Análisis de la calidad del sistema privado de pensiones peruano en el periodo 2014-2023

Abstract

This research analyzes the quality of the Private Pension System (SPP) in Peru, focusing on the system’s managing entities, the Pension Fund Administrators (AFP), using the dimensions proposed by the World Bank: coverage, benefit adequacy, and financial sustainability. Coverage measures the number of individuals protected by a pension system; benefit adequacy uses the replacement rate to assess whether the pensions received are sufficient to maintain an adequate standard of living. In the case of financial sustainability, it evaluates the system's ability to meet its commitments without creating additional government expenditure.

A complement to the analysis of the Private Pension System (SPP) is profitability, which is considered crucial for gaining legitimacy among the population. That is, if the system generates good returns, it is highly likely that more people will want to enroll, suggesting a possible dependency connection between coverage and benefit adequacy with profitability. To analyze this relationship, a linear regression model is used.

The Markowitz portfolio theory is used to construct profitability benchmarks that assess the performance of the funds managed by AFPs. To achieve this, portfolios are optimized on a monthly basis over a ten-year period, incorporating the investment limits established by the Central Reserve Bank of Peru (BCRP). This process is implemented using R programming, enabling efficient data processing. The results show a positive yet insufficient evolution in coverage, highlighting the need to expand incentives for labor formalization. The replacement rate remains below international standards, posing a challenge to ensuring adequate pensions. Additionally, a high degree of homogeneity in AFP investment strategies is identified, which may be limiting fund profitability. Finally, a relationship between coverage, replacement rate, and fund profitability is confirmed, while financial sustainability is ensured due to the system's design.