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Analiza polityki inwestycyjnej otwartych funduszy emerytalnych w Polsce w latach 2001–2009. Ocena stylu zarządzania przy braku zewnętrznych benchmarków

100%
Prosowicz G.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2011
|
issue 875
115-130
EN
This study attempts to explain the essence of active management and highlights trends in the investment policy of open pension funds from 2001 to 2009 in Poland. An analysis of pension fund investments leads to the conclusion that the pension fund industry is moving towards a passive management model. The results of the study produced no evidence that any of the funds could significantly beat the market average or the main stock index, nor did analysis of result repeatability bear out the existence of extraordinary skill among pension fund managers.
2

Analiza źródeł wyników portfeli akcyjnych otwartych funduszy emerytalnych w Polsce z wykorzystaniem metodyki performance attribution

86%
Prosowicz G.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2012
|
issue 877
59-74
EN
Examining the equity part of open pension fund (OFE) portfolios in January and February 2009, this study looks at performance attribution methodology used to analyze the sources of portfolio performance against the benchmark. It found a significantly negative impact of decisions on sector allocation against the WIG index. An important contribution of the study is its comparison of results based on various attribution methods and smoothing algorithms. Special attention is paid to the differences between two fundamental approaches to the calculation and presentation of performance: arithmetic and geometric.
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