1. Inicio keyboard_arrow_right
  2. Investigaciones



calendar_month Publicación: 17/07/2020

Investment performance, regulation and incentives: the case of Chilean pension funds

Autor: Fernando López, Eduardo Walker

Profesor Relacionado: Eduardo Walker

We examine the investment performance of Chilean pension funds during their multi-fund period (2003–17). Using tradable asset class benchmarks, we extend Sharpe’s (1992) return-based style analysis by explicitly considering regulatory restrictions and currency hedging. We find that despite the significant differences between pension fund manager returns, they are statistically similar to our style benchmarks for all fund types. Furthermore, accounting for currency hedging improves the accuracy of the replicating portfolios and the selection return estimates. Our results have policy implications for investment regulation of pension systems with similar characteristics to the Chilean one.

Fuente: Journal of Pension Economics & Finance

IF: 0,84, AI: 0,82

Comparte esta publicación