Privačių antros pakopos pensijų fondų investicinės veiklos ir investavimo rizikos analizė

Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Knygos dalis / Part of the book
Language:
Lietuvių kalba / Lithuanian
Title:
Privačių antros pakopos pensijų fondų investicinės veiklos ir investavimo rizikos analizė
Alternative Title:
Investment performance and investment risk analysis second pillar pension funds
Authors:
Gudaitis, Tadas
In the Book:
Ekonomikos vystymasis: procesai ir tendencijos : tarptautinės mokslinės-praktinės konferencijos, įvykusios Vilniaus kolegijos Ekonomikos fakultete 2013 m. kovo 20 d., medžiaga. Vilnius: Vilniaus kolegija, 2013. P. 65-82
Subject Category:
LT
Investicijos / Investments; Socialinė apsauga. Pensijos / Social security. Pensions.
Summary / Abstract:

LTStraipsnyje yra atliekama privačių antros pakopos pensijų fondų investicinės veiklos rezultatų ir investavimo rizikos rodiklių analizė. Straipsnyje atliekama detali investicinės veiklos rezultatų analizė, vertinant ne tik apskaitos vieneto vertės pokyčio rezultatą, bet ir kitus investicinės veiklos rezultatus atspindinčius rodiklius. Straipsnyje yra pateikiami pagrindiniai privačių antros pakopos pensijų fondų investicinės veiklos ir investavimo rizikos vertinimo rodikliai bei jų apskaičiavimo formulės. Be to yra atliekama 2008-2011 metų investicinę veiklą ir investavimo riziką atspindinčių rodiklių analizė. [Iš leidinio]Reikšminiai žodžiai: Antros pakopos pensijų fondai; Investavimo rizika; Investicijų valdymas; Investicijų valdymas: Investavimo rizika; Investment; Investment management; Investment risk; Risk; Second pillar pension funds.

ENPrivate fully funded second pillar pension funds' investment performance and investment risk indicators for 2008-2011 years period are analysed in the paper. Systemic analysis of scientific literature and statistical comparable analysis of investment performance and investment risk indicators is done in the paper. The second pillar pension fund system is based on fully funded principals. The investment performance results of private second pillar pension funds are monitored continuously since its establishment. However private second pillar pension fund investment performance results and investment risk have not been deeply analyzed and evaluated in the scientific literature till now. An analysis of investment unit price change and net investment return in 2008-2011 years period showed that value variation of these indicators is significantly higher within second pillar pension funds' groups with higher investment risk. High fluctuations of pension fund assets can significantly reduce accumulated capital and lead to negative consequences for relatively older pension fund participants, whose retirement age starts within short period of time (in 5 years old or less). In addition, investment unit price change of a major part of the second pillar pension funds was lower than the corresponding change of the benchmark.The negative difference between these indicators shows that the private second pillar pension funds' managers activities does not add value to the extent, that direct investments into components of a benchmark. Beta analysis showed that 3/4 of private second pillar pension funds' Beta is below 1. It shows that the majority of private second pillar pension funds are choosing more conservative investment strategy, compared with the benchmark. Alpha analysis showed that the majority of the second pillar pension funds Alpha value was positive. Detailed investment risk and investment performance analysis allows evaluate private second pillar pension funds performance and compare it with other pension funds. [From the publication]

Subject:
Ekonomika / Economics
Related Publications:
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https://www.lituanistika.lt/content/47751
Updated:
2020-06-12 12:48:11
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