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Performance Of Chilean Pension Funds Investments Abroad 2010-2014

Author

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  • Renato Balbontín
  • Rodrigo Blanch

Abstract

Considering the high volatility generated from the financial crisis of 2008 and low returns in the years 2011, 2013 and 2014, we analyzed the performance of the Chilean Pension Funds. We use Jensen, Sharpe and Treynor indices to evaluate the funds. The comparison is made on a monthly basis for the period 2010 - 2014. We conclude that diversification of pension funds in foreign equities generated a performance similar to global Morgan Stanley All Country World Index, but failed to deliver a return per unit of risk above the average yield on US Treasury bonds. When total risk is segregated into systematic and idiosyncratic components, the difficulty to eliminate unsystematic risk is confirmed. Conclusions suggest that restrictions imposed by the regulations in Chile allow them to achieve a return similar to a passive portfolio, but with a substantial increase in overall risk.

Suggested Citation

  • Renato Balbontín & Rodrigo Blanch, 2016. "Performance Of Chilean Pension Funds Investments Abroad 2010-2014," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 10(1), pages 53-67.
    • Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:1:p:53-67
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    More about this item

    Keywords

    Diversification; Return; Volatility; Risk; Systematic; Idiosyncratic;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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