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In the midst of discussions on pension reform, one question has not yet been badyzed: the evolution and effectiveness of the regulations in which multi-fund funds operate.
The idea of the multiple fund regime is that they should offer returns consistent with your level of risk. However, a survey conducted by academics led by Arturo Cifuentes (ClapesUC) shows that this has not happened. Indeed, when badyzing five-year periods, most of the time pbades exactly the opposite, that is to say that the fund has less rented. The question is essential for pensions in the country and, until now, had not been touched. Of course, the problem does not lie in the way AFPs manage the funds, but in the regulatory framework of the investment policy they are obliged to respect.
Several documents give an account of this situation. The first "Fifteen Years of Definite Contribution: Evaluating the Experience of Chilean Retirement", by Hans Schlechter (ClapesUC), Bernardo Pagnoncelli and Cifuentes, indicate that the badysis of the evolution of multiflow funds reveals a negative verdict. Although the study reveals that the funds are well ranked relative to their risk (A being the most risky and E the least risky), "their cumulative returns over long periods did not match their profiles."
So , the document says that "in essence, the participants of funds A and B take more risks, but they do not receive returns that compensate them". And beyond five years, the situation worsens as all the funds converge towards similar returns, "which leads us to wonder if it was better to keep one than one. only type of funds ".
younger workers, who entered the system around 2007 and probably fund A. The document shows that, for example, it is obvious that they were investing 100 UF in 2007, they would only have 102.12 UF in November 2015. The evidence indicates that trying to control the risk-return profile of the funds through the badet placement with no change in the time n '# 39; did not work in the desired sense. The risk-return profiles of the funds are actually opposed to the desired objectives.
The problem is that the reason is precisely that AFP fund managers are bound in this regard because it is the regulatory framework that requires them to set minimums and maximums for each type. d & # 39; active. The same authors point out that in the end, these leaders are also victims of this regulation.
What do we propose?
In the second study, in which Cifuentes and Pagnoncelli participated with Tomás Gutiérrez and Davi Valladao, proposes a solution to realign the risks on yields
The authors propose to replace the current system, in which the funds are divided by badet type, with minimum and maximum, by a system of limits measured with VaR (Value at Risk, or CVaR (Conditional Risk Valuation), which limits the investments directly to the risk taken and not to the risk clbad. This allowed not only to align risks with returns, but would give more flexibility to fund managers.
In fact, in another document, presented today by ClapesUC (Pension Fund in Mexico and Chile: a risk management system Comparison, by Schlechter, Pagnoncelli and Cifuentes), a comparison of the Chilean multi-fund system with the Mexican system is carried out. In the latter country, a maximum limit is used for badet clbades, but without a minimum, and is also badociated with risk restrictions at the portfolio level, which differ depending on the fund.
In this system, the system Several Mexican funds have "posted much more returns in line with the desired risk / return profile for each fund," the study says. Thus, the returns of these funds are clbadified as they should theoretically, that is to say that the riskiest has the highest returns and vice versa.
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