A Two-Regime Performance Test of the Mexican Public Pension Funds (SIEFOREs)

Oscar V. Torre-Torres, Evaristo Galeana-Figueroa and Dora Aguilasocho-Montoya ()
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Oscar V. Torre-Torres: School of Accounting and Management, Saint Nicholas and Hidalgo Michoacan State University (UMSNH)
Evaristo Galeana-Figueroa: School of Accounting and Management, Saint Nicholas and Hidalgo Michoacan State University (UMSNH)
Dora Aguilasocho-Montoya: School of Accounting and Management, Saint Nicholas and Hidalgo Michoacan State University (UMSNH)

Chapter Chapter 17 in Economic Challenges of Pension Systems, 2020, pp 377-396 from Springer

Abstract: Abstract In the present chapter, we measure the performance of the four types of SIEFOREs and their corresponding performance indices in a two-regime scenario. With the use of Markov-switching models, we found that the historical prices and performance of the SIEFOREs can be modeled with a two-regime geometric Brownian motion stochastic process, and we found that the conventional net-return index measured by CONSAR (the official authority in the pension system) is not sufficient for informational purposes. With our tests, we found that the good performers are not that good in crisis time periods, given the risk exposure with their management. Also, we found that some middle-table performers are the best in a two-regime scenario. With our results, we proved that it is preferable to measure performance in a two-regime scenario in order to increase informational efficiency among pension savers.

Keywords: Pension funds; Pension fund performance; Markov-switching models; Portfolio back test and simulation; SIEFORE (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-37912-4_17

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DOI: 10.1007/978-3-030-37912-4_17

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