Analysis of Pension Fund in Chile: Period 2011-2018

Abstract

The objectives of this study are: 1) Carry out a comparative study of the performance of the different pension funds of each of the AFPs; 2) Carry out a comparative study of the historical performance of the different pension funds of each of the AFPs and compare them, in addition, with results of previous studies carried out by other authors.

The scope of this paper is defined as a descriptive-correlational investigation, because it is intended to identify the results of the management of investment portfolios, without manipulating the variables of the problem, these are iden- tified and described as they occur in their context financial, to then analyze them from a temporal and quantitative comparative perspective, based on the Principle of Investor Rationality of Harry Markowitz and applying the Sharpe, Treynor, Jensen and Omega ratio as performance models.

An important result observed is that, for this period of 8 years, all AFPs and funds present positive monthly average returns, even though the years 2011 and 2018 show losses, especially funds A, B and C. For their part, the benchmark of Market (IPSA) shows a negative performance. The financial performance ratios are all positive, which indicates that the performance / risk ratio is satisfied.

The different returns between AFP and IPSA are explained because pension funds have a high percentage of invest- ments abroad and include fixed income instruments. A more relevant comparison would be to reference the actual results with those of an equivalent fictitious portfolio, but to date, there are no studies that allow defining the parame- ters necessary to form said portfolio. Non-traditional ratios, such as Omega, are coincident when the distributions of the results have a normal configuration. In addition, the conclusion is shared with previous studies, that the AFPs tend to keep portfolios similar to each other, trying not to fall below the profitability of the system.