The investment results of the Chilean pension funds

• Autorzy: Paweł Wieprzowski
• Języki publikacji: EN

Abstrakty

EN

The article presents an analysis of the Chilean pension funds (AFP) rates of return in the years 1981-2010. The analysis of the Chilean pension system is essential for a few various reasons. It is the oldest capital pension system in the world, the basis on which the Polish pension reform of 1999 was modelled. Furthermore, the 30 year old history presents the AFP investment results in the long run, within a few business cycles, which is typical of pension investments. The research was conducted through the calculation and comparison of real and nominal, average and cumulated rates of return on the AFP and an alternative form of money allocation, i.e. bank deposits. Additionally, the research applied the Sharpe alphas, the Jensen alphas and the Treynor ratio in order to disclose if the pension funds management was able to achieve an above average rate of return taking into account the investment risk. (original abstract)

The article presents an analysis of the Chilean pension funds (AFP) rates of return in the years 1981-2010. The analysis of the Chilean pension system is essential for a few various reasons. It is the oldest capital pension system in the world, the basis on which the Polish pension reform of 1999 was modelled. Furthermore, the 30 year old history presents the AFP investment results in the long run, within a few business cycles, which is typical of pension investments. The research was conducted through the calculation and comparison of real and nominal, average and cumulated rates of return on the AFP and an alternative form of money allocation, i.e. bank deposits. Additionally, the research applied the Sharpe alphas, the Jensen alphas and the Treynor ratio in order to disclose if the pension funds management was able to achieve an above average rate of return taking into account the investment risk. (abstrakt oryginalny)

Słowa kluczowe

EN

Capital pension funds; Financial markets; Financial investment; Rate of return; Pension schemes

PL

Kapitałowy fundusz emerytalny; Rynki finansowe; Inwestycje finansowe; Stopa zwrotu; System emerytalny

• Czasopismo: Journal of Management and Financial Sciences
• Rocznik: 2012
• Tom: 5
• Numer: nr 8
• Strony: 106--128

