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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Nikolai Melnik
Testing of the Performance of the Russian Pension Funds' Managers
Strategic Corporate Finance
(Master’s programme)
8
2017
The Master Thesis analyzes the Russian pension funds` performance over a period from 2005 to 2016. Data consists of quarterly yields of funds. Despite the fact that there is a sufficient number of foreign empirical studies in this area, the problem of evaluating the effectiveness remains unsolved. Moreover, there is only limited research on testing of the performance of the Russian pension funds' managers. Sharpe ratio and Jensen`s alpha were used as basic measures of testing of pension funds’ performance. According to Sharpe ratio 4% of Russian non-state pension funds are efficient and only 2% are efficient according to Jensen’ alpha. The accumulative part of pension is managed efficiently in some cases, that is the funds` managers have skills and demonstrate stable and positive long-term results. In spite of this fact, it is difficult to choose right NSPF with skilled managers. Performance measures, provided in current research, help to overcome this problem. Index investing strategy generates profits in long-term, but it is not the best decision. The state fund VEB does not overcome inflation and demonstrate results worse than some non-state pension funds.

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