Efficiency criteria for pension reserve portfolios management of Russian non-state pension funds

This article analyzes the approaches to the criteria for evaluating the effectiveness of the management of investment portfolios of non-state pension funds when placing funds of pension reserves. The features of the indicators used to assess and analyze the effectiveness of pension reserves/savings management were analyzed: Sharpe, Traynor, Alpha Jensen, Modigliani coefficient, Sortino, Fitting, Omega, modified Sharpe coefficient. A practical analysis of the effectiveness of pension reserve portfolio management was carried out on the basis of statistical data on 31 NPFs for 2016-2020. The analysis showed the need to include the calculation of Sharpe and Alpha Jensen coefficients in the methods of evaluating the effectiveness of portfolio management. It is recommended to use Modigliani and Traynor coefficients to carry out additional analysis, to carry out intra-group and intergroup comparisons, to form additional criteria when forming the rankings of NPFs and their management companies. In addition, it is desirable to use quarterly estimates of profitability, but due to the small number of observations, the use of a modified Sharpe coefficient is not advisable, since this will affect the distortion of the final data.