Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds
This paper studies the portfolio choice of strategic fund managers in the presence of a peer-based underperformance penalty. Evidence is taken from the Colombian pension fund management industry, where six asset managers are in charge of portfolio...
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
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World Bank Group, Washington, DC
2014
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| Online Access: | http://documents.worldbank.org/curated/en/2014/07/19902944/strategic-interactions-portfolio-choice-money-management-evidence-colombian-pension-funds http://hdl.handle.net/10986/19382 |
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okr-10986-19382 |
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oai_dc |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
ACCOUNTING AGGREGATE FUND ASSET ALLOCATION ASSET CLASSES ASSET MANAGEMENT ASSET MANAGEMENT INDUSTRY ASSET MANAGERS ASSET PRICE ASSET PRICING ASSETS UNDER MANAGEMENT BANKRUPTCY BEHAVIOR OF MANAGERS BENCHMARKS BPS CAPTIVE MARKET CEO CONFIDENCE INTERVAL CONFIDENCE INTERVALS DEVELOPMENT BANK DOMESTIC CAPITAL DOMESTIC CAPITAL MARKET DOMESTIC CORPORATE DEBT DOMESTIC MARKET DOMESTIC STOCK DOMESTIC STOCKS DUMMY VARIABLE EQUITY MUTUAL FUNDS EQUITY SECURITIES EXCESS PERFORMANCE EXPOSURE FEDERAL RESERVE FEDERAL RESERVE BANK FINANCIAL MARKETS FINANCIAL PERFORMANCE FINANCIAL SERVICES FINANCIAL STUDIES FLOWS FUND FAMILIES FUND HOLDINGS FUND MANAGEMENT FUND MANAGER FUND MANAGERS FUND SHARE GOVERNMENT DEBT HEDGE FUND HEDGE FUND INDUSTRY HEDGE FUNDS HOLDING INDIVIDUAL ACCOUNTS INDIVIDUAL FUND INDIVIDUAL FUND RETURNS INDIVIDUAL RETIREMENT INDIVIDUAL RETIREMENT ACCOUNTS INDIVIDUAL SECURITIES INDIVIDUAL STOCK INDIVIDUAL STOCKS INSTITUTIONAL INVESTORS INTERNATIONAL BANK INVESTMENT BEHAVIOR INVESTMENT DECISION INVESTMENT STRATEGIES INVESTMENT STRATEGY LIQUIDITY MARKET BENCHMARK MARKET CAPITALIZATION MARKET INDEX MARKET PORTFOLIO MARKET RETURNS MOMENTUM INVESTMENT STRATEGIES MOMENTUM STRATEGIES MOMENTUM TRADING MONEY MANAGEMENT MONEY MANAGERS MUTUAL FUND MUTUAL FUND BEHAVIOR MUTUAL FUND HERDING MUTUAL FUND INDUSTRY MUTUAL FUND MANAGERS MUTUAL FUND PERFORMANCE MUTUAL FUNDS MUTUAL-FUND MUTUAL-FUND FAMILIES NUMBER OF SHARES OPTIMAL PORTFOLIO OVERALL PORTFOLIO PASSIVE PORTFOLIO PENSION PENSION FUND PENSION FUND INVESTMENT PENSION FUND MANAGERS PENSION FUNDS PENSION SYSTEM PENSION SYSTEMS PENSIONS PERFORMANCE FEES POLITICAL ECONOMY PORTFOLIO PORTFOLIO ALLOCATION PORTFOLIO CHANGE PORTFOLIO CHOICE PORTFOLIO CHOICES PORTFOLIO COMPOSITION PORTFOLIO HOLDING PORTFOLIO HOLDINGS PORTFOLIO MANAGEMENT PORTFOLIO MANAGERS PORTFOLIO OF FUND PORTFOLIO PERFORMANCE PORTFOLIO RETURNS PORTFOLIO STRATEGIES PORTFOLIO WEIGHT PORTFOLIO WEIGHTS PORTFOLIOS PRICE CHANGES PRIVATE PENSION PRIVATE SECTOR DEVELOPMENT PROFESSIONAL INVESTORS PURCHASING RATE OF RETURN REGULATORY CONSTRAINTS RETIREMENT SAVINGS RETURN RETURNS RISK TAKING S&P SALES SAVINGS SECURITIES SHARE OF ASSETS SHARE OF STOCK SHORT SELLING SMALL FUND STOCK CHARACTERISTICS STOCK INDEX STOCK MARKET STOCK OWNERSHIP STOCK PRICE STOCK PRICES STOCK RETURNS STOCK SPLITS STOCK TRADES STOCK WEIGHTS STOCKS SUCCESS FEES TIME DUMMY TRADING TRADING ACTIVITY TRADING VOLUME VALUE OF ASSETS WINDOW DRESSING |
