Analysis of the Performance of Mexican Pension Funds: Evidence from a Stationary Bootstrap Application
AbstractThis paper assesses the performance of Mexican pension funds (AFORES) by using an asset pricing model that includes macroeconomic factors and benchmark portfolios to explain returns. We apply a bootstrap statistical technique to obtain the cross-sectional distribution of performance measures (alphas) across all pension funds. This is done to determine whether a pension fund manager adds value to the portfolio before commissions charges, or if the performance observed, after controlling for the relevant factors, is simply explained by luck. Moreover, by comparing pension fund alphas to the distributions of alphas corresponding to lower rankings, we can find out if a particular fund statistically distinguishes itself from others. Our results provide evidence that pension funds managers do not add value to the portfolio and that funds are not distinguishable from each other.
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Bibliographic InfoPaper provided by Banco de México in its series Working Papers with number 2008-02.
Date of creation: Feb 2008
Date of revision:
Pension funds; Performance evaluation; Stationary bootstrap;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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