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An Actual Position Benchmark for Mexican Pension Funds Performance

Author

Listed:
  • Óscar V. De la Torre Torres.

    (Facultad de Contaduría y Ciencias Administrativas, Universidad Michoacana de San Nicolás de Hidalgo.)

  • 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.)

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.

Suggested Citation

  • Óscar V. De la Torre Torres. & Evaristo Galeana Figueroa. & Dora Aguilasocho Montoya., 2015. "An Actual Position Benchmark for Mexican Pension Funds Performance," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 43(2), pages 133-154, Julio-Dic.
    • Handle: RePEc:ety:journl:v:43:y:2015:i:2:p:133-154
    DOI: 10.24275/ETYPUAM/NE/432015/DelaTorre
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    Keywords

    simulation modeling; portfolio management; international financial markets; financial forecasting and simulation; pension funds.;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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