Rate of return and risk

Rate of return

Standart Deviation

Sharpe Ratio

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Explanation of the graphs

 

These charts show:

 

Rate of return - the nominal annual rate of return of the general, professional and voluntary funds in the country. The nominal rate of return achieved, as a percentage of the managed assets of a pension fund, for a given period is calculated by dividing the difference between the value per unit of the fund valid on the last business day of the period and the value per unit of the fund valid on the last business day of the preceding period by the value per unit valid on the last business day of the preceding period. 

  

Standard Deviation - standard deviation of the units of the funds for supplementary pension insurance on an annual basis. The indicator is a statistical measure of the dispersion of the values of a random variable around its arithmetic mean or expected value. Higher values of the standard deviation imply a higher degree of variability (volatility) of the achieved rate of return around its mean or expected value and therefore a higher risk. 

  

Sharpe Ratio - this is an indicator comparing  the rate of return achieved from managing an investment portfolio and the risk taken to achieve that yield. A higher value of the Sharpe Ratio provides a higher rate of return per unit of risk. Sharpe ratio values are only disclosed if the nominal rate of return achieved is higher than the risk-free profitability (EONIA) for the relevant year, and as from 01.01.2022, €STR (Euro short-term rate).

 

In order to determine the risk-free rate of return while calculating the Sharpe Ratio under article 11, item 3 of Regulation No 61 dated 27.09.2018 of the FSC on the requirements for advertising and written information materials and websites of pension insurance companies for periods starting before 01.01.2022 and ending after that date are used the values of Eonia indicator up until 31.12.2021, reduced by 8.5 basis points, and respectively the values of the €SRT indicator as from 01.01.2022 up until the end of the relevant period. The periods starting after 31.12.2021 are subject to shange of the chronological order of the data related to the risk-free rate of return as from 01.01.2022. 

  

The rate of return, Standard Deviation, and Sharpe Ratio in the charts are displayed by selecting the relevant fund type and the period from among  two-year, five-year, ten-year, one-year period and for the period since the introduction of units - 01.07.2004. Once you choose the type of fund and the period(s) for which the charts are to be made, you have the option to exclude and include the relevant general, professional, or voluntary funds managed by different pension insurance companies. 

 

Up to 31.12.2021 the values in the charts are as of the latest date for which data are available for the weighted average interest rate - EONIA (Euro OverNight Index Average).

  

From 01.01.2022 the €STR is used for calculation of the Sharpe Ratio, and the chart values are as of the latest date for which data about €STR are available.

  

EONIA data are taken from the website here.

 

€STR data are taken from the website here

 

The data on the value of pension funds' units are sourced from the FSC - https://ekfn.fsc.bg/units.asp

  

The content of the investment policies of the funds managed by Doverie can be found here.

  

The nominal rate of return, Standard Deviation, and Sharpe Ratio shown in the charts are calculated following the requirements of Annex 15 of Regulation No 61 of the FSC on the requirements for advertising and written information materials and websites of pension insurance companies.

  

These results do not necessarily relate to future outcomes. The value of the pension funds' units may decrease in the future. Positive rate of return or keeping the full value of the funds contributed in the individual accounts during the period of insurance are not guaranteed.