| spellingShingle |
ACCOUNTING AGGREGATE FUND ASSET ALLOCATION ASSET CLASSES ASSET MANAGEMENT ASSET MANAGEMENT INDUSTRY ASSET MANAGERS ASSET PRICE ASSET PRICING ASSETS UNDER MANAGEMENT BANKRUPTCY BEHAVIOR OF MANAGERS BENCHMARKS BPS CAPTIVE MARKET CEO CONFIDENCE INTERVAL CONFIDENCE INTERVALS DEVELOPMENT BANK DOMESTIC CAPITAL DOMESTIC CAPITAL MARKET DOMESTIC CORPORATE DEBT DOMESTIC MARKET DOMESTIC STOCK DOMESTIC STOCKS DUMMY VARIABLE EQUITY MUTUAL FUNDS EQUITY SECURITIES EXCESS PERFORMANCE EXPOSURE FEDERAL RESERVE FEDERAL RESERVE BANK FINANCIAL MARKETS FINANCIAL PERFORMANCE FINANCIAL SERVICES FINANCIAL STUDIES FLOWS FUND FAMILIES FUND HOLDINGS FUND MANAGEMENT FUND MANAGER FUND MANAGERS FUND SHARE GOVERNMENT DEBT HEDGE FUND HEDGE FUND INDUSTRY HEDGE FUNDS HOLDING INDIVIDUAL ACCOUNTS INDIVIDUAL FUND INDIVIDUAL FUND RETURNS INDIVIDUAL RETIREMENT INDIVIDUAL RETIREMENT ACCOUNTS INDIVIDUAL SECURITIES INDIVIDUAL STOCK INDIVIDUAL STOCKS INSTITUTIONAL INVESTORS INTERNATIONAL BANK INVESTMENT BEHAVIOR INVESTMENT DECISION INVESTMENT STRATEGIES INVESTMENT STRATEGY LIQUIDITY MARKET BENCHMARK MARKET CAPITALIZATION MARKET INDEX MARKET PORTFOLIO MARKET RETURNS MOMENTUM INVESTMENT STRATEGIES MOMENTUM STRATEGIES MOMENTUM TRADING MONEY MANAGEMENT MONEY MANAGERS MUTUAL FUND MUTUAL FUND BEHAVIOR MUTUAL FUND HERDING MUTUAL FUND INDUSTRY MUTUAL FUND MANAGERS MUTUAL FUND PERFORMANCE MUTUAL FUNDS MUTUAL-FUND MUTUAL-FUND FAMILIES NUMBER OF SHARES OPTIMAL PORTFOLIO OVERALL PORTFOLIO PASSIVE PORTFOLIO PENSION PENSION FUND PENSION FUND INVESTMENT PENSION FUND MANAGERS PENSION FUNDS PENSION SYSTEM PENSION SYSTEMS PENSIONS PERFORMANCE FEES POLITICAL ECONOMY PORTFOLIO PORTFOLIO ALLOCATION PORTFOLIO CHANGE PORTFOLIO CHOICE PORTFOLIO CHOICES PORTFOLIO COMPOSITION PORTFOLIO HOLDING PORTFOLIO HOLDINGS PORTFOLIO MANAGEMENT PORTFOLIO MANAGERS PORTFOLIO OF FUND PORTFOLIO PERFORMANCE PORTFOLIO RETURNS PORTFOLIO STRATEGIES PORTFOLIO WEIGHT PORTFOLIO WEIGHTS PORTFOLIOS PRICE CHANGES PRIVATE PENSION PRIVATE SECTOR DEVELOPMENT PROFESSIONAL INVESTORS PURCHASING RATE OF RETURN REGULATORY CONSTRAINTS RETIREMENT SAVINGS RETURN RETURNS RISK TAKING S&P SALES SAVINGS SECURITIES SHARE OF ASSETS SHARE OF STOCK SHORT SELLING SMALL FUND STOCK CHARACTERISTICS STOCK INDEX STOCK MARKET STOCK OWNERSHIP STOCK PRICE STOCK PRICES STOCK RETURNS STOCK SPLITS STOCK TRADES STOCK WEIGHTS STOCKS SUCCESS FEES TIME DUMMY TRADING TRADING ACTIVITY TRADING VOLUME VALUE OF ASSETS WINDOW DRESSING Pedraza Morales, Alvaro Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds |
| geographic_facet |
Latin America & Caribbean Colombia |
| relation |
Policy Research Working Paper;No. 6994 |
| description |
This paper studies the portfolio choice
