Examinando por Materia "Alpha de Jensen"

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    Buscando alfa en el mercado accionario colombiano: evaluación de la oferta de FIC en el país y la posible influencia de las recomposiciones de índices sobre su selección
    (Universidad EAFIT, 2017) Aristizábal Castaño, Juan Diego; Mondragón Trujillo, Luis Fernando
    This paper aims to assess the indirect impact that specific asset inclusions and exclusions from well followed market indices might cause to Colombian mutual fund’s Alphas -- By computing the Jensen Alpha for 60 Colombian mutual funds it is possible to conclude that a very small share of these investment vehicles performs better than their benchmarks -- Then by directing an event study on the FTSE Russell and MSCI index reviews, some evidence is found about the positive impact on asset’s value that comes with inclusions in the international indices and the negative impact when it comes to exclusions -- No consistent effects are found in the case of the local index -COLCAP- reviews -- Finally, it is possible to show how a mutual fund adjusting allocations based on international index reviews might well improve its alpha
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    Colombian mutual funds that invest in stocks: Do they create value?
    (Universidad EAFIT, 2016-06-22) Monsalve, Juan David; Arango Toro, Nicolas
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    ¿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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    Diferencias respecto a la performance de los activos financieros versus activos convencionales
    (Universidad EAFIT, 2021) Piedrahita Muñoz, Estefania; Vergara Garavito, Judith Cecilia
    In this Final Master's Project (TFM) an analysis is carried out that compares the performance of conventional investment assets and sustainable investment assets, specifically, their profitability and level of risk. For this, indicators such as the Sharpe ratio, the Treynor ratio, Jensen's alpha and risk indicators that are analyzed through the volatility index and beta are used. It is obtained those conventional funds have generated 0.28% more than average total return over the last six years, which is a very small difference. The study finally concludes that sustainable investment funds show returns very close to their opponents in traditional funds, despite the fact that ESG factors affect their selection of values, which implies a greater risk for these portfolios.
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    Evaluación financiera de cinco de los Fondos de Inversión Colectiva más representativos en Colombia
    (Universidad EAFIT, 2018) Maya Martínez, Manuel; Gutiérrez Rangel, Germán
    The following work seeks to analyze five of the most important mutual funds available for investors in the Colombian market, evaluating their historical performance based on their returns and volatility -- For this purpose, the author will use the CAPM model devised by Sharpe-Lintner (1964), which is widely accepted in the traditional financial theory to define the appropriate return rate for a determined financial asset, according to its risk -- Furthermore, we will establish if these funds generate Economic Value Added (EVA®) comparing their real return with the minimum expected profit for each of them, also using Jensen’s Alpha theory -- Last, conclusions will be made about the results helping readers to make future investment decisions
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    Medidas de evaluación de desempeño de portafolio para los sectores del S&P 500
    (Universidad EAFIT, 2019) Latorre Uribe, Eduardo; Ospina Mejía, Jaime Alberto
    The objective of this paper is to evaluate the performance of the Standard and Poor’s 500 by sector based on the Modern Portfolio Theory. It begins with the definition of some basic math concepts which are important when working with the Portfolio Theory. Those include concepts such as return, standard deviation and correlation among others. Following these definitions, we describe some portfolio measures (these involve the Sharpe´s ratio, the Treynor ratio and the Jensen´s Alpha amid others) showing how they are calculated and some of their most important characteristics. Then the model used for this paper is presented and explained. Next the results obtained with the model are shown and lastly some conclusions are presented.