Home  Journals  Financial Analytics: Science and Experience  33(219) - 2014 September

Assessment of external and internal factors affecting the effectiveness of activities of pension management companies

Available online: 30 August 2014

Subject Heading: Financial market

JEL Classification: 

Pages: 2-8

The article provides an estimation of efficiency of activities of 46 companies, which managed pension savings for the period of 2004-2012 on the basis of the DEA (Data Envelopment Analysis) methodology application. The authors point out that the used DEA model considered the portfolios of the management companies as a unit of decision making, which transform the risk, human and financial capital in an active returns and quality of diversification. The paper describes the measure of incoming risk, which was assumed as follows: the average for the quarter conditional value at risk (Conditional VaR) of the CVaRs portfolio. With respect of the measure of human capital, the paper assumes portfolio management fees within the framework of the activities of a particular investment portfolio and as a measure of financial capital - net assets value (NAV). The quality of portfolio NAV diversification was determined through the covariance of proportions of asset portfolio. The active returns, defined as the excess return over the benchmark yield portfolio (yield of benchmark applications of asset classes in the portfolio) served as earnings yield. The authors emphasize that the panel regression facilitated detection of the external factors (the exchange rate index of the Moscow Interbank Currency Exchange (MICEX) and the interbank sector rates for loans placement) and internal factors (balanced strategy of investment portfolios management, life of the portfolio and seasonality), which affect the efficiency of the activities of the asset management companies. On the basis of calculations, the paper revealed that the most optimal investment strategy is balanced strategy and that a large proportion of assets such as the blue-chip stocks and the amount of monetary assets in the accounts impacted negatively on the performance of portfolio management. The authors identify the seasonality in the investment portfolio management and underline that the third quarter turns out as the most difficult quarter for company. The lifetime of the investment portfolio had a negative impact on the efficiency of its management. This is due to the increase in total net asset value, as well as because of the restrictions imposed by trust agreements that reduce the degree of assets diversification.

Keywords: Management Company, retirement savings, DEA (Data Envelopment Analysis), macroeconomic, financial factor, panel regression

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