of strategic fund managers in the presence of a peer-based
underperformance penalty. Evidence is taken from the
Colombian pension fund management industry, where six asset
managers are in charge of portfolio allocation for the
mandatory contributions of the working population. These
managers are subject to a peer-based underperformance
penalty, known as the Minimum Return Guarantee. The trading
behavior by the managers is studied before and after a
change in the strictness of the guarantee in June 2007. The
evidence suggests that a tighter minimum return guarantee
results in more trading in the direction of peers, a
behavior that is more pronounced for underperforming
managers. These managers rebalance their portfolios by
buying securities in which they are underexposed relative to
their peers, as opposed to selling assets in which they are
overexposed. Overall, the results suggest that incentives
for managers to be close to industry benchmarks play an
important role in the portfolio allocation of these funds. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Pedraza Morales, Alvaro |
| author_facet |
Pedraza Morales, Alvaro |
| author_sort |
Pedraza Morales, Alvaro |
| title |
Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds |
| title_short |
Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds |
| title_full |
Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds |
| title_fullStr |
Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds |
| title_full_unstemmed |
Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds |
| title_sort |
strategic interactions and portfolio choice in money management : evidence from colombian pension funds |
| publisher |
World Bank Group, Washington, DC |
| publishDate |
2014 |
| url |
http://documents.worldbank.org/curated/en/2014/07/19902944/strategic-interactions-portfolio-choice-money-management-evidence-colombian-pension-funds http://hdl.handle.net/10986/19382 |
| _version_ |
1764443823709093888 |
| spelling |
okr-10986-193822021-04-23T14:03:52Z Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds Pedraza Morales, Alvaro ACCOUNTING AGGREGATE FUND ASSET ALLOCATION ASSET CLASSES ASSET MANAGEMENT ASSET MANAGEMENT INDUSTRY ASSET MANAGERS ASSET PRICE ASSET PRICING ASSETS UNDER MANAGEMENT BANKRUPTCY BEHAVIOR OF MANAGERS BENCHMARKS BPS CAPTIVE MARKET CEO CONFIDENCE INTERVAL CONFIDENCE INTERVALS DEVELOPMENT BANK DOMESTIC CAPITAL DOMESTIC CAPITAL MARKET DOMESTIC CORPORATE DEBT DOMESTIC MARKET DOMESTIC STOCK DOMESTIC STOCKS DUMMY VARIABLE EQUITY MUTUAL FUNDS EQUITY SECURITIES EXCESS PERFORMANCE EXPOSURE FEDERAL RESERVE FEDERAL RESERVE BANK FINANCIAL MARKETS FINANCIAL PERFORMANCE FINANCIAL SERVICES FINANCIAL STUDIES FLOWS FUND FAMILIES FUND HOLDINGS FUND MANAGEMENT FUND MANAGER FUND MANAGERS FUND SHARE GOVERNMENT DEBT HEDGE FUND HEDGE FUND INDUSTRY HEDGE FUNDS HOLDING INDIVIDUAL ACCOUNTS INDIVIDUAL FUND INDIVIDUAL FUND RETURNS INDIVIDUAL RETIREMENT INDIVIDUAL RETIREMENT ACCOUNTS INDIVIDUAL SECURITIES INDIVIDUAL STOCK INDIVIDUAL STOCKS