Performance analysis of voluntary pension funds in the Republic of Croatia

U ovom diplomskom radu uspoređuju se mjere uspješnosti svih otvorenih dobrovoljnih mirovinskih fondova u Republici Hrvatskoj. Temelj rada je analiza profitno-rizičnih obilježja ODMF te se uspoređuje njihova uspješnost ulaganja i sposobnost da budućim umirovljenicima osiguraju prihvatljive prinose, to jest mirovine. Cilj rada je odgovoriti na pitanje koji fond posluje najuspješnije. Analiza je provedena u razdoblju od studenog 2017. godine do lipnja 2022. godine na mjesečnoj razini te su korištene uobičajene mjere uspješnosti ulaganja fondova: Sharpeov omjer, Sortinov omjer, Treynorov omjer i VaR. Obzirom da za navedene mjere ne postoji standardizirani benchmark, odnosno iznos mjere koji određuje posluje li fond uspješno ili ne, omjeri su uspoređeni s burzovnim indeksima CROBIStr i CROBEX. Dobiveni rezultati ukazuju da su svi fondovi poslovali s pozitivnim vrijednostima omjera, osim fonda AZ benefit čiji je prosječni mjesečni prinos manji od nerizične kamatne stope. Buduća uspješnost ulaganja fondova nužno ne ovisi o uspješnosti u prošlosti, što budućim članovima trećeg mirovinskog stupa otežava izbor, ali ukazuje na bitne odrednice poput rizičnosti (volatilnosti) i kretanja prinosa fonda u odnosu na tržište.This graduate thesis compares the performance measures of all voluntary pension funds in the Republic of Croatia. The basis of the paper is the analysis of the profit-risk characteristics of voluntary pension funds and comparison of the funds along with their ability to ensure acceptable incomes of future retirees, or in other words acceptable pensions. Main goal of this thesis is to estimate which voluntary pension fund operates the most successfully. The analysis was conducted in the period from November 2017 to June 2022 on a monthly basis by using usual measures of fund investment performance: Sharpe ratio, Sortino ratio, Treynor ratio and VaR. Considering that standardized benchmark for the mentioned measures does not exist, i.e. the result of calculated measures that determines wheter the fund operates successfully or not, the ratios were compared with the CROBIStr and CROBEX stock market indexes. Results of this analysis indicates that all funds operated with positive values of the ratios, except the AZ benefit fund, whose average monthly yield was lower than the risk-free interest rate. Future performance of the funds does no necessarily depend on their past performance, which makes a difficult choice for future members of the third pension pillar, but on the other hands, their past performance indicates important determinants such as risk (volatility) and the movement of the fund 's yield in regards to the market