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Hlaváč, Jan
Year of Publication: 
Series/Report no.: 
IES Working Paper 9/2011
This paper focuses on the comparison of financial performance of the Czech voluntary private pension scheme with five other reformed private pension schemes in the region of Central Eastern Europe (Bulgaria, Croatia, Hungary, Poland and Slovak Republic). The current state and the recent development of the Czech private pension scheme are analyzed in the first part of the paper. In the main part of this work we construct the dataset of periodic scheme returns covering the last decade, and estimate the schemes Sharpe ratios (SR) for four reference benchmarks. The findings suggest that except for Poland none of the schemes managed to beat its long-term domestic benchmark (10-year government bonds) as the SRs estimates turn out to be negative. The highest underperformance was found in the case of the Czech Republic. Such poor results were assigned to the presence of restrictive annual minimum return guarantees and ineffective legislation arranging the PF costs allocation.
Private pension schemes
Czech voluntary pension scheme
financial performance
Sharpe ratio
Document Type: 
Working Paper
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