A two-regime performance test of the Mexican public pension funds (SIEFOREs)

In the present chapter, we measure the performance of the four types of SIEFOREs and their corresponding performance indices in a two-regime scenario. With the use of Markov-switching models, we found that the historical prices and performance of the SIEFOREs can be modeled with a two-regime geometr...

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Veröffentlicht in:	Economic challenges of pension systems
1. Verfasser:	Torre Torres, Oscar V. de la (VerfasserIn)
Weitere Verfasser:	Galeana-Figueroa, Evaristo (VerfasserIn), Aguilasocho-Montoya, Dora (VerfasserIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	2020
Schlagworte:	Markov-switching models > Pension fund performance > Pension funds > Portfolio back test and simulation > SIEFORE > Aufsatz im Buch
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Beschreibung
Zusammenfassung:	In the present chapter, we measure the performance of the four types of SIEFOREs and their corresponding performance indices in a two-regime scenario. With the use of Markov-switching models, we found that the historical prices and performance of the SIEFOREs can be modeled with a two-regime geometric Brownian motion stochastic process, and we found that the conventional net-return index measured by CONSAR (the official authority in the pension system) is not sufficient for informational purposes. With our tests, we found that the good performers are not that good in crisis time periods, given the risk exposure with their management. Also, we found that some middle-table performers are the best in a two-regime scenario. With our results, we proved that it is preferable to measure performance in a two-regime scenario in order to increase informational efficiency among pension savers.
ISBN:	9783030379117 3030379116