ARTÍCULO
TITULO

An Actual Position Benchmark for Mexican Pension Funds Performance

Oscar V. De la Torre Torres    
Evaristo Galeana Figueroa    
Dora Aguilasocho Montoya    

Resumen

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.

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