Performance evaluation, fund selection and portfolio allocation applied to colombia's pension funds
This study examines performance of mandatory and voluntary pension funds in the 2004 – 2008 period. Furthermore, we present a methodology based on principal components that can aid affiliates when selecting funds. Moreover, we examine two portfolio optimization methodologies to evaluate any performa...
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| Format: | Article |
| Language: | Spanish |
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Universidad ICESI
2010-10-01
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| Series: | Estudios Gerenciales |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S0123592310701327 |
| _version_ | 1819208508084584448 |
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| author | Luis Berggrun Preciado |
| author_facet | Luis Berggrun Preciado |
| author_sort | Luis Berggrun Preciado |
| collection | DOAJ |
| description | This study examines performance of mandatory and voluntary pension funds in the 2004 – 2008 period. Furthermore, we present a methodology based on principal components that can aid affiliates when selecting funds. Moreover, we examine two portfolio optimization methodologies to evaluate any performance improvements in an evaluation period when choosing a particular methodology. The first one suggested by Markowitz (1952) and the second by Reveiz and Leon (2008b). We find an increase in risk, using several metrics, of mandatory and voluntary pension funds as well as a set of funds that better characterize the common movement of funds’ returns. No evidence was found in regards to economically or statistically significant gains of applying either optimization methodology using several holding periods. |
| first_indexed | 2024-12-23T05:40:30Z |
| format | Article |
| id | doaj.art-994ff3b9a67948a08d47ac5ad27df134 |
| institution | Directory Open Access Journal |
| issn | 0123-5923 |
| language | Spanish |
| last_indexed | 2024-12-23T05:40:30Z |
| publishDate | 2010-10-01 |
| publisher | Universidad ICESI |
| record_format | Article |
| series | Estudios Gerenciales |
| spelling | doaj.art-994ff3b9a67948a08d47ac5ad27df1342022-12-21T17:58:12ZspaUniversidad ICESIEstudios Gerenciales0123-59232010-10-0126117134010.1016/S0123-5923(10)70132-7Performance evaluation, fund selection and portfolio allocation applied to colombia's pension fundsLuis Berggrun PreciadoThis study examines performance of mandatory and voluntary pension funds in the 2004 – 2008 period. Furthermore, we present a methodology based on principal components that can aid affiliates when selecting funds. Moreover, we examine two portfolio optimization methodologies to evaluate any performance improvements in an evaluation period when choosing a particular methodology. The first one suggested by Markowitz (1952) and the second by Reveiz and Leon (2008b). We find an increase in risk, using several metrics, of mandatory and voluntary pension funds as well as a set of funds that better characterize the common movement of funds’ returns. No evidence was found in regards to economically or statistically significant gains of applying either optimization methodology using several holding periods.http://www.sciencedirect.com/science/article/pii/S0123592310701327Pension fundsperformanceselectionoptimal portfoliospersistence |
| spellingShingle | Luis Berggrun Preciado Performance evaluation, fund selection and portfolio allocation applied to colombia's pension funds Estudios Gerenciales Pension funds performance selection optimal portfolios persistence |
| title | Performance evaluation, fund selection and portfolio allocation applied to colombia's pension funds |
| title_full | Performance evaluation, fund selection and portfolio allocation applied to colombia's pension funds |
| title_fullStr | Performance evaluation, fund selection and portfolio allocation applied to colombia's pension funds |
| title_full_unstemmed | Performance evaluation, fund selection and portfolio allocation applied to colombia's pension funds |
| title_short | Performance evaluation, fund selection and portfolio allocation applied to colombia's pension funds |
| title_sort | performance evaluation fund selection and portfolio allocation applied to colombia s pension funds |
| topic | Pension funds performance selection optimal portfolios persistence |
| url | http://www.sciencedirect.com/science/article/pii/S0123592310701327 |
| work_keys_str_mv | AT luisberggrunpreciado performanceevaluationfundselectionandportfolioallocationappliedtocolombiaspensionfunds |