OVERSEAS PERFORMANCE OF CHILEAN PENSION FUNDS,DESEMPENO DE LOS FONDOS DE PENSIONES CHILENOS EN EL EXTRANJERO

Renato Balbontin

Revista Internacional Administracion & Finanzas, 2014, vol. 7, issue 4, 11-25

Abstract: Considering the cycle of high volatility generated as a result of the 2008 financial crisis, we analyze the performance of Chilean Pension Funds by means of Jensen´s measure, Sharpe´s ratio and Treynor´s ratio. Comparisons are made on a monthly basis from September 2007 to August 2012. We conclude that pension funds had a similar performance to the MSCI-ACWI global index, but failed to deliver a premium per unit of risk above the average yield of U.S. Treasury bonds. By breaking down the total risk of the pension funds into their systematic and idiosyncratic components, we confirm the difficulty involved in eliminating unsystematic risk. Our findings suggest that the restrictions imposed by Chilean law allowed the funds to reach return levels similar to an active global portfolio, albeit with a substantial increase in overall risk.

Keywords: Diversification; Return; Volatility; Risk; Systematic; Idiosyncratic (search for similar items in EconPapers)
JEL-codes: C01 C12 C20 G15 G23 G32 (search for similar items in EconPapers)
Date: 2014
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