Examinando por Materia "PORTAFOLIO DE BONOS"

Mostrando 1 - 9 de 9
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    Aproximación a la construcción de un portafolio activo de deuda pública colombiana
    (Universidad EAFIT, 2017) Delgado Upegui, Juan Sebastián; Gaviria Benítez, Daniel Esteban; Colorado González, José Adolfo
    Nowadays, the Colombian capital market offers different investment alternatives, such as fixed income, equities, derivatives and structured products -- Among fixed income instruments, local government bonds (TES B) play an important role within the market, due to its traded volumes and the participation of the main agents -- Considering the importance of the local sovereign debt, an active investment portfolio was constructed using TES by assessing its performance versus a benchmark portfolio -- The portfolio was built using historical data, defining fundamental, market variables and its relevance over the portfolio -- Finally, an optimization was done to find the optimum portfolio
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    Burkenroad Bolsa de Valores de Colombia 2018
    (Universidad EAFIT, 2019) Ordoñez Graces, Marlyn Adriana; Orozco Fernandez, Yeimy Lorena; Restrepo Barth Simon
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    ¿Conviene cubrir el riesgo de inflación con TES UVR? La evidencia en Colombia
    (Universidad Eafit, 2019) Alegría Lozano, Carolina; Agudelo Rueda, Diego Alonso
    This study focuses on the determinants of the differential return between fixed-rate TES (Colombian Treasury Bonds) and UVR TES ( inflation protected) in order to predict when it´s better to invest in either. We find that there are macro or market variables that can predict in some degree which of the two types of bonds will have greater ex-post holding return. In particular, we find that both a greater spread between the ex-ante yields of TES fixed rate and UVR TES (in UVR), and the monetary policy expansion cycle predict a greater ex-post holding return in pesos of TES fixed rate in relationship with UVR for terms of one and two years. For longer terms, positive relations were obtained with the spread, the Central bank intervention rate, the term premium, and annual inflation. Given that all these variables are proxies of higher future inflation, we conclude that the varying demand for inflation coverage may explain to some degree which of the two types of TES will be more profitable. Unexpectedly, the expected inflation variable from Reuters showed no predictive power.
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    Estructuración de portafolios de inversión de renta variable de acuerdo a la teoría del perfil del riesgo para los años 2017-2020 en Colombia
    (Universidad EAFIT, 2019) Vélez Muñoz, Sebastián; Lopera Palacio, Juan Camilo; Bravo Sepúlveda, Mariana
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    Financiación a gran escala en la Alianza del Pacífico : determinantes en la decisión de financiación a través de créditos sindicados Vs. emisiones de bonos
    (Universidad EAFIT, 2020) Henao Rodríguez, Sandra Patricia; Mosquera Valencia, Mario Alberto; Vergara Garavito, Judith Cecilia
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    Inversión en TES : una recomendación desde el análisis macroeconómico colombiano
    (Universidad EAFIT, 2023) Santos López, Juan David; Neira Orozco, Juan Diego; Hurtado Rendón, Álvaro Arturo
    This work analyzes the relationship between macroeconomic variables and the profitability of Treasury Bonds (TES) in Colombia. An empirical approach based on the Vector Autoregressive (VAR) methodology is used to examine this relationship. Based on the literature review, it is identified that macroeconomic variables such as interest rate, Gross Domestic Product (GDP), and Consumer Price Index (CPI) can directly or inversely affect the profitability of TES. The proposed methodology is based on a VAR model that considers TES yield as the dependent variable and GDP, inflation, and interest rate as independent variables. Official data sources such as the National Administrative Department of Statistics (DANE), the Central Bank of Colombia, and the Colombian Stock Exchange (BVC) are used. The results of the statistical analysis indicate that the interest rate, GDP, and CPI have a direct and significant relationship with the profitability of TES, implying that an increase in these variables can lead to an increase in bond profitability. Furthermore, it is found that the lagged CPI with a two-month delay do not have a significant relationship with TES profitability. The findings are consistent with previous research and supported by the Fisher expectations model. The results have important implications for investors and the Colombian government, enabling informed decision-making and adjustments to economic policy. The work proposes a robust methodology and utilizes appropriate statistical analysis to address the relationship between the variables under study.
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    Optimización de portafolio a través de métodos de estimación
    (Universidad EAFIT, 2019) Vélez Pérez, Carolina; González Zuluaga, Felipe; Gitan Riaño, Sandra Constanza
    Investors faced with different portfolio options all the time. What leads the investor to choose one? This document presents some estimation measures that allow the investor to make an optimal decision. Measures such as volatility, VaR, the risk level of the investor can be taken into account, as well as the information that the ratios such as the Sharpe and the Treynor can provide to the model to be applied, which will be the ARCH and GARCH to determine the optimal portfolio that generates the highest profitability with the least possible risk assumed. five American actions were analyzed and the comparison between the different methodologies was made. It was found that the models, methodologies and conceptualisations used to optimize portfolios according to their risk profile were implemented, in the strategic sense, and aligned with current financial market situations. Consequently, it is important to transform traditional savings into an investment strategy in which, through the diversification of financial assets, maximization of returns is achieved.
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    The disposition effect in bonds and stocks : new evidence from an emerging market
    (Universidad EAFIT, 2019) Hincapié Salazar, Juliana; Agudelo Rueda, Diego Alonso