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Overseas Performance Of Chilean Pension Funds,Desempeno De Los Fondos De Pensiones Chilenos En El Extranjero

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  • Renato Balbontin

Abstract

Considering the cycle of high volatility generated as a result of the 2008 financial crisis, we analyze the performance of Chilean Pension Funds by means of Jensen´s measure, Sharpe´s ratio and Treynor´s ratio. Comparisons are made on a monthly basis from September 2007 to August 2012. We conclude that pension funds had a similar performance to the MSCI-ACWI global index, but failed to deliver a premium per unit of risk above the average yield of U.S. Treasury bonds. By breaking down the total risk of the pension funds into their systematic and idiosyncratic components, we confirm the difficulty involved in eliminating unsystematic risk. Our findings suggest that the restrictions imposed by Chilean law allowed the funds to reach return levels similar to an active global portfolio, albeit with a substantial increase in overall risk.

Suggested Citation

  • Renato Balbontin, 2014. "Overseas Performance Of Chilean Pension Funds,Desempeno De Los Fondos De Pensiones Chilenos En El Extranjero," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(4), pages 11-25.
    • Handle: RePEc:ibf:riafin:v:7:y:2014:i:4:p:11-25
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    More about this item

    Keywords

    Diversification; Return; Volatility; Risk; Systematic; Idiosyncratic;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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