Performance Evaluation of Lithuanian II Pillar Pension Funds Using Rolling Window Technique

ABSTRACT

This paper presents results of performance evaluation of Lithuanian II pillar pension funds using rolling window technique. The Lithuanian pension system has three pillars mandatory (Ist, social insurance system), quasi-optional (IInd, life-cycle pension funds) and optional (IIIrd, any kind of pension funds or insurance). Investments in II pillar from standard funds were changed to life-cycle funds in 2019. To reveal different behavior of market risk and performance of funds, we used 120 days windows (rolled by 1 day). Risk-adjusted performance of funds was measured by employing mean return, average recovery and Sharpe-based ratios such Calmar ratio, Sortino ratio, adjusted Sharpe ratio, VaR Sharpe ratio. However, to describe market risk we only focused on 5 special time windows related to COVID-19.