Resumo

TORRE TORRES, Oscar Valdemar De la  e  MACIAS TREJO, Luis Guadalupe. The benefits of Socially Responsible Investment in the performance of Mexican pension funds. Rev. mex. econ. finanz [online]. 2017, vol.12, n.3, pp.67-87. ISSN 2448-6795.  https://doi.org/10.21919/remef.v12i3.97.

In the present paper we simulate the impact of investing in socially responsible stocks (members of the IPC sustainable index or IPCS) in Mexican pension funds or SIEFOREs. In order to do this, we used the authorized investment policy by CONSAR and we recalculated the IPCS index from January 2004 by using the market cap method. With this recalculated index we simulated the performance of three SIEFOREs that invest their Mexican equity proceedings either in the IPCS, the IPCcomp or the IPC index. Our results show a sound mean-variance efficiency if the SIEFOREs invest in the IPCS index only. We also found that if the SIEFOREs invest in the IPCS in a Max Sharpe portfolio, they would have a better performance in high volatility periods than investing on the other two indexes.

Palavras-chave : Markov-Switching models; Diversification; Portfolio choice; Financial forecasting and simulation; Socially responsible investment.

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