Riesgos Financieros Cartagena, 23 y 24 de abril, 2009

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  • Riesgos FinancierosCartagena, 23 y 24 de abril, 2009

  • Las inversiones que se efecten con recursos de un fondo de pensiones tendrn como nico objetivo la obtencin de una adecuada rentabilidad y seguridad.Art. 45, DL 3.500Objetivo que define la ley para la Gestin de Inversiones

  • For managers who have a mandate to beat a benchmark, risk must be measured in relative terms... The relevant return is the tracking error. Philippe Jorion (pag. 411, second edition, Value at Risk). Asset managers are particularly concerned with the risk that their portfolio will underperform a benchmark. In this case, the appropriate risk statistic is not the VaR of their portfolio, but rather the deviation with respect to the benchmark. Riskmetrics.

    Qu dice la literatura ?

  • Evolucin Histrica Inversin en Renta Variable Industria

    Grfico2

    0.0808

    0.1011

    0.113

    0.2387

    0.2423

    0.3223

    0.3303

    0.3266

    0.2932

    0.2733

    0.217

    0.241

    0.232

    0.2188

    0.237

    0.3806

    0.4322

    0.4686

    0.522

    0.537

    0.416

    % RV

    % RV sobre Total AUM

    Hoja1

    FondoRent. %

    A-32.92%

    B-23.06%

    C-12.25%

    D-4.48%

    E2.74%

    Hoja1

    0

    0

    0

    0

    0

    Rent. %

    Rentabilidad Real Industria (ltimos 12 meses)

    Hoja1 (2)

    FondoMar-08Mar-09

    A26,93512,649

    B26,92715,099

    C51,72935,873

    D13,08611,096

    E2,6597,509

    12133682226

    Hoja1 (2)

    00

    00

    00

    00

    00

    Mar-08

    Mar-09

    Hoja2

    MercadoFecha del mnimo del MercadoRetorno acumulado desde el mnimo

    USA3/9/0920.6%

    Alemania3/6/0914.7%

    Francia3/9/0912.8%

    Italia3/9/0924.4%

    Espaa3/9/0916.2%

    Japn3/12/0912.6%

    Corea10/24/0827.6%

    Taiwan11/20/0827.3%

    India3/9/0922.4%

    Hong Kong10/27/0822.2%

    Brasil10/27/0842.4%

    Mxico10/27/0820.3%

    Per10/27/0854.6%

    Colombia10/27/0824.0%

    Argentina11/21/0840.6%

    Chile10/10/0816.9%

    Hoja3

    Hoja5

    Ao% RV

    Dec-888.08%

    Dec-8910.11%

    Dec-9011.30%

    Dec-9123.87%

    Dec-9224.23%

    Dec-9332.23%31.890.3432.23

    Dec-9433.03%32.180.8533.03

    Dec-9532.66%30.092.5732.66

    Dec-9629.32%26.013.030.2829.32

    Dec-9727.33%23.423.060.8527.33

    Dec-9821.70%

    Dec-9924.10%

    Dec-0023.20%

    Dec-0121.88%

    Dec-0223.70%7.292.2512.2821.82

    Dec-0338.06%13.553.7220.7938.06

    Dec-0443.22%0

    Dec-0546.86%0

    Dec-0652.20%0

    Dec-0753.70%18.934.853.7

    Dec-0841.60%16.325.341.6

    0

    Hoja5

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    0

    % RV

    % RV

    Hoja4

    OtrosRF Extr.RF Local PblicaRF Local PrivadaDepsitos a PlazoRV Extr.RV Local

    A-1.2%3.7%2.6%10.7%11.0%49.9%23.3%

    B-0.6%3.3%8.8%18.6%16.7%32.5%20.7%

    C-0.2%3.8%14.5%32.2%16.1%16.6%17.0%

    D-0.1%4.9%21.3%35.2%22.5%7.1%9.1%

    E0.0%2.3%32.2%32.0%33.4%0.1%0.0%

    Total-0.3%3.7%15.0%25.8%17.9%21.8%16.1%

    Hoja1 (3)

    FondoRent. %

    A-40.26%

    B-30.08%

    C-18.94%

    D-9.86%

    E-0.93%

    8.8

    32.3

    Hoja1 (3)

    0

    0

    0

    0

    0

    Rent. %

    Rentabilidad Real Ao 2008 Industria Multifondos

  • Eventos en el Mercado InternacionalMadoff

  • Eventos en el Mercado Local1997-19981999-20022003-200420052006-20072008CasoChispas PrepagoSecuritizadosInverlinkConcesionesUso de Informacin PrivilegiadaQuiebra Alfa

