7(29)
different from the same return for benchmark. The risk premium for PSF
was not statistically significant from the risk premium for benchmark but
the risk for PSF was not significantly lower than the risk for benchmark. The
risk premium for PCF was significantly lower than for benchmark, since the
guidelines stipulate that this fund should show a yearly excess return of
0.35 percentage points.
Statistical tests on five consecutive five-year periods between 2001 and
May 2010 show that PSF had statistically significant lower risk premium and
risk than benchmark for the first three periods; for the two remaining
periods neither was significantly different from benchmark.
When risk and return accumulates to the end of May 2010 with start in
January for each year (for the year 2001-2009) exhibit PSF higher risk
premium and lower risk than benchmark only for the first two vintages
(2001-09 and 2002-09). PCF displays a return in accordance with its
guidelines for the vintages 2002-10 and 2009-10.
The results of the evaluation concerning risk and return for the default fund
PSF vis-à-vis the stipulated benchmark are mixed; the fund has not fulfilled
the guidelines’ intentions over all periods studied. The return for PCF was
below that stated in the guidelines.
