Abstract

The purpose of this study is to analyze the experience of creating a system of mandatory pension savings and assess the effectiveness of the activities of non-state pension funds. The research is focused on the management of pension savings portfolios in Russia. As a research method we use portfolio optimization, analysis of long time series on the return of various investment strategies, regression analysis for decomposition of non-state pension fund returns, stochastic modeling of return and risk with given asset allocation and benchmarks, modelling replacement ratio of a pension savings system’s participant. The modern demographic trends, the development of the labour market in the context of the progress of industrial technologies and other processes create the prerequisites for changes in pension systems. At the same time, the increasing volatility of financial markets and the trend of low yields give rise to discussions about the role of the pension savings system, its ability to increase the sustainability of pension system. The ability of existing pension portfolio management strategies to generate the necessary returns for pension savings is challenged. However, the number of studies and reports devoted to the problems of pension fund performance is relatively small. All this predetermines the relevance of studying the aspects of the pension savings system effectiveness, the effectiveness of portfolio management strategies in modern financial markets, and the implementation of regulation practices. The novelty of the study lies in the fact that the authors tried to comprehend the experience of the system of mandatory pension savings, conditions and prerequisites of its implementation, achievements and difficulties, to analyze the effectiveness of the activities of non-state pension funds on pension savings investment. The main result of the study is the development of methodological approaches necessary to assess the success of pension savings reforms in Russia. According to our estimates, the decision to introduce a pension savings pillar had been justified and, under certain circumstances, could have improved the well-being of future pensioners. We conclude that the successful implementation of the mandatory pension savings was violated by the frequent change of the regulation on the long-term horizon, unbalanced development of state and savings pension pillars, and low investment efficiency. In the future, the development of our study should contribute to the development of an institution of long-term and trusted internal savings.