Examinando por Materia "Ratio de Sharpe"

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    Ítem
    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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    Ítem
    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.
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    Ítem
    Selección de portafolio y asignación óptima de capital para fondos de inversión colectiva en Colombia por perfil de riesgo de inversionista
    (Universidad EAFIT, 2022) Arrieta Bula, Eyis Lorena; Casas Bello, Edna Rocio; Botero Ramírez, Juan Carlos
    This work will develop an optimal portfolio selection exercise composed of Colombian Collective Investment Funds, according to the risk profile of investors, based on the portfolio theory of Markowitz (1952). The results are to offer an investment alternative different from the traditional savings products currently available in the Colombian financial system, in accordance with the objective, time horizon and risk profile of the investor. The optimal combination of FICs for each risk profile is obtained by choosing the combination of FICs that has the maximum value of the Sharpe ratio (1964) when the efficient frontier is divided into three segments, one for each risk profile considered.