Twórcy

autor

Paweł Wieprzowski

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• Allen D. E., Tan M. L., A test of the persistence in the performance of UK managed funds, "Journal of Business Finance and Accounting", Vol. 26, No. 5-6, June-July 1999.
• Antolin P., Pension Fund Performance, "OECD Working Papers on Insurance and Private Pensions", No. 20, August 2008.
• Bank Światowy (http://data.worldbank.org/country/chile).
• Barrientos A., Pension Reform in Latin America, Ashgate, Aldershot 1998.
• Bertranou F. M., Pensions and Gender in Latin American Social Protection Systems: Where do we stand in the Southern Cone?, Paper for ISSA Expert group meeting on Gender, retirement, and active aging: Implications for social security in long-life societies, Geneva, 24-25 June 2004, downloaded: 25 August 2011. http://www.oitchile.cl/pdf/publicaciones/ele/elec019.pdf
• Blake D., Timmermann A., The birth and death processes of mutual funds, "European Finance Review", 1998, Vol. 2.
• Bloomberg (www.bloomberg.com).
• Boersch-Supan A., Heiss F., Ludwig A., Winter J., Pension reform, capital markets, and the rate of return, "Mannheim Research Institute for the Economics of Aging (MEA) Discussion Paper Series", No. 02023, May 2002.
• Bonilla C. A., Romero-Meza R., Gutierrez E., Nonlinear Behavior of the Chilean Capital Markets, Annual American Business Research Conference, 28-29 September 2009, New York, downloaded: 27 August 2011, http://www.wbiconpro.com/8.-Caludio.Chilepdf.pdf
• Buczek S. B., Efektywność informacyjna rynków akcji. Teoria a rzeczywistość (Stock market information efficiency. Theory and reality), Oficyna Wydawnicza SGH, Warsaw 2005.
• Chłoń A., Góra M., Rutkowski M., Shaping Pension Reform in Poland: Security Through Diversity, "World Bank Social Protection Discussion Paper Series", No. 9923, August 1999.
• Coggin T. D., Fabozzi F. J., Rahman S., The investment performance of US equity pension fund managers: An empirical investigation, "Journal of Finance", 1993, Vol. 48.
• Diamond P., Valdes-Prieto S., Social Security reforms, in: Bosworth B., Dornbusch R., Laban R. (eds.), The Chilean Economy - Policy Lessons and Challenges, Washington, DC: The Brookings Institution, 1994.
• Edwards S., Chile Radical Change towards a Funded System, w: Siebert H. red., Redesigning Social Security, Institut fur Weltwirtschaft an der Universitat Kiel, Mohr Siebeck, Tubingen 1998.
• Fama E. F., Market efficiency, long-term results, and behavioral finance, "Journal of Financial Economics", 1998, No. 49.
• Fama E. F., Efficient Capital Markets: A Review of Empirical Work. "Journal of Finance", 1970, Vol. 25, No. 2.
• Fletcher J., Forbes D., An exploration of the persistence of UK unit trust performance, "Journal of Empirical Finance", 2002, Vol. 9, No. 5.
• Forteza A., Ourens G., How much do Latin American pension programs promise to pay back?, "World Bank Social Protection Working Papers", 2009, No. 0927.
• Fundacion de Investigaciones Economicas Latinoamericanas, La Regulacion de la Competencia y de los Servicios Publicos: Teoria y Experiencia Argentina Reciente, Buenos Aires 1999.
• Giles T., Wilsdon T., Worboys T., Performance persistence in UK equity funds: An empirical analysis, Report No. D03374-00, London: Charles River Associates 2002.
• Grech A. G., Assessing the sustainability of pension reforms in Europe, Centre for Analysis of Social Exclusion, London School of Economics, CASE/140, September 2010.
• International Monetary Fund, Ageing and pension system reform: implications for financial markets and economic policies, September 2005 (http://www.imf.org/external/np/g10/2005/pdf/092005.pdf), p. 18, downloaded: 12 December 2010.
• International Monetary Fund, Chile: Selected Issues, "IMF Country Report", No. 05/316, September 2005.
• Ippolito R. A., Turner J. A., Turnover, fees and pension plan performance, "Financial Analysts Journal", 1987, Vol. 43.
• Jajuga K., Jajuga T., Inwestycje, instrumenty finansowe, aktywa niefinansowe, ryzyko finansowe, inżynieria finansowa (Investments, financial instruments,nonfinancial assets, financial engineering), Wydawnictwo Naukowe PWN, 3rd revised edition, Warsaw 2006.
• Kołodziejczyk K., Systemy emerytalne w Ameryce Łacińskiej: od repartycji do kapitalizacji (Pension systems in Latin America: from repartition to capitalisation), Wydawnictwo Wyższej Szkoły Bankowej, Poznań 2004.
• Łyniewska A., Dlaczego Wenezuela stała w miejscu, kiedy Chile szybko się rozwijało? (Why was Venezuela motionless, whereas Chile developed fast?), in: L. Balcerowicz, A. Rzońca, Zagadki wzrostu gospodarczego: Siły napędowe i kryzysy - analiza porównawcza (Mysteries of economic growth: Driving forces and crises - comparative analysis), Academia Oeconomica, C.H. Beck, Warsaw 2010.
• Martinez C., Sahm C., Knowledge and Retirement Savings with Personal Accounts in Chile, 2005.
• Mittelstaedt H. F., Olsen J. C., An empirical analysis of the investment performance of the Chilean pension system, Cambridge University Press, March 2003.
• PrimAmerica Consultores, Informe sistema de AFP, Octubre, Santiago de Chile 2000.
• Reid G., Mitchell O. S., Social security administration in Latin America and the Caribbean. Report to the Public Sector Modernization and Private Sector Development Unit, Washington, D.C.: World Bank, March 1995.
• Rofman R., Fajnzylber E., Herrera G., Reforming the Pension Reforms: The Recent Initiatives and Actions on Pensions in Argentina and Chile, "World Bank Social Protection Discussion Paper", No. 0831, May 2008.
• SAFP, The Chilean Pension System (Third Edition), Superintendency of Pension Funds Administrators, Santiago de Chile 1999.
• SAFP, The Chilean Pension System (Fourth Edition), Superintendency of Pension Funds Administrators, Santiago de Chile 2003.
• SAFP, Gobierno de Chile Superinterdencia de AFP, Comunicado de Prensa, Santiago, 10 de febrero de 2003.
• Sławiński A., Rola inwestorów instytucjonalnych, banków i funduszy arbitrażowych w rozwoju globalnego rynku finansowego (Role of institutional investors, banks and arbitration funds in the development of the global financial market), Zeszyty Naukowe Kolegium Gospodarki Światowej SGH, 2007, No. 21.
• Sławiński A., Rynki finansowe (Financial markets), PWE, Warsaw 2006.
• Superintendencia de Administradoras de Fondos de Pensiones- SAFP (http://www.safp.cl/573/propertyvalue-1849.html).
• Tonks I., Performance Persistence of Pension-Funds Managers, "Journal of Business", Vol. 78, No. 5, September 2005.
• UBS, Q-Series: Pension Fund Asset Allocation, "UBS Investment Research", September 2003.
• Vittas D., Pension Funds and Capital Markets, Investment regulation, financial innovation, and governance, "World Bank Note", No. 71, February 1996.
• World Federation of Exchanges (http://www.world-exchanges.org/).
• Yermo J., The Performance of the Funded Pension Systems in Latin America, "World Bank Background Paper For Regional Study On Social Security Reform", 1.01.2004 (http://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2004/11/16/000090341_20041116112123/Rendered/PDF/304900JYermo1RegionalAFPPerformance.pdf , downloaded: 14 February 2011.