Comparative analysis of pension funds’ performance in selected countries: are there significant Sharpe ratio differences?

Vollständiger Abstract

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The paper examines the risk-adjusted performance of pension funds for six countries based on country-level Sharpe ratios. Four of the countries are former transition economies (Croatia, Slovakia, Romania, and Bulgaria), which, together with Sweden, comprise the EU member states in the dataset. Chile is added as the sixth, non-EU member country to provide a more internationally balanced sample. Based on monthly data for the period from July 2015 to December 2024, the statistical significance of differences in Sharpe ratios is tested for the same risk-categories across countries and between risk-categories within each country. The Jobson-Korkie-Memmel, Opdyke and Ledoit-Wolf tests are performed. The results of empirical analysis suggest that the performance of pension funds in both A and B risk-categories is statistically significantly different only in instances when pairwise testing involves Croatia. When comparing risk-categories A and B within each country, a statistically significant difference is found only in Bulgaria.