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Performance Evaluation, Fund Selection And Portfolio Allocation Applied To Colombia´S Pension Funds

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    This study examines performance of mandatory and voluntary pension funds in the 2004 - 2008 period. Furthermore, we present a methodology based on principal components that can aid affiliates when selecting funds. Moreover, we examine two portfolio optimization methodologies to evaluate any performance improvements in an evaluation period when choosing a particular methodology. The first one suggested by Markowitz (1952) and the second by Reveiz and Leon (2008b). We find an increase in risk, using several metrics, of mandatory and voluntary pension funds as well as a set of funds that better characterize the common movement of funds´ returns. No evidence was found in regards to economically or statistically significant gains of applying either optimization methodology using several holding periods.

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    Article provided by UNIVERSIDAD ICESI in its journal ESTUDIOS GERENCIALES.

    Volume (Year): (2010)
    Issue (Month): (December)

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    Handle: RePEc:col:000129:008464
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    1. Oscar Martínez A. & Andrés Murcia Pabón, "undated". "Sistema de comisiones de las Administradoras de Fondos de Pensiones en Colombia," Temas de Estabilidad Financiera 033, Banco de la Republica de Colombia.
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