  • Proceso de Gestin de InversionesPOLTICAS DE INVERSIN Y DE SOLUCIN DE CONFLICTOS DE INTERSCOMIT DE INVERSIONES Y DE SOLUCIN DE CONFLICTOS DE INTERSCOMIT DE INVERSIONES Y RIESGOSCOMITS INTERNOSDIRECTORIORGIMEN DE INVERSIONES

  • Importancia de la Segregacin de Funciones

    Gerencia General

    rea

    de

    Inversiones

    rea

    Middle

    y

    Back Office

    rea

    de

    Riesgos

    rea de Cumplimiento Normativo

    rea

    Legal

  • a) Riesgo de Crdito

    b) Riesgo de Contraparte

    c) Riesgo de Mercado

    d) Riesgo de Liquidez

    e) Riesgo Operacional

    f) Riesgo LegalTipos de Riesgos

  • Lmite global para invertir en el exterior debe ser suficiente para evitar riesgo de presionar sobre activos locales

    Grfico2

    0.15510.2

    0.15540.2

    0.16180.2

    0.16420.2

    0.16790.2

    0.17020.2

    0.17110.25

    0.17620.25

    0.19070.25

    0.19880.25

    0.20990.25

    0.21720.25

    0.21980.25

    0.22390.25

    0.23460.25

    0.23890.25

    0.25150.25

    0.24730.25

    0.27090.3

    0.27720.3

    0.26970.3

    0.27540.3

    0.26760.3

    0.26280.3

    0.26020.3

    0.26880.3

    0.2730.3

    0.27240.3

    0.28220.3

    0.28720.3

    0.27950.3

    0.27590.3

    0.27980.3

    0.27940.3

    0.27840.3

    0.28110.3

    0.28870.3

    0.29020.3

    0.29650.3

    0.30440.3

    0.320.3

    0.31350.3

    0.31830.3

    0.32510.3

    0.31850.3

    0.31220.3

    0.31340.3

    0.31490.3

    0.31250.3

    0.31180.3

    0.31440.3

    0.32310.3

    0.32570.3

    0.33110.3

    0.32310.3

    0.3220.3

    0.32570.3

    0.32620.3

    0.32760.35

    0.34450.35

    0.3590.35

    0.3610.35

    0.3580.35

    0.3560.4

    0.3190.4

    0.3290.4

    0.310.4

    0.3390.4

    0.3650.45

    0.3640.45

    0.3260.45

    0.320.45

    0.2990.45

    0.280.45

    0.2820.45

    0.2850.5

    0.2690.5

    0.2410.5

    0.2550.5

    % Inversin

    % Lmite

    Evolucin Inversin en el Extranjero

    Hoja1 (2)

    29-Dec-9931-Mar-00

    ReginProvidaSist s/PvdaExpProvidaSist s/PvdaExp

    Desarrollados4.50%4.54%-0.04%5.99%5.88%0.11%

    N. America0.33%0.55%-0.22%0.51%0.96%-0.45%

    Europe x UK1.02%0.75%0.27%1.96%1.83%0.13%

    UK0.19%0.27%-0.08%0.87%0.68%0.20%

    Asia2.96%2.97%-0.01%2.65%2.42%0.23%

    Japan2.10%2.21%-0.11%2.04%1.63%0.42%

    HK + Singapore0.73%0.56%0.17%0.45%0.56%-0.11%

    Aust + NZ0.14%0.21%-0.07%0.16%0.24%-0.08%

    Emergentes14.96%15.32%-0.36%16.31%17.31%-0.99%13.34

    Asia0.25%0.44%-0.19%0.33%0.59%-0.26%1.01

    L. America14.18%14.56%-0.38%14.96%15.98%-1.02%14.35

    Chile12.95%13.88%-0.93%13.42%14.41%-0.99%7,030

    L. America x Chile1.23%0.68%0.55%1.56%1.55%0.01%

    Europe & ME0.51%0.30%0.21%1.02%0.69%0.34%

    Africa0.03%0.02%0.01%0.02%0.05%-0.03%

    Otros0.03%0.04%-0.01%0.08%0.09%-0.01%

    Cash0.25%0.32%-0.07%0.26%0.36%-0.10%

    Total RV ex CHILE6.79%6.35%0.44%9.23%9.23%-0.01%

    Total RV19.74%20.23%-0.49%22.65%23.64%-0.99%

    29-Dec-99

    ReginProvidaSist s/PvdaExpReginEstados UnidosReino UnidoEuropa ex RUJapnPacficoEmg AsiaEurope M East & AfricaLatin AmericaCashCHILETOTALMMUSD (RVI)MMUSD (Fondo Total)

