Long Term Passive Investment Strategies as a Part of Pension Systems

Chovancová, Božena; Árendáš, Peter

doi:10.14254/2071-789x.2015/8-3/4

Cited by 4 publications

(2 citation statements)

References 6 publications

(3 reference statements)

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“…real value of saveings for retiree, compulsory saveings influence on financial bubble. A notable example one can find in Chovancova and Arendas (2015). They compared long term passive investment on money and stock market.…”

Section: Literature Reviewmentioning

confidence: 99%

Does efficiency of the Nordic pension system evolve after crisis?

Brycz¹

2018

Journal of International Studies

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This study examines efficiency of the pension system in the Nordic countries in comparison to other European counterparts using efficiency indicators proposed by Chybalski (2016). Principal Component Analysis (PCA) is used to check weather Nordic Countries forms a cluster-it is possible to extract Nordic Countries from European Countries by their pension system efficiency before and after 2008 crisis. PCA was applied to the year 2008 and 2013 to investigate whether 2008-financial crisis changed pension system efficiency. According to our analysis pension systems in Iceland, Norway and Sweden are very efficient in terms of labour market and forms a cluster both before and after financial crisis. Denmark and Finland don't differ significantly from the rest of analysed European countries.

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Section: Literature Reviewmentioning

confidence: 99%

Does efficiency of the Nordic pension system evolve after crisis?

Brycz¹

2018

Journal of International Studies

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“…Two long term investment strategies, namely the long term regular investing into the conservative money market instruments and indexing in three countries during the period of last almost thirty years, have been compared by Chovancová and Árendáš (2015) in order to apply it as a base of capitalization pillars of pension systems. They have shown except that in the long term the impacts of market turbulences are eliminated by cost averaging effect of regular investments, between 1985 and 2014 indexing strategy has experienced better outcomes than investments into the deposit accounts, treasury bills or other instruments of short maturities.…”

Section: Comparison Of Actively and Passively Managed Fundsmentioning

confidence: 99%

Comparison of ETF´s performance related to the tracking error

Dorocáková

2017

Journal of International Studies

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Abstract. With the development of financial markets, there is also immediate expansion of fund industry, which is a representative issue of collective investment. The purpose of index funds is to replicate returns and risk of underling index to the largest possible extent, with tracking error being one of the most monitored performance indicator of these passively managed funds. The aim of this paper is to describe several perspectives concerning indexing, index funds and exchange-traded funds, to explain the issue of tracking error with its examination and subsequent comparison of such funds provided by leading investment management companies with regard to different methods used for its evaluation. Our research shows that the decisive factor for occurrence of copy deviation is fund size and fund´s stock consolidation. In addition, performance differences between exchange-traded fund and its benchmark tend to show the signs of seasonality in the sense of increasing in the last months of a year.

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Exploring the Gibson law in CEE countries using a time series approach

Škare¹,

Tomić²,

Porada-Rochoń³

2018

E+M

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This study investigates the presence of the Gibson paradox in the transitional countries. The Gibson law has been a source of widespread academic discussion on the dynamics of long-term interest rates and the price level. Today the Gibson law re-emerges on the economic science stage since historically low-interest rates and defl ationary pressures are present worldwide. This paper studies the correlation between cyclical components of interest rates and prices for CEE (Central and Eastern Europe) states over the 2000-2014 period. Empirical results show only a weak correlation between the cyclical components implying no long run (cointegrating) relationship between bond yields and prices. Evidence presented in the study shows Gibson law is not valid for the CEE states, advancing the possibility that fi xed exchange regimes, lack of the gold reserves, and monetary stabilisation policies are the forces driving the law outside the CEE area. The results show that Gibson paradox is not present in CEE states but also point to the possible non-linear nature of the paradox. In order to investigate the non-linear nature of the paradox in CEE, because of constant changes and adaptation of the monetary policies in CEE states, future studies should use a long memory approach. The paper shows limited theoretical explanation for the non-existent Gibson law in CEE economies but still advances an explanation-lack of gold reserves, fi xed exchange regimes and restrictive monetary policy. Policy makers should monitor the nature of the paradox in relation to the historically low levels of interest rates in order to avoid or at least alleviate future fi nancial crisis.

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Long Term Passive Investment Strategies as a Part of Pension Systems

Cited by 4 publications

References 6 publications

Does efficiency of the Nordic pension system evolve after crisis?

Does efficiency of the Nordic pension system evolve after crisis?

Comparison of ETF´s performance related to the tracking error

Exploring the Gibson law in CEE countries using a time series approach

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