Background:

The evaluation of selectivity, market timing and investment leadership exercised by the multifunds dependent on the Pension Fund Administrators (PFAS) is a topic of particular interest for workers in Chile, especially after the implementation of the first new affiliates’ portfolio bidding process.

Methodology:

Using the Quadratic Market Model, with mobile time windows, along with Granger causality tests, this article analyzes the performance and leadership in investments of six PFAS in the five existing multifunds in Chile, from September 2010 to March 2016.

Results:

The results indicate that the multifunds show abilities that do not reach to compensate the commissions charged. However, in terms of net performance of commissions, compared to the industry average, the pension fund administrators, Modelo and Habitat respectively, stand out in all the multifunds. In addition, no relationship between investment leadership and net performance of commissions is detected.

Conclusions:

The article concludes by highlighting the importance of the commissions in the net performance of the multifunds and the potential effect that a greater number of competitors would have on the industry. In this regard, the Pension Fund Administrator Modelo stands out, which shows approximately 1.63% of better performance than the industry average, due to its lower commission detected in the entire analysis period.