension funds are the second largest segment of the financial system, and has great potential for further growth due to constant inflows from pension insurance. The importance of investment funds for the financial system in the Republic of Macedonia is still small, although open-end investment funds have been the fastest growing segment of the financial system. Statistical analysis has shown that pension funds have delivered a significantly positive volatility-adjusted risk premium in the analyzed period more so than investment funds.

Ključne riječi
desired target return; downside deviation; risks; investments

Hrčak ID: 148269

URI
https://hrcak.srce.hr/148269

Posjeta: 567 *