Examinando por Materia "Alfa de Jensen"

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    Ítem
    ¿Crean valor los Fondos de Inversión Colectiva colombianos enfocados en acciones?
    (Universidad EAFIT, 2016) Monsalve Arboleda, Juan David; Arango Toro, Nicolás; Agudelo Rueda, Diego Alonso
    In this research we evaluate the performance of 73 Colombian stock mutual funds from 2005 to 2015 -- To quantify the value added by these funds compared to their respective benchmarks, Jensen’s alpha is calculated using two regression methodologies: Ordinary Least Squares (OLS) and Quantile Regression -- We also analyze whether these funds show any evidence of market timing -- We recommend the creation of a private firm in Colombia that would provide investors with accurate information about the features and historical performance of Colombian mutual funds, as Morningstar Inc. does in the USA -- This would enable investors to choose the best fund options andmake the mutural fund market more efficient and appealing to new potential investors
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    Ítem
    La influencia de la calificación ESG sobre los rendimientos de los ETFs de renta variable
    (Universidad EAFIT, 2024) Aponte Sarria, Jaime; Casas Riascos, José de Jesús; Téllez Falla, Diego Fernando
    This study evaluates the performance of 1,075 U.S. domiciled ETFs during 2023 based on their ESG rating, in order to determine the relationship between rating and investor returns. To do so, performance measures such as Jensen's alpha and Sharpe ratio are calculated, and an expansion to the CAPM is performed through the Fama-French three-factor model. Using panel data, a positive and significant relationship was found between the ESG rating of the ETFs and their excess returns. However, when analyzing the ratings according to the ESG quality ranking established by MCSI, no significant differences were found between the excess returns of funds with high ratings and ETFs with average ratings, unlike what happened with funds located in the lower part of the ESG ranking, since they reflect a negative and significant impact on returns.