Núm. 43 (2015)
Artículos

An Actual Position Benchmark for Mexican Pension Funds Performance

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  • Oscar V. De la Torre Torres,
  • Evaristo Galeana Figueroa,
  • Dora Aguilasocho Montoya
Oscar V. De la Torre Torres
Universidad Michoacana de San Nicolás de Hidalgo
Biografía
Evaristo Galeana Figueroa
Universidad Michoacana de San Nicolás de Hidalgo
Biografía
Dora Aguilasocho Montoya
Universidad Michoacana de San Nicolás de Hidalgo
Biografía
DOI: https://doi.org/10.24275/ETYPUAM/NE/432015/DelaTorre
Publicado diciembre 1, 2015
Aviso de derechos de autor/a

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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Citas

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