Analysis of Allocations of Brazil’s Closed Pension Funds ()
ABSTRACT
Research
Problem: What are the characteristics of the allocations in the respective
investment assets (investment portfolios) of the closed pension funds in Brazil about risk x return? Motivation: This article aimed to deepen the knowledge of the social security systems segment, mainly the
Closed Complementary Pension Entities (EFPC, which is also known in Brazil as
Pension Funds) by way of national and
international literature review, but they had their power maximized by
making the Investment Statements—Assets database available to all closed
entities (from 2010 to 2017), through the Regulatory Agency. Test Hypotheses: To achieve the objective of this
study, we proposed two hypotheses: 1) allocations to higher/lower risk assets generate higher/lower risk, and 2) allocations to higher/lower
risk assets generate higher/lower returns. Notably, the referred
research hypotheses are not statistical hypotheses identified in the samples
and need to be tested as valid in a population
because this study analyzes the population of the Investment Statements—Assets (IS) of the closed pension funds of Brazil, with no hypothesis
testing. Adopted Methodology and Analyses: It used
panel data modeling and Generalized Method
of Moments (GMM-Arellano-Bond), about the population of the Investment Statements—Assets (IS) of these entities, made available by the Regulatory Agency. It was analyzed together, by modalities of Defined Benefit (DB), Defined Contribution (DC),
and Variable Contribution (VC) plans
and by size (small, medium, and large). This paper was to research
allocations from investment assets (investment portfolios period 2010-2017), from
pension funds (2nd pillar) of the Brazilian system. Findings: Suggest that closed
pension funds are efficient (Sharpe), and when considering the model applied and the annual periodicity, the
allocations in higher-risk investments result in a higher return.
Share and Cite:
Domeneghetti, V. , Lima, F. and Gatsios, R. (2023) Analysis of Allocations of Brazil’s Closed Pension Funds.
Theoretical Economics Letters,
13, 504-524. doi:
10.4236/tel.2023.133032.
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