INSTITUTIONAL INVESTORS INTERNATIONAL BANK INVESTMENT BEHAVIOR INVESTMENT DECISION INVESTMENT STRATEGIES INVESTMENT STRATEGY LIQUIDITY MARKET BENCHMARK MARKET CAPITALIZATION MARKET INDEX MARKET PORTFOLIO MARKET RETURNS MOMENTUM INVESTMENT STRATEGIES MOMENTUM STRATEGIES MOMENTUM TRADING MONEY MANAGEMENT MONEY MANAGERS MUTUAL FUND MUTUAL FUND BEHAVIOR MUTUAL FUND HERDING MUTUAL FUND INDUSTRY MUTUAL FUND MANAGERS MUTUAL FUND PERFORMANCE MUTUAL FUNDS MUTUAL-FUND MUTUAL-FUND FAMILIES NUMBER OF SHARES OPTIMAL PORTFOLIO OVERALL PORTFOLIO PASSIVE PORTFOLIO PENSION PENSION FUND PENSION FUND INVESTMENT PENSION FUND MANAGERS PENSION FUNDS PENSION SYSTEM PENSION SYSTEMS PENSIONS PERFORMANCE FEES POLITICAL ECONOMY PORTFOLIO PORTFOLIO ALLOCATION PORTFOLIO CHANGE PORTFOLIO CHOICE PORTFOLIO CHOICES PORTFOLIO COMPOSITION PORTFOLIO HOLDING PORTFOLIO HOLDINGS PORTFOLIO MANAGEMENT PORTFOLIO MANAGERS PORTFOLIO OF FUND PORTFOLIO PERFORMANCE PORTFOLIO RETURNS PORTFOLIO STRATEGIES PORTFOLIO WEIGHT PORTFOLIO WEIGHTS PORTFOLIOS PRICE CHANGES PRIVATE PENSION PRIVATE SECTOR DEVELOPMENT PROFESSIONAL INVESTORS PURCHASING RATE OF RETURN REGULATORY CONSTRAINTS RETIREMENT SAVINGS RETURN RETURNS RISK TAKING S&P SALES SAVINGS SECURITIES SHARE OF ASSETS SHARE OF STOCK SHORT SELLING SMALL FUND STOCK CHARACTERISTICS STOCK INDEX STOCK MARKET STOCK OWNERSHIP STOCK PRICE STOCK PRICES STOCK RETURNS STOCK SPLITS STOCK TRADES STOCK WEIGHTS STOCKS SUCCESS FEES TIME DUMMY TRADING TRADING ACTIVITY TRADING VOLUME VALUE OF ASSETS WINDOW DRESSING This paper studies the portfolio choice of strategic fund managers in the presence of a peer-based underperformance penalty. Evidence is taken from the Colombian pension fund management industry, where six asset managers are in charge of portfolio allocation for the mandatory contributions of the working population. These managers are subject to a peer-based underperformance penalty, known as the Minimum Return Guarantee. The trading behavior by the managers is studied before and after a change in the strictness of the guarantee in June 2007. The evidence suggests that a tighter minimum return guarantee results in more trading in the direction of peers, a behavior that is more pronounced for underperforming managers. These managers rebalance their portfolios by buying securities in which they are underexposed relative to their peers, as opposed to selling assets in which they are overexposed. Overall, the results suggest that incentives for managers to be close to industry benchmarks play an important role in the portfolio allocation of these funds. 2014-08-15T18:44:57Z 2014-08-15T18:44:57Z 2014-07 http://documents.worldbank.org/curated/en/2014/07/19902944/strategic-interactions-portfolio-choice-money-management-evidence-colombian-pension-funds http://hdl.handle.net/10986/19382 English en_US Policy Research Working Paper;No. 6994 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank Group, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research Latin America & Caribbean Colombia |