 PERFORMANCE OF CHILEAN PENSION FUNDS INVESTMENTS ABROAD 2010-2014Renato BalbontÃn and Rodrigo Blanch The International Journal of Business and Finance Research, 2016, vol. 10, issue 1, 53-67 Abstract: Considering the high volatility generated from the financial crisis of 2008 and low returns in the years 2011, 2013 and 2014, we analyzed the performance of the Chilean Pension Funds. We use Jensen, Sharpe and Treynor indices to evaluate the funds. The comparison is made on a monthly basis for the period 2010 - 2014. We conclude that diversification of pension funds in foreign equities generated a performance similar to global Morgan Stanley All Country World Index, but failed to deliver a return per unit of risk above the average yield on US Treasury bonds. When total risk is segregated into systematic and idiosyncratic components, the difficulty to eliminate unsystematic risk is confirmed. Conclusions suggest that restrictions imposed by the regulations in Chile allow them to achieve a return similar to a passive portfolio, but with a substantial increase in overall risk. Keywords: Diversification; Return; Volatility; Risk; Systematic; Idiosyncratic (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:10:y:2016:i:1:p:53-67 Access Statistics for this article The International Journal of Business and Finance Research is currently edited by Terrance Jalbert More articles in The International Journal of Business and Finance Research from The Institute for Business and Finance Research |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.