The cost of homogeneity in life cycle pension funds: An explanation to demand's inelasticity of Mexican pension funds with a performance attribution test

• Oscar V. De la Torre Torres ^[1] ; Evaristo Galeana Figueroa ^[1] ; José Alvarez-García ^[2]
  1. [1] Universidad Michoacana de San Nicolás de Hidalgo

     Universidad Michoacana de San Nicolás de Hidalgo

     México

     
  2. [2] Universidad de Extremadura

     Universidad de Extremadura

     Badajoz, España

     
• Localización: European Research on Management and Business Economics, ISSN 2444-8834, Vol. 24, Nº. 2, 2018, págs. 97-103
• Idioma: inglés
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• Resumen

  • In the present paper we study the lack of alpha generation in the main defined contribution pension funds (SIEFORES) in Mexico and we compare the performance of each fund against the one of their life-cycle profile peers (SIEFORE type). As we expected, we found underperformance due to management costs and, more specifically, due to a homogeneous performance that we suggest it is induced by the actual investment policy. We also found that the observed betas have values closer to 1, especially in the case of the “all” SIEFORES system benchmark, a result that proves the observed homogeneous performance in all the SIEFORES. With our results we also prove that the return paid by Mexican Public pension funds is due to factors different than portfolio manager skills, supporting the proofs given in the related literature of pension fund de