Abstract

The goal of this paper is to determine whether managers of Croatian mandatory pension funds have displayed investment skill on a risk-adjusted basis during the 2005-2014 period. We have calculated various risk-adjusted investment performance measures and have then used a number of statistical tools to test the significance of the results. Evidence from our analysis suggests that Croatian mandatory pension funds have reached their investment targets in terms of risk-free rates or benchmarks. Evidence of investment skill was found in some of the funds analysed.