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Performance Evaluation, Fund Selection And Portfolio Allocation Applied To Colombia´S Pension Funds

Author

Listed:
  • LUIS BERGGRUN PRECIADO
  • FERNANDO JARAMILLO RECIO

Abstract

This study examines performance of mandatory and voluntary pension funds in the 2004 - 2008 period. Furthermore, we present a methodology based on principal components that can aid affiliates when selecting funds. Moreover, we examine two portfolio optimization methodologies to evaluate any performance improvements in an evaluation period when choosing a particular methodology. The first one suggested by Markowitz (1952) and the second by Reveiz and Leon (2008b). We find an increase in risk, using several metrics, of mandatory and voluntary pension funds as well as a set of funds that better characterize the common movement of funds´ returns. No evidence was found in regards to economically or statistically significant gains of applying either optimization methodology using several holding periods.

Suggested Citation

  • Luis Berggrun Preciado & Fernando Jaramillo Recio, 2010. "Performance Evaluation, Fund Selection And Portfolio Allocation Applied To Colombia´S Pension Funds," Estudios Gerenciales, Universidad Icesi, December.
    • Handle: RePEc:col:000129:008464
    as

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    File URL: http://bibliotecadigital.icesi.edu.co/biblioteca_digital/bitstream/item/5190/1/1.%20Luis%20Berggrun%20-%20Performance%20evaluation.pdf
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    References listed on IDEAS

    as
    1. Oscar Martínez A. & Andrés Murcia Pabón, 2008. "Sistema de comisiones de las Administradoras de Fondos de Pensiones en Colombia," Temas de Estabilidad Financiera 033, Banco de la Republica de Colombia.
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    1. Mauricio Arias & Juan Carlos Mendoza, 2009. "Un modelo de simulación del Régimen Pensional de Ahorro Individual con Solidaridad en Colombia," Temas de Estabilidad Financiera 044, Banco de la Republica de Colombia.

    More about this item

    Keywords

    Pension funds; performance; selection; optimal portfolios; persistence.;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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