OVERSEAS PERFORMANCE OF CHILEAN PENSION FUNDS 2009 - 2020 DESEMPENO DE LOS FONDOS DE PENSIONES CHILENOS EN EL EXTRANJERO 2009 - 2020

Renato Balbontín and Rodrigo Blanch

Revista Internacional Administracion & Finanzas, 2021, vol. 14, issue 1, 41-51

Abstract: In this work, following Balbontín (2014), we analyze the performance of Chilean pension funds, according to typical indices defined by Jensen, Sharpe and Treynor. The analysis period comprised 12 years, 2009 – 2020. From this study, it is concluded that all pension funds, except fund D, outperformed the global MSCI– ACWI index, but only funds A and B performed with a yield superior to the risk-free bonds represented by the long-term Treasury Bills. On the other hand, also following Balbontín (2014), levels of diversifiable or idiosyncratic risk were detected higher than those indicated by the portfolio theory, which would be indicative that, eventually, the restrictions imposed by the Chilean pension regulations make it difficult to achieve good portfolios diversification

Keywords: Return; Volatility; Risk; Systematic; Diversification; Idiosyncratic (search for similar items in EconPapers)
JEL-codes: C01 C12 C20 G15 G23 G32 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:riafin:v:14:y:2021:i:1:p:41-51

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