Do they beat the market in the new regulatory environment – the case of Polish pension funds

Figures & data

Table 1. Historical pension system framework in the selected CEE countries.

Country	Historical division of contribution between 1st and 2nd pillar [1st/2nd pillar in percentage points of the gross salary]	Foreign assets in the second 2nd
Estonia	16/6	No limits for EFTA and CEFTA countries
Hungary	18,5/8	30 % cap on foreign securities.
Latvia	12/8	No limits for EFTA and CEFTA countries
Poland	12,22/7,3	5 % cap on foreign securities.
Romania	25,5/2	No limits for UE and EEA countries.

Source: Own study based on Chybalski (2011b) and Rajevska (2013).

Table 2. Post-crisis reduction of 2nd pillar contribution in the selected CEE countries.

Country	Historical 2nd pillar contribution	Weakening of the 2nd pillar in the post-crisis period
Estonia	6%	Contribution suspended between 2009 and 2011.
Hungary	8%	Nationalized in 2011.
Latvia	8%	Till 2012 reduced temporarily to 2%. Then, gradually increased.
Poland	7,3%	Reduced to 2.3%. Since 2014 it is 2.92% but it is not mandatory.
Romania	2%	Postponed planned increase in second pillar contribution in 2010, but reintroduced in 2011. In 2017 the contribution rate was 5.1%

Source: Own study based on Chybalski (2011b), Schwarz (2011) and OECD (2015).

Figure 1. Aggregated OFEs portfolio structure as on 31st, January 2014.

Source: own study based on Polish Financial Supervision Authority data (https://www.knf.gov.pl/Images/2014_01_czesc_A_tcm75-36989.xls)

Figure 2. OFEs portfolio structure as on 30th, December 2016.

Source: own study based on Polish Financial Supervision Authority data. (https://www.knf.gov.pl/Images/OFE_dane_mies_201612_tcm75-49032.xls)

Table 3. ADF and KPSS tests of OFE returns.

$j$-th OFE	$ADF$	KPSS
AEGON OFE	−4,9679***	0,1647
Allianz Polska OFE	−5,3624***	0,1403
Aviva OFE Aviva BZ WBK	−5,0046***	0,1508
AXA OFE	−5,2188***	0,1467
Generali OFE	−5,1978***	0,1510
MetLife OFE	−5,076***	0,1354
Nationale-Nederlanden OFE	−5,5246***	0,1366
Nordea OFE	−5,1967***	0,1467
Pekao OFE	−5,2441***	0,1501
PKO BP Bankowy OFE	−5,1380***	0,1461
OFE Pocztylion	−5,4377***	0,1301
OFE PZU Złota Jesień	−5,4176***	0,1383

Note: *** - significant at 1%, ** - significant at 5%, * - significant at 10%.

Table 4. Correlation matrix of OFE monthly returns.

	AEGON OFE	Allianz Polska OFE	Aviva OFE Aviva BZ WBK	AXA OFE	Generali OFE	MetLife OFE	Nationale-Nederlanden OFE	Nordea OFE	Pekao OFE	PKO BP Bankowy OFE	OFE Pocztylion	OFE PZU Złota Jesień
AEGON OFE	1,0000
Allianz Polska OFE	0,9781	1,0000
Aviva OFE Aviva BZ WBK	0,9813	0,9918	1,0000
AXA OFE	0,9738	0,9856	0,9955	1,0000
Generali OFE	0,9826	0,9887	0,9899	0,9852	1,0000
MetLife OFE	0,9743	0,9834	0,9871	0,9828	0,9800	1,0000
Nationale-Nederlanden OFE	0,9660	0,9856	0,9902	0,9882	0,9828	0,9811	1,0000
Nordea OFE	0,9829	0,9903	0,9932	0,9900	0,9845	0,9882	0,9849	1,0000
Pekao OFE	0,9780	0,9908	0,9942	0,9907	0,9876	0,9809	0,9885	0,9907	1,0000
PKO BP Bankowy OFE	0,9749	0,9812	0,9863	0,9847	0,9791	0,9832	0,9792	0,9833	0,9847	1,0000
OFE Pocztylion	0,9751	0,9953	0,9901	0,9868	0,9858	0,9859	0,9868	0,9915	0,9884	0,9832	1,0000
OFE PZU Złota Jesień	0,9612	0,9756	0,9790	0,9762	0,9711	0,9732	0,9850	0,9755	0,9825	0,9807	0,9759	1,0000

Source: Own study based on Polish Financial Supervision Authority data.

Table 5. OFEs portfolio performance: Sharp ratio and PCM estimates and t-statistics.

$j$-th OFE	${SR}_j$	$\overline{PC{M}_J}$in %	t-stat (for ${PCM}_j$)	p-value
AEGON OFE	0,1015	−0,0143	−1,2886	0,8968
Allianz Polska OFE	0,1263	0,0119	1,2547	0,1092
Aviva OFE Aviva BZ WBK	0,1108	0,0001	0,0099	0,4960
AXA OFE	0,1451	0,0035	0,5430	0,2954
Generali OFE	0,0432	0,0142	2,2632**	0,0152
MetLife OFE	0,1386	0,0030	0,2886	0,3873
Nationale-Nederlanden OFE	0,0763	0,0072	0,9494	0,1746
Nordea OFE	0,1193	0,0075	1,4525*	0,0779
Pekao OFE	0,0858	0,0033	0,6971	0,2453
PKO BP Bankowy OFE	0,1398	0,0041	0,7833	0,2195
OFE Pocztylion	0,1108	0,0003	0,0232	0,4908
OFE PZU Złota Jesień	0,1183	0,0028	0,3958	0,3474

Note: ** - significant at 5% level, * - significant at 10% level.

Source: own study based on Polish Financial Supervision Authority data.

Schwarz, A. M. (2011). New realities of pension policy in Central Europe. Proceedings of Pension Systems in Emerging Europe: Reform in the Age of Austerity. London: EBRD.

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OECD. (2015). Pensions at a Glance 2015: OECD and G20 indicators. Paris: OECD Publishing.

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