Title: The performance of pension funds: the case of Italy
Abstract: The paper investigates the performance of pension funds with reference to recent innovation in Italian regulation. The aim is to evaluate the choice of Italian workers in terms of risk-return trade off. The reform of complementary pension system forces Italian workers to decide whether to invest these outflows in pension funds or retain a special provision which can be assimilated to a risk-free investment. In the first case they bear the risk of stochastic returns, while in the second case they earn a certain rate linked to inflation rate defined by regulation. As an investor in CAPM, the choice of the workers can be regarded in terms of risk-premium where the traditional risk-free rate is substituted by special provision rate. Under this assumption, the traditional measures of risk-adjusted performance, Sharpe and Treynor, are applied to a sample of Italian pension funds. The analysis is also extended to evaluate the ability of Italian fund managers (Jensen’s alpha) and to measure the active risk due to their investment strategy (tracking error volatility). The results suggest the absence of a risk-premium with respect to other kind of investment and strategy.
Publication Year: 2017
Publication Date: 2017-03-26
Language: en
Type: article
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Cited By Count: 2
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