scholarly journals ANÁLISIS DE LOS FONDOS DE PENSIONES EN CHILE: PERIODO 2011-2018

2019 ◽  
Vol 12 (1) ◽  
pp. 1-9
Author(s):  
Ricardo Méndez Romero ◽  
Hernán Rocha Pavés
Keyword(s):  
Comparative Study ◽  
Financial Performance ◽  
Pension Funds ◽  
Fixed Income ◽  
Performance Models ◽  
Monthly Average ◽  
Performance Risk ◽  
Normal Configuration ◽  
Omega Ratio ◽  
Investment Portfolios

The objectives of this study are: 1) Carry out a comparative study of the performance of the different pension funds of each of the AFPs; 2) Carry out a comparative study of the historical performance of the different pension funds of each of the AFPs and compare them, in addition, with results of previous studies carried out by other authors. The scope of this paper is defined as a descriptive-correlational investigation, because it is intended to identify the results of the management of investment portfolios, without manipulating the variables of the problem, these are iden- tified and described as they occur in their context financial, to then analyze them from a temporal and quantitative comparative perspective, based on the Principle of Investor Rationality of Harry Markowitz and applying the Sharpe, Treynor, Jensen and Omega ratio as performance models. An important result observed is that, for this period of 8 years, all AFPs and funds present positive monthly average returns, even though the years 2011 and 2018 show losses, especially funds A, B and C. For their part, the benchmark of Market (IPSA) shows a negative performance. The financial performance ratios are all positive, which indicates that the performance / risk ratio is satisfied. The different returns between AFP and IPSA are explained because pension funds have a high percentage of invest- ments abroad and include fixed income instruments. A more relevant comparison would be to reference the actual results with those of an equivalent fictitious portfolio, but to date, there are no studies that allow defining the parame- ters necessary to form said portfolio. Non-traditional ratios, such as Omega, are coincident when the distributions of the results have a normal configuration. In addition, the conclusion is shared with previous studies, that the AFPs tend to keep portfolios similar to each other, trying not to fall below the profitability of the system.

scholarly journals Investment fund selection techniques from the perspective of Brazilian pension funds

2022 ◽  
Vol 33 (88) ◽  
pp. 167-182
Author(s):  
Jéssica Santos de Paula ◽  
Robert Aldo Iquiapaza
Keyword(s):  
Pension Fund ◽  
Pension Funds ◽  
Sharpe Ratio ◽  
Investment Fund ◽  
Fixed Income ◽  
Investment Funds ◽  
Investment Performance ◽  
Multifactor Model ◽  
Dea Efficiency ◽  
Investment Portfolios

ABSTRACT The aim of this article was to evaluate the effectiveness of investment fund selection techniques from the perspective of Brazilian pension funds. Asset liability management (ALM) and liability driven investment (LDI) strategies are usually adopted to guide pension fund managers in relation to strategic allocation in asset classes that should compose their investment portfolios and to the liquidity needed in each period, but not specifying in which assets to allocate resources from among the infinity of assets available in the financial market. This article contributes to tactical management in the fixed income and stock segments outsourced via funds and demonstrates that adopting simple indicators can increase investment performance. The article broadens the knowledge on pension fund investment decisions and creates confidence in the adoption of the Sharpe ratio as a technique for choosing investment funds. We analyzed the returns obtained by hypothetical portfolios built using the following techniques: (i) the Sharpe ratio; (ii) the alpha of a multifactor model; (iii) data envelopment analysis (DEA) efficiency; and (iv) the different combinations of these techniques. We considered information on 369 funds from 2013 to 2018, adopting 12 temporal windows for choosing and re-evaluating the portfolios. The returns obtained were compared with the mean actuarial goal of the benefits plans administered by the pension funds, by means of the unplanned divergence (UD). When outsourcing pension fund investments in fixed income and stock investment funds it was verified that the Sharpe ratio contributes significantly to pension fund performance, compared with other indicators and techniques or a combination of them.

Environmentally friendly and socially responsible investment in and by occupational pension funds in the USA and in the EU

2021 ◽  
pp. 138826272110269
Author(s):  
Lauren Daniels ◽  
Yves Stevens ◽  
David Pratt
Keyword(s):  
Financial Performance ◽  
Investment Decision ◽  
Pension Funds ◽  
Socially Responsible Investment ◽  
Occupational Pension ◽  
Socially Responsible ◽  
Responsible Investment ◽  
Occupational Pensions ◽  
The Usa ◽  
The Eu

Worldwide pension funds, in their capacity as large institutional investors, are under increasing pressure to take social and environmental considerations into account in their investment decision-making process. The concepts Socially Responsible Investment (SRI) and Environmental Social Governance (ESG) are indeed ubiquitous in the current investment and pension community. This article aims to provide some insight into the conceptual relationship between SRI and ESG and its legal implications for the investment behaviour of private pension funds in the USA and the EU. Hence, the first part of the article gives some background to the distinct concepts of SRI and ESG. This leads to the finding that SRI goes one step further than ESG by prioritising moral or ethical considerations that may not be material to an investment’s financial performance, whereas ESG functions as a guideline to enhance financial performance. The second part analyses the legal possibilities and constraints for responsible investment in American occupational pensions and the third part does the same for European occupational pensions. The article concludes with a summary and comparative overview of the American and European lessons.

Asset-Liability Management

2019 ◽  
pp. 75-95
Author(s):  
Hyun Song Shin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Pension Funds ◽  
Fixed Income ◽  
Asset Liability Management ◽  
Life Insurers ◽  
Liability Management ◽  
Demand Curves

Life insurers and pension funds have obligations to policy holders and beneficiaries and hold fixed income assets to meet those obligations. Asset-liability management matches the duration of assets to duration of liabilities to minimise risks from interest rate changes. However, this rule can lead to upward sloping demand curves for fixed income assets and can lead to overshooting of long-term interest rates.

A comparative study of financial performance with special reference of co-operative banks

2017 ◽  
Vol 8 (3) ◽  
pp. 711
Author(s):  
Manvinder Singh Tandon ◽  
Narender Nath Sharma ◽  
Vipan Kumar Bhulal
Keyword(s):  
Comparative Study ◽  
Financial Performance ◽  
Special Reference

Human Performance in Transportation A Comparative Study of Human Performance Models

2012 ◽  
Vol 4 (2) ◽  
pp. 111-115 ◽  
Author(s):  
Azlis Sani Jalil ◽  
Jalil Zawiah Md Dawal ◽  
Norhayati Mohmad Zakwan
Keyword(s):  
Comparative Study ◽  
Human Performance ◽  
Performance Models
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