Dorota Witkowska,

University of Lodz, Lodz, Poland,

dorota.witkowska@uni.lodz.pl

POLISH PENSION MARKET PERFORMANCE IN COMPARISON TO SELECTED BENCHMARKS

 Krzysztof Kompa,

Warsaw University of Life Sciences, Warsaw, Poland,

krzysztof.kompa@gmail.com

Abstract. After the great reform of the pension system in Poland in 1999, the several transformations of the new system were performed. The most essential, which changed the rules for the mandatory fully funded pillar, went implemented in 2011 and 2014. The aim of the study is to answer the question if new regulations better protect the retirement savings. To obtain this goal we compare the performance of the pension funds to the actual and hypothetical benchmarks which are constructed according to the changes of the pension system, introduced by the Polish government. The research is provided applying several measures of the investment efficiency, for instance Sharpe, Sharpe-Israelsen, Sortino, Treynor and Jensen ratios.

Received: July, 2016

1st Revision: October, 2016

Accepted: December, 2016

DOI: 10.14254/2071- 789X.2017/10-1/3

JEL Classification: J22

Keywords: pension  funds,  investment  efficiency,  Sharpe  ratios, Treynor  ratio,  Sortino  ratio,  Sharpe-Israelen  ratio,  Sharpe  alpha,  Jensen alpha.