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master's thesis
Analiza uspješnosti ulaganja otvorenih dobrovoljnih mirovinskih fondova u Republici Hrvatskoj
Zagreb: University of Zagreb, Faculty of Economics and Business, 2022. urn:nbn:hr:148:625029
Bosnar, Lara
University of Zagreb
Faculty of Economics and Business
Department of Managerial Economics

Institutional repository: REPEFZG

Cite this document

Bosnar, L. (2022). Analiza uspješnosti ulaganja otvorenih dobrovoljnih mirovinskih fondova u Republici Hrvatskoj (Master's thesis). Zagreb: University of Zagreb, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:148:625029

Bosnar, Lara. "Analiza uspješnosti ulaganja otvorenih dobrovoljnih mirovinskih fondova u Republici Hrvatskoj." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2022. https://urn.nsk.hr/urn:nbn:hr:148:625029

Bosnar, Lara. "Analiza uspješnosti ulaganja otvorenih dobrovoljnih mirovinskih fondova u Republici Hrvatskoj." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2022. https://urn.nsk.hr/urn:nbn:hr:148:625029

Bosnar, L. (2022). 'Analiza uspješnosti ulaganja otvorenih dobrovoljnih mirovinskih fondova u Republici Hrvatskoj', Master's thesis, University of Zagreb, Faculty of Economics and Business, accessed 19 November 2024, https://urn.nsk.hr/urn:nbn:hr:148:625029

Bosnar L. Analiza uspješnosti ulaganja otvorenih dobrovoljnih mirovinskih fondova u Republici Hrvatskoj [Master's thesis]. Zagreb: University of Zagreb, Faculty of Economics and Business; 2022 [cited 2024 November 19] Available at: https://urn.nsk.hr/urn:nbn:hr:148:625029

L. Bosnar, "Analiza uspješnosti ulaganja otvorenih dobrovoljnih mirovinskih fondova u Republici Hrvatskoj", Master's thesis, University of Zagreb, Faculty of Economics and Business, Zagreb, 2022. Available at: https://urn.nsk.hr/urn:nbn:hr:148:625029

Metadata
TitleAnaliza uspješnosti ulaganja otvorenih dobrovoljnih mirovinskih fondova u Republici Hrvatskoj
Title (english)Performance analysis of voluntary pension funds in the Republic of Croatia
AuthorLara Bosnar
MentorDenis Dolinar (mentor)
Committee memberDenis Dolinar (predsjednik povjerenstva)
Committee memberDavor Zoričić (član povjerenstva)
Committee memberEna Pecina (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Economics and Business
(Department of Managerial Economics)
Zagreb
Defense date and country2022-09-30, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Economics of Entrepreneurship
Abstract
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.
Abstract (english)
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.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:148:625029
Study programmeTitle: Business Economics
Study programme type: university
Study level: integrated undergraduate and graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to authenticated users
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Created on2022-09-30 09:08:18