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  • 标题:A minimum variance benchmark to measure the performance of pension funds in Mexico
  • 本地全文:下载
  • 作者:Oscar V. De la Torre Torres ; Evaristo Galeana Figueroa ; María Isabel Martínez Torre Enciso
  • 期刊名称:Contaduría y Administración
  • 印刷版ISSN:0186-1042
  • 出版年度:2015
  • 卷号:60
  • 期号:3
  • 页码:593-614
  • 语种:English
  • 出版社:Universidad Nacional Autónoma de México
  • 摘要:We propose the use of the minimum variance portfolio as weighting method in a strategy benchmark for pension funds performance in Mexico. By performing three discrete event simulations with daily data from January 2002 to May 2013, we test this benchmark’s weighting method against the Max Sharpe ratio one and a linear combination of both benchmarks (minimum variance and Max Sharpe). With the Sharpe ratio, the Jensen’s alpha significance test and the Huberman and Kandel’ (1987) spanning test, we found that the three benchmarks have a statistically equal performance. By using Bailey’s (1992) risk exposure, market representativeness and turnover benchmark quality criteria, we found that the min variance is preferable for the publicly traded Mexican defined contribution pension funds.
  • 其他摘要:We propose the use of the minimum variance portfolio as weighting method in a strategy benchmark for pension funds performance in Mexico. By performing three discrete event simulations with daily data from January 2002 to May 2013, we test this benchmark’s weighting method against the Max Sharpe ratio one and a linear combination of both benchmarks (minimum variance and Max Sharpe). With the Sharpe ratio, the Jensen’s alpha significance test and the Huberman and Kandel’ (1987) spanning test, we found that the three benchmarks have a statistically equal performance. By using Bailey’s (1992) risk exposure, market representativeness and turnover benchmark quality criteria, we found that the min variance is preferable for the publicly traded Mexican defined contribution pension funds.
  • 关键词:Simulation modeling; min variance portfolio; pension funds. Modelos de simulación; portafolio de mínima varianza; fondos de pensiones.
  • 其他关键词:Simulation modeling; min variance portfolio; pension funds.
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