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An empirical analysis of the investment performance of the Chilean pension system

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  • MITTELSTAEDT, H. FRED
  • OLSEN, JOHN C.

Abstract

The Chilean national pension system is often viewed as the model for moving from a pay-as-you-go system to a prefunded, individual account system. One measure of its success has been its 12% average real rate of return. This study uses monthly return data to examine the source of these returns and to compare the risk-adjusted returns of the pension system to those of Chilean stock indices, debt instruments, and mutual funds. Tests using the Sharpe ratio and the multi-factor Jensen alpha suggest that the pension returns are consistent with the overall riskiness of the Chilean economy. Based on our findings, neither the structure of the Chilean pension system nor the performance of the fund managers should permit the system to earn abnormally high returns in the future.

Suggested Citation

  • Mittelstaedt, H. Fred & Olsen, John C., 2003. "An empirical analysis of the investment performance of the Chilean pension system," Journal of Pension Economics and Finance, Cambridge University Press, vol. 2(1), pages 7-24, March.
    • Handle: RePEc:cup:jpenef:v:2:y:2003:i:01:p:7-24_00
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    Cited by:

    1. Carmen-Pilar Mart¨ª-Ballester, 2012. "A Comparative Analysis of the Performance of Collective Investment Institutions," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 43-52, May.
    2. Byron J. Idrovo-Aguirre & Javier E. Contreras-Reyes, 2021. "Monetary Fiscal Contributions to Households and Pension Fund Withdrawals during the COVID-19 Pandemic: An Approximation of Their Impact on Construction Labor Supply in Chile," Social Sciences, MDPI, vol. 10(11), pages 1-10, November.
    3. Carmen Pilar Martí Ballester, 2020. "Does Concurrent Management of Mutual Funds and Pension Plans Create Conflicts of Interest?," Ensayos de Economía 18307, Universidad Nacional de Colombia Sede Medellín.
    4. Jackowicz, Krzysztof & Kowalewski, Oskar, 2012. "Crisis, internal governance mechanisms and pension fund performance: Evidence from Poland," Emerging Markets Review, Elsevier, vol. 13(4), pages 493-515.

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