Title: Performance of active and passive management of Slovak's pension funds in return-risk space

Authors: Martin Dluhoš

Addresses: Faculty of Business Economics with seat in Košice, Department of Quantitative Methods, University of Economics in Bratislava, Tajovského 13, 040 01 Košice, Slovak Republic

Abstract: The goal of the paper is to quantify the performance of actively and passively managed pension funds within the second pension management pillar in Slovakia during the period 2012-2017 in return-risk space and to provide an answer to the question: Can actively managed funds beat passively managed funds in Slovakia? The results of this paper are compared with results in other research from different countries. The results indicate that actively managed funds statistically significantly do not beat performance of passively managed funds. The results are in agreement with research from USA, Republic of Korea and Russia, where active management does not beat performance of passive investment over the long period. The results confirm that neither Slovak pension actively funds cannot beat performance of passively managed funds. This empirical research represents the support and recommendation for the Slovak government to shift investment policy from active management to passive management.

Keywords: second pension pillar; mean-variance analysis; active and passive management.

DOI: 10.1504/IJTGM.2018.097266

International Journal of Trade and Global Markets, 2018 Vol.11 No.4, pp.306 - 322

Received: 15 Nov 2017
Accepted: 30 May 2018

Published online: 01 Jan 2019 *

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