Desempeño financiero de los fondos de pensiones obligatorias en Colombia
Temas de Estabilidad Financiera ; No. 22
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Se evalúa el desempeño financiero a largo plazo de los Fondos de Pensiones, teniendo en cuenta el análisis de rentabilidad y las medidas de riesgo, haciendo un cálculo de indicadores de desempeño y los portafolios e inversiones.
Mandatory pension fund (MPF) affiliates in Colombia do not have a great deal of information to gauge the financial performance of pension fund managers (PFM). At present, each PFM publishes a monthly report on average profitability for the preceding 36 months (tri-annual yield). However, this measure is softened and limits a situation analysis of the yield on those funds. A variance approach that adds a portfolio-risk measurement to the available data would allow for a better assessment of MPF financial performance. If those who contribute to these funds have access to more robust measurements of financial performance, they can choose their MPF on the basis of more complete criteria, as opposed to only tri-annual measurements of profitability. The studies done in Colombia concentrate on evaluating the efficiency of pension funds and on showing the portfolio of these investors is being managed in a financially inefficient way (Jara, Gómez and Pardo, 2005). The primary reason for that inefficiency, according to Jara (2006b), lies with the definition of minimum profitability and the way commissions are structured. These works suggest that pension fund managers lack incentives to perform more efficiently, and propose the application of measures that include MPF portfolio risk. The Sharpe ratio and the information ratio are two examples.