| Abstract [eng] |
The effectiveness of an investment can be evaluated by comparing the addition to the risk of investment return with the risk. The Sharpe ratio was used to make this analysis which shows the number of units of investment return per unit of the risk of investment. Methods used by the Lithuanian pension funds managing companies and the institutions supervising the pension funds are analysed. These methods are used to calculate the results of the second stage pension funds and to evaluate their possibilities. The method presented in the article uses methods of statistical analysis, yield analysis, and the Sharpe ratio, which is different from the methods used by pension fund managing companies and supervision institutions, and which offers the possibility to analyse the effectiveness of the second stage pension fund and to evaluate the capability of the pension funds managing companies to invest with profitable results according to the level of risk. This method allows to compare pension funds of different investment strategies and to choose those that work most successfully according to the best relationship between return and risk. As the analysis showed, the numbers of the Sharpe ratio of one third of the second stage funds are negative because of a small anual return of pension funds and rather big taxes of asset management. The other pension funds, in which the mentioned ratios are positive, not all work effectively. The risk of some pension funds, to compare with the return, is too big. The method presented in the paper allows comparing second stage pension funds with other alternatives of long-term investment, such as pension funds of additional voluntary accumulation (of the third stage) and investment funds. |
