Sustaining in Uncertain Time: Investigating Pension Fund Performance during Market Stress

Aušrinė Lakštutienė; Kristina Sutiene; Audrius Kabasinskas; Aidas Malakauskas; Milos Kopa

doi:10.5755/j01.ee.36.1.36796

Authors

Aušrinė Lakštutienė Kaunas University of Technology, Lithuania
Kristina Sutiene Kaunas University of Technology, Lithuania
Audrius Kabasinskas Kaunas University of Technology, Lithuania
Aidas Malakauskas Kaunas University of Technology, Lithuania
Milos Kopa Kaunas University of Technology, Lithuania; Charles University, Czech Republic

DOI:

https://doi.org/10.5755/j01.ee.36.1.36796

Keywords:

Pension Funds, Market Stress, Short-Term Risk, Long-Term Risk, Change Point Detection

Abstract

The academic discourse on stress in the global economy and financial markets has ignited discussions regarding regulatory oversight of pension fund management and investment strategies. This study investigates how pension funds (PF) respond to short-term and long-term risks, as well as their recovery periods following market shocks. To address these inquiries, we classify financial market stress, considering both short-term and long-term risks. Utilizing the change point detection technique and Bayesian average (Zhao et al., 2019), we analyse shifts in the dynamics of PF values managed by SEB and Swedbank from 2004 to 2023. The research explores not only timings and the number of change points but also their likelihood over time. Drawdowns, recovery rates, and timing ratios are particularly insightful for assessing PF performance during crises and market disturbances. These findings contribute to the understanding of PF behaviour in various market conditions and underscore the significance of adaptive investment strategies in navigating financial uncertainties.

Author Biographies

Aušrinė Lakštutienė, Kaunas University of Technology, Lithuania

Aušrinė Lakštutienė Dr. is a professor at the School of Economics and Business, a member of the Sustainable Economics Research Group at Kaunas University of Technology. Research interests are in the areas of risk assessment, financial services development, financial institution management, and business financing sources rationing. ORCID iD 0000-0003-1130-2592.

Kristina Sutiene, Kaunas University of Technology, Lithuania

Kristina Šutienė, Dr., is an Associate Professor at Faculty of Mathematics and Natural Sciences; Field of scientific research: mathematical modeling, artificial intelligence in finance and economics, risk assessment, sustainability. ORCID iD 0000-0001-5412-3194.

Audrius Kabasinskas, Kaunas University of Technology, Lithuania

Audrius Kabasinskas is professor at department of Mathematical modeling, Faculty of Mathematics and Natural Sciences. His field of scientific research: mathematical finance, data analytics, risk measurement, mathematical modeling. ORCID iD 0000-0001-6863-5895.

Aidas Malakauskas, Kaunas University of Technology, Lithuania

Aidas Malakauskas is a PhD of economics and working in AB Swedbank as the Head of Financing Transformation Department. He is also a member of Sustainable Economics Research Group in School of Economics and Business at Kaunas University of Technology. Research interests are in the areas of credit risk, SMEs, access to finance, credit rationing, and machine learning. ORCID iD 0000-0001-6739-2481.

Milos Kopa, Kaunas University of Technology, Lithuania; Charles University, Czech Republic

Miloš Kopa, Dr., is an Associate Professor at Charles University in Prague, Chair of Department of Probability and Mathematical Statistics in the Faculty of Mathematics and Physics, and Director of Financial
Mathematics study; Field of scientific research: stochastic programming theory and applications, especially financial applications. ORCID iD 0000-0002-9438-4484.