An Actual Position Benchmark for Mexican Pension Funds Performance

Oscar De la Torre Torres (), Evaristo Galeana Figueroa. () and Dora Aguilasocho Montoya. ()
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Evaristo Galeana Figueroa.: Facultad de Contaduría y Ciencias Administrativas, Universidad Michoacana de San Nicolás de Hidalgo.
Dora Aguilasocho Montoya.: Facultad de Contaduría y Ciencias Administrativas, Universidad Michoacana de San Nicolás de Hidalgo.

Economía: teoría y práctica, 2015, vol. 43, issue 2, 133-154

Abstract: The present paper proposes the use of a life cycle investment benchmark (called actual position benchmark or apb) in the asset types allowed in the consar rules for Mexican pension funds (Siefores). Its mean-variance efficiency is tested against the equally weighted, the minimum variance and max Sharpe ratio (msr) portfolios with a daily backtest from April 2008 to April 2013 and a 10-year daily Monte Carlo simulation. The results suggest that even though the msr portfolio gives the highest accumulated return, the apb is an acceptable benchmark by its stable and statistically equal Sharpe ratio, its max drawdown behavior, and its statistically equal return against the former.

Keywords: simulation modeling; portfolio management; international financial markets; financial forecasting and simulation; pension funds. (search for similar items in EconPapers)
JEL-codes: C63 G11 G15 G17 G23 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ety:journl:v:43:y:2015:i:2:p:133-154

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