Statistical analyses of the performance of Macedonian investment and pension funds

Abstract

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 openend 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.