Objective: This research studies individual investment strategies that can be employed by Mexican workers to choose a retirement savings company, to provide evidence that can guide workers and governments in their pursuit for a higher replacement rate. Methods: To accomplish such task, more than 200,000 individual decisions in rolling-windows are simulated, based on more than twenty-years of market prices on retirement funds in Mexico (1997-2018). Outcome: Results indicate that contrarian-based strategies dominate momentum-based strategies in three out of four categories of funds. Recommendations: Moreover, in two out of four categories of funds the highest return is reached by the system’s average, calling for the introduction of an ETF-type of product to the Mexican financial market. Originality: The novelty of this research resides in the perspective of the analysis, positioning the Mexican worker in the role of an investor making a financial choice. Conclusions: The maximum average return is the best way to select a retirement fund manager when there is a guaranteed minimum pension, which acts as a risk-hedge, as it is in the Mexican case.

El riesgo de longevidad, que es la posibilidad de que las personas sobrevivan más allá de lo esperado, puede dañar a los sistemas gubernamentales de pensiones de beneficio definido, ya que se traduce en una potencial subestimación de las reservas para cumplir las obligaciones de pago futuro. Este fenómeno tiene una connotación positiva para los proveedores de seguros de vida, ya que de realizarse el riesgo de longevidad, habría un diferimiento en sus obligaciones financieras. En este artículo se analiza, estructura y se simula un swap de longevidad como mecanismo para reducir la exposición del gobierno federal mexicano al riesgo de longevidad, usando el hedge natural de las posiciones respecto a la longevidad entre las dos instituciones mencionadas.

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