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

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dc.contributor.authorLopez, Fernando
dc.contributor.authorWalker, Eduardo
dc.date.accessioned2025-01-20T23:55:35Z
dc.date.available2025-01-20T23:55:35Z
dc.date.issued2021
dc.description.abstractWe 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.
dc.fuente.origenWOS
dc.identifier.doi10.1017/S1474747219000350
dc.identifier.eissn1475-3022
dc.identifier.issn1474-7472
dc.identifier.urihttps://doi.org/10.1017/S1474747219000350
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/95097
dc.identifier.wosidWOS:000600595800007
dc.issue.numero1
dc.language.isoen
dc.pagina.final150
dc.pagina.inicio125
dc.revistaJournal of pension economics & finance
dc.rightsacceso restringido
dc.subjectAsset allocation
dc.subjectmulti-fund
dc.subjectpension funds
dc.subjectperformance evaluation
dc.subjectstyle analysis
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleInvestment performance, regulation and incentives: the case of Chilean pension funds
dc.typeartículo
dc.volumen20
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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