Examinando por Materia "ETF"
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Ítem ¿Los activos de inversión con criterios ASG generan valor para el inversionista? evidencia a partir de ETF(Universidad EAFIT, 2022) Hoyos, Jonathan Camilo; Restrepo Ochoa, Diana ConstanzaÍtem Alternativa de inversión en productos Offshore para reducir el riesgo local(Universidad EAFIT, 2023) Tobón Álvarez, Julián Camilo; Jiménez Suaza, Sara Milena; Botero Ramírez, Juan CarlosOffshore investments with local products are an alternative that helps to reduce local risk, especially in developing countries like Colombia where the country risk is medium to high. This can be achieved through better diversification by operating the products in risk environments different from their own. Hence, taking the ETFs as a risk-diversifying alternative with multiple assets and the help of mathematical models for portfolio construction and price projection, the outcome will be a balanced portfolio which, compared to the results of the main Latin-American indices during the last 10 years, can exceed them in terms of higher profitability and a lower risk profile.Ítem ETF como alternativa de inversión del ahorro pensional en Colombia(Universidad EAFIT, 2024) Sinitavé Escobar, Edison; Freixas, XavierThe general pension system in Colombia has not guaranteed the protection of the elderly and has favored the gaps of economic inequality in the population during old age. The increase in life expectancy added to the fall in birth rates weakens its sustainability. Given that the returns in real terms that private pension funds have obtained are not enough to compensate for management costs, it is proposed as an alternative for saving for old age that Colombians invest through the Colombian Stock Exchange in the CSPX ETF. With the Markowitz model, the frontier of efficient portfolios is built, made up of the CSPX ETF and the 10-year Colombian State TES indexed to the Real Value Unit. By selecting efficient portfolios that are equivalent in risk to each of the different types of mandatory pension funds, it is concluded that these portfolios would create a higher real return net of commissions and insurance in the long term, which provides greater economic protection for old age.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 FernandoThis 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.