An actual Position Benchmark for Mexican pension funds performance

The present paper proposes the use of a life cycle investment benchmark (called actual position benchmark or apb) in the asset types allowed in the consar rules for Mexican pension funds (Siefores). Its mean-variance efficiency is tested against the equally weighted, the minimum variance and max Sharpe ratio (msr) portfolios with a daily bac- ktest from April 2008 to April 2013 and a 10-year daily Monte Carlo simulation. The re- sults suggest that even though the msr portfolio gives the highest accumulated return, the apb is an acceptable benchmark by its stable and statistically equal Sharpe ratio, its max drawdown behavior, and its statistically equal return against the former.