    Desarrollados4.50%4.54%-0.04%5001,0691,5684.53%ReginDec-95Dec-99Jun-04% Fondo0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%30.09%30.09%7641.502714120825395.8268857613

    N. America0.33%0.55%-0.22%371291660.48%N. America0.48%% Fondo% RVI% Fondo% RVI% Fondo% RVIDec-95% RVI0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%100.00%0.00%

    Europe x UK1.02%0.75%0.27%1131772900.84%Europe x UK0.84%Estados Unidos0.00%0.00%0.48%2.39%6.07%16.58%% Fondo0.48%0.24%0.84%2.17%0.80%0.38%0.39%0.86%0.33%13.58%20.08%6956.667091150334645.8991851431

    UK0.19%0.27%-0.08%2164850.24%UK0.24%Reino Unido0.00%0.00%0.24%1.22%0.96%2.63%Dec-99% RVI2.39%1.22%4.17%10.83%3.99%1.89%1.94%4.26%1.67%67.64%

    Asia2.96%2.97%-0.01%3296991,0282.97%Europa ex RU0.00%0.00%0.84%4.17%3.25%8.87%% Fondo6.07%0.96%3.25%3.02%1.39%3.30%2.10%1.58%0.58%14.35%36.61%17935.924611504548991.81

    Japan2.10%2.21%-0.11%2335207532.17%Japan2.17%Japn0.00%0.00%2.17%10.83%3.02%8.26%Jun-04% RVI16.58%2.63%8.87%8.26%3.81%9.01%5.74%4.32%1.57%39.20%

    HK + Singapore0.73%0.56%0.17%811322130.61%HK + Singapore0.61%Pacfico0.00%0.00%0.80%3.99%1.39%3.81%

    Aust + NZ0.14%0.21%-0.07%1649650.19%Aust + NZ0.19%Emg Asia0.00%0.00%0.38%1.89%3.30%9.01%

    Emergentes14.96%15.32%-0.36%1,6613,6065,26815.20%Europe M East & Africa0.00%0.00%0.39%1.94%2.10%5.74%

    Asia0.25%0.44%-0.19%281041310.38%Asia0.38%Latin America0.00%0.00%0.86%4.26%1.58%4.32%

    L. America14.18%14.56%-0.38%1,5753,4275,00214.44%Cash0.00%0.00%0.33%1.67%0.58%1.57%

    Chile12.95%13.88%-0.93%1,4383,2674,70613.58%CHILE30.09%100.00%13.58%67.64%14.35%39.20%

    L. America x Chile1.23%0.68%0.55%1371602970.86%L. America x Chile0.86%TOTAL30.09%0.00%20.08%36.61%

    Europe & ME0.51%0.30%0.21%57711270.37%Europe & ME0.37%MMUSD (RVI)7,6426,95717,936

    Africa0.03%0.02%0.01%3580.02%Africa0.02%MMUSD (Fondo Total)25,39634,64648,992

    Otros0.03%0.04%-0.01%39130.04%Otros0.04%

    Cash0.25%0.32%-0.07%28751030.30%Cash0.30%

    Total RV ex CHILE6.79%6.35%0.44%7541,4952,2496.49%Total RV ex CHILE6.49%

    Total RV19.74%20.23%-0.49%2,1924,7626,95420.07%4,706

    11106.024256206223539.874928936934645.899185143113.58%

    407.13

    1033940325,396

    31110857,642

    Hoja1

    MSCI ACWISistema AFPDifReginMSCI ACWISistema AFPDif reasigReginMSCI ACWISistema AFP con ChileDif reasig

    Estados Unidos54.50%27.27%-27.23%Estados Unidos54.50%27.99%-26.51%Estados Unidos54.50%17.50%-37.00%

    Reino Unido10.30%4.33%-5.97%Reino Unido10.30%4.45%-5.85%Reino Unido10.30%2.78%-7.52%

    Europa ex RU17.80%14.59%-3.21%Europa ex RU17.80%14.98%-2.82%Europa ex RU17.80%9.37%-8.43%

    Japn9.60%13.59%3.99%Japn9.60%13.95%4.35%Japn9.60%8.72%-0.88%

    Pacfico3.20%6.26%3.06%Pacfico3.20%6.43%3.23%Pacfico3.20%4.02%0.82%

    Emg Asia2.44%14.82%12.39%Emg Asia2.44%15.22%12.78%Em