Abstrakt
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.