English, Article, Journal or magazine article edition: This paper assesses the performance of Mexican pension funds (AFORES) by using an asset pricing model that includes macroeconomic factors and benchmark portfolios to explain returns. We apply a bootstrap statistical technique to obtain the cross-sectional distribution of performance measures (alphas) across all pension funds. This is done to determine whether a pension fund manager adds value to the portfolio before commissions charges, or if the performance observed, after controlling for the relevant factors, is simply explained by luck. Moreover, by comparing pension fund alphas to the distributions of alphas corresponding to lower rankings, we can find out if a particular fund statistically distinguishes itself from others. Our results provide evidence that pension funds managers do not add value to the portfolio and that funds are not distinguishable from each other. Arnulfo Rodríguez; Gerardo Zúñiga; Pedro N. Rodríguez

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • This paper assesses the performance of Mexican pension funds (AFORES) by using an asset pricing model that includes macroeconomic factors and benchmark portfolios to explain returns. We apply a bootstrap statistical technique to obtain the cross-sectional distribution of performance measures (alphas) across all pension funds. This is done to determine whether a pension fund manager adds value to the portfolio before commissions charges, or if the performance observed, after controlling for the relevant factors, is simply explained by luck. Moreover, by comparing pension fund alphas to the distributions of alphas corresponding to lower rankings, we can find out if a particular fund statistically distinguishes itself from others. Our results provide evidence that pension funds managers do not add value to the portfolio and that funds are not distinguishable from each other.
Author
  • Arnulfo Rodríguez
  • Gerardo Zúñiga
  • Pedro N. Rodríguez
Physical Description
  • preprint
Notes
  • Pension funds, Performance evaluation, Stationary bootstrap
  • RePEc:bdm:wpaper:2008-02
Language
  • English
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