<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422015000300593</article-id>
<article-id pub-id-type="doi">10.1016/j.cya.2015.05.009</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[A minimum variance benchmark to measure the performance of pension funds in Mexico]]></article-title>
<article-title xml:lang="es"><![CDATA[Propuesta de un benchmark de mínima varianza para medir el desempeño de los fondos de pensiones en México]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[De la Torre Torres]]></surname>
<given-names><![CDATA[Oscar V.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Galeana Figueroa]]></surname>
<given-names><![CDATA[Evaristo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Martínez Torre Enciso]]></surname>
<given-names><![CDATA[María Isabel]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Aguilasocho Montoya]]></surname>
<given-names><![CDATA[Dora]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Michoacana de San Nicolás de Hidalgo  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>MX</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad Autónoma de Madrid  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>ES</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>09</month>
<year>2015</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>09</month>
<year>2015</year>
</pub-date>
<volume>60</volume>
<numero>3</numero>
<fpage>593</fpage>
<lpage>614</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422015000300593&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422015000300593&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422015000300593&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[We propose the use of the minimum variance portfolio as weighting method in a strategy benchmark for pension funds performance in Mexico. By performing three discrete event simulations with daily data from January 2002 to May 2013, we test this benchmark's weighting method against the Max Sharpe ratio one and a linear combination of both benchmarks (minimum variance and Max Sharpe). With the Sharpe ratio, the Jensen's alpha significance test and the Huberman and Kandel' (1987) spanning test, we found that the three benchmarks have a statistically equal performance. By using Bailey's (1992) risk exposure, market representativeness and turnover benchmark quality criteria, we found that the min variance is preferable for the publicly traded Mexican defined contribution pension funds.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[En el presente artículo proponemos el portafolio de mínima varianza como método de ponderación para un benchmark que mida el desempeño de fondos de pensiones en México. Se contrastó éste portafolio contra los logrados ya sea con la máxima razón de Sharpe o el resultante de una combinación lineal de ambos métodos. Esto se hizo con tres simulaciones de eventos discretos con datos diarios de enero de 2002 a mayo de 2013. Con la razón de Sharpe, la prueba de significancia de la Alfa de Jensen y la prueba de expansión de Huberman y Kandel (1987), se encontró que los portafolios simulados tienen una performance similar. Al utilizar los criterios exposición al riesgo, representatividad de los mercados objeto de inversiín y el nivel de rebalanceo propuestos por Bailey (1992), encontramos que el método de mínima varianza es preferible para medir el desempeño de fondos de pensiones en México.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Simulation modeling]]></kwd>
<kwd lng="en"><![CDATA[Min variance portfolio]]></kwd>
<kwd lng="en"><![CDATA[Pension funds]]></kwd>
<kwd lng="es"><![CDATA[Modelos de simulación]]></kwd>
<kwd lng="es"><![CDATA[Portafolio de mínima varianza]]></kwd>
<kwd lng="es"><![CDATA[Fondos de pensiones]]></kwd>
</kwd-group>
</article-meta>
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