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Carteras Referenciales y Esquema de Premios y Castigos para los Fondos de Cesantía

Author

Listed:
  • Evelyn Benvin
  • Solange Berstein
  • Olga Fuentes
  • Jorge Miranda
  • Nicolás Torrealba
  • Mario Vera

    (Studies Division, Chilean Pension Supervisor)

Abstract

Este documento tiene por objeto presentar la metodología utilizada en la elección de benchmarks exógenos para los fondos del Seguro de Cesantía, reconociendo sus distintos objetivos. La cartera referencial del Fondo de Cuentas Individuales de Cesantía (CIC) no considera inversión en renta variable con el objeto de minimizar la volatilidad de las cuentas individuales, en cambio, la cartera referencial del Fondo de Cesantía Solidario (FCS) considera la posibilidad de premio por riesgo, dado su horizonte de más largo plazo. Con todo, se consideró que las inversiones debían mantenerse siempre en un marco conservador. Adicionalmente, se define el esquema de premios y castigos que regirá a la Administradora de Fondos de Cesantía (AFC), de manera consistente con la metodología de obtención de carteras referenciales. Tanto las carteras referenciales como el esquema de premios y castigos quedaron definidos en el Régimen de Inversión de los Fondos de Cesantía. Este nuevo diseño permitirá un mejor desempeño de los Fondos en el cumplimiento de su objeto fundamental, financiar beneficios de cesantía para los trabajadores chilenos..

Suggested Citation

  • Evelyn Benvin & Solange Berstein & Olga Fuentes & Jorge Miranda & Nicolás Torrealba & Mario Vera, 2009. "Carteras Referenciales y Esquema de Premios y Castigos para los Fondos de Cesantía," Working Papers 34, Superintendencia de Pensiones, revised Jan 2012.
    • Handle: RePEc:sdp:sdpwps:34
    as

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    File URL: https://repec.spensiones.cl/repec/3_doctrabajos/34_2009_carteras_referenciales_premios_castigos_sc.pdf
    File Function: Revised version, 2012
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    References listed on IDEAS

    as
    1. Eduardo Walker, 2008. "Políticas de Inversión e Incentivos para los Fondos de Cesantía," Working Papers 24, Superintendencia de Pensiones, revised May 2008.
    2. Rodrigo Cerda & Fernando Coloma, 2009. "Estudio Actuarial de los Fondos de Cesantía 2008," Working Papers 33, Superintendencia de Pensiones, revised Sep 2009.
    3. Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003. "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 735-747, August.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. Solange Berstein & Eduardo Fajnzylber & Pamela Gana & Isabel Poblete, 2007. "Cinco Años de Funcionamiento del Seguro de Cesantía en Chile," Working Papers 23, Superintendencia de Pensiones, revised Dec 2007.
    Full references (including those not matched with items on IDEAS)

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