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The Impact of Foreign Asset Investments on the Performance of Brazilian Pension Funds

Author

Listed:
  • Raphael Braga Silva

    (Pontifícia Universidade Católica (PUC-Rio))

  • Roberto Moreno Moreira

    (Pontifícia Universidade Católica (PUC-Rio))

  • Luiz Felipe Jacques Motta

    (Pontifícia Universidade Católica (PUC-Rio))

Abstract

The present study has performed an analysis of the effects caused in the performance of Brazilian pension funds by the inclusion of international assets in their portfolios. The Resolution CMN 3456 of June 1, 2007 allowed pension funds in Brazil to allocate up to 3% of their investments in international hedge funds. Given the wide range of assets classes available in this category of hedge funds, this study has focused on international assets. The investments in such asset classes do not generate a major effect on the efficient frontier of the pension funds’ investments. The results do not change much even if we increase the constraint from 3% to 20%. However, changes in the current economic environment indicate that finding alternative investments that can enhance the asset performance on a long term view will be a crucial factor to maintain the financial health of pension funds.

Suggested Citation

  • Raphael Braga Silva & Roberto Moreno Moreira & Luiz Felipe Jacques Motta, 2009. "The Impact of Foreign Asset Investments on the Performance of Brazilian Pension Funds," Brazilian Review of Finance, Brazilian Society of Finance, vol. 7(2), pages 237-258.
    • Handle: RePEc:brf:journl:v:7:y:2009:i:2:p:237-258
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    More about this item

    Keywords

    Pension Funds; International Assets; ; Pension Funds; International Assets;
    All these keywords.

    JEL classification:

    • 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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