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Ítem Performance evaluation, fund selection and portfolio allocation applied to Colombia's pension funds(Universidad Icesi, 2011-01-22T21:16:36Z) Jaramillo Recio, Fernando; Berggrun Preciado, LuisThis study examines performance of mandatory and voluntary pension funds in the 2004 – 2008 period. Furthermore, we present a methodology based on principal components that can aid affiliates when selecting funds. Moreover, we examine two portfolio optimization methodologies to evaluate any performance improvements in an evaluation period when choosing a particular methodology. The first one suggested by Markowitz (1952) and the second by Reveiz and Leon (2008b). We find an increase in risk, using several metrics, of mandatory and voluntary pension funds as well as a set of funds that better characterize the common movement of funds’ returns. No evidence was found in regards to economically or statistically significant gains of applying either optimization methodology using several holding periods.Ítem Performance Persistence : the case of colombia ’ s Pension and severance Pay funds Persistencia en el desemPeño : el caso de los fondos de Pensiones y cesantías de colombia(Consejo Latinoamericano de Escuelas de Administración, 2011-01-01) Berggrun Preciado, LuisThis paper studies performance persistence for mandatory, voluntary and severance pay funds in Colombia. We test for persistence in terms of raw and style-adjusted returns for consecutive and mul - tiple periods. This document also explores whether an investor following strategies based on persistence can attain statistical and economically significant excess returns. Our results indicate the presence of performance persistence for some funds in the very short run. However, investors pursuing portfolio strategies based on this sort of predictability would have been unable to obtain significant excess returns. More importantly, these findings support the notion of weak-form market efficiency.