Determinación de un portafolio de referencia para las SIEFORE Básicas a través de un modelo de riesgo-rendimiento que optimiza la tasa de reemplazo

Abstract

Determinación de un portafolio de referencia para las SIEFORE Básicas a través de un modelo de riesgo-rendimiento que optimiza la tasa de reemplazo Determination of a reference portfolio for the Siefore Básicas through a risk-return model that optimizes the replacement rate Resumen: El sistema pensionario en México opera actualmente a través de cuentas individuales en donde el trabajador, el patrón y el gobierno aportan un porcentaje del salario a la cuenta de cada afiliado. Estos recursos son invertidos en diversos instrumentos financieros a través de Sociedades de Inversión (SIEFORES). El objetivo del estudio es elaborar un portafolio de referencia para cada una de las cuatro SIEFORE Básicas, incorporando activos y pasivos de largo plazo, para optimizar las inversiones del portafolio, con el fin de lograr la máxima tasa de reemplazo posible. Los resultados convergen a portafolios más conservadores que los que actualmente administran las SIEFORE. El portafolio de referencia obtenido asigna un bajo porcentaje a instrumentos de renta variable y un mayor peso a instrumentos de renta fija, la optimización elige también portafolios con instrumentos de menor plazo, 3 y 5 años, sobre instrumentos de más largo plazo. n Palabras clave: AFORE, pensiones, portafolio de referencia, renta fija, renta variable.n Clasificación jel: H75, J26.n Abstract: The Mexican system of pensions nowadays works through individual accounts, where the employee, employer and the government give a percentage of the wage to the individual account of the worker. The resources are invested in different financial instruments trough Investment Societies (SIEFORES). The objective of the paper is to construct a benchmark portfolio for each of four Basic SIEFORE, which permits incorporate the existence of long-term assets and liabilities to optimize the investments of this benchmark portfolio and to obtain the biggest replacement rate. The selected benchmark portfolio in the model assigns a

Optimization of Portfolio Management Models with Indexed Stocks on the Lima Stock Exchange

“…In Peru, as of 2015, the pension fund managers (AFPs, from initials in Spanish) recorded a capital endowment level of S/ 124,135 million, which has been increasing due to the growth in the number of members and their respective individual contributions (Medina & Cáceres, 2016). A similar situation occurs in Mexico (Núñez & León, 2019).…”

“…In the framework of the Pacific Alliance, the Latin American Integrated Market (MILA, from initials in Spanish) was created with the stock exchanges of Mexico, Lima, Santiago, Bogota in order to be able to diversify the investment portfolio to improve returns (Ortegón & Torres, 2016;SMV, 2011). Likewise, Álvarez-Franco et al (2017), Vargas (2012, Medina & Cáceres, (2016); Núñez & León (2019); Sotelo (2015), Cabezas et al (2020), state that portfolio management in Latin American countries uses empirical and intuitive methods which generate systemic risk.…”

Strategies in Retirement Fund Selection in the Mexican Retirement Market 1997-2018

“…Each provider (AFORE) manages a set of five mandatory retirement funds (SIEFORES from SB0 to SB4), that is, there were fifty available mandatory retirement funds. As can be seen in Table 1, regulations regarding AFORES in Mexico take Modigliani's (1966) life cycle perspective to categorize active workers propensity for taking risks (Nuñez and León, 2018). Recall that Modigliani's (1966) assumption is that, on average, the earning power diminishes well before the termination of life; therefore, as people get older, they consume more and save less.…”