Mexico and Chile have Defined Contributions (DC) pension systems. In both cases affliates are offered several investment funds with, allegedly, different risk-return profiles. Analyzing actual return data for the April 2008-March 2018 period, and using a number of risk (and return) related...

In defined contribution (DC) pension schemes, the regulator usually imposes asset allocation constraints (minimum and maximum limits by asset class) in order to create funds with different risk-return profiles. In this article we challenge this approach and show that such funds exhibit erratic...