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Overseas Performance Of Chilean Pension Funds 2009 - 2020 Desempeno De Los Fondos De Pensiones Chilenos En El Extranjero 2009 - 2020

Author

Listed:
  • Renato Balbontín
  • Rodrigo Blanch

Abstract

In this work, following Balbontín (2014), we analyze the performance of Chilean pension funds, according to typical indices defined by Jensen, Sharpe and Treynor. The analysis period comprised 12 years, 2009 – 2020. From this study, it is concluded that all pension funds, except fund D, outperformed the global MSCI– ACWI index, but only funds A and B performed with a yield superior to the risk-free bonds represented by the long-term Treasury Bills. On the other hand, also following Balbontín (2014), levels of diversifiable or idiosyncratic risk were detected higher than those indicated by the portfolio theory, which would be indicative that, eventually, the restrictions imposed by the Chilean pension regulations make it difficult to achieve good portfolios diversification

Suggested Citation

  • Renato Balbontín & Rodrigo Blanch, 2021. "Overseas Performance Of Chilean Pension Funds 2009 - 2020 Desempeno De Los Fondos De Pensiones Chilenos En El Extranjero 2009 - 2020," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 14(1), pages 41-51.
    • Handle: RePEc:ibf:riafin:v:14:y:2021:i:1:p:41-51
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    More about this item

    Keywords

    Return; Volatility; Risk; Systematic; Diversification; 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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