Examinando por Materia "Renta variable"
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Publicación Construcción de un portafolio en el mercado brasileño : un enfoque basado en el modelo de Black-Litterman(Universidad EAFIT, 2024) Palacios Racines, Lizeth Carolina; Miller Rengifo, Genner Enrique; Botero Ramírez, Juan CarlosThe equity market represents a significant trading volume, modeling price formation and offering good investment opportunities in both national and international markets. In this context, and with the aim of developing an investment portfolio in Brazil, this research focuses on constructing a portfolio composed of equity assets using the Black-Litterman (BL) model to evaluate its performance compared to other models such as Markowitz and CAPM. Portfolios with weekly periodicity and a time horizon exceeding 10 years will be modeled to compare the returns of BL and the aforementioned models. The findings indicate that the Markowitz model provides more diversified investment opportunities, while BL is more concentrated but aligns with higher return expectations.Ítem Estructuración y gestión activa de portafolios de inversión de renta variable(Universidad EAFIT, 2024) Giraldo García, Carlos David; Bustamante Sánchez, Juan Camilo; Mejía Kambourova, DavidThe purpose of this research is to structure three investment portfolios in variable income assets from the United States market based on the active management methodology. To do this, initially the assets of the S&P 500 index were evaluated, of which ten were selected for each portfolio that met the capital allocation criteria, according to the definition of each strategy, and had a greater market capitalization. Next, a weight of 10% was assigned to each asset and backtesting of the profitability of the portfolios was carried out over horizons of five, ten and fifteen years, taking the S&P 500 as a benchmark. The strategies proposed were the following: Profitable growth (Portfolio 1), Risk-low debt ratio (Portfolio 2) and Cash generation (Portfolio 3). From the backtesting it was possible to establish that the three portfolios beat the benchmark index over the fifteen years, and select the winning strategy —Profitable Growth— based on financial indicators such as ROIC, WACC, ROE and revenue growth, which delivered a compound annual return (CAGR) of 32.5% over this period.Ítem Evaluación de alternativas de inversión en estrategias de dividendos crecientes como alternativa o complemento a la pensión(Universidad EAFIT, 2021) Guerrero Quintero, Santiago; Muñoz López, Geraldine; Peña Higuavita, Germán AdolfoThis paper presents the evaluation of different investment options in companies with increasing dividends as an alternative or complement to the pension, in order to evaluate the suitability of the strategy for investors who are in the capital accumulation stage for retirement according to the results obtained. For this, were formed seven portfolios with different periods of time and different selection characteristics in order to review the profitability in terms of cash flows generated for the investor, as well as the return of the share in the period of time between the hypothetical conformation of the portfolio and March 2021, likewise a backtesting was carried out for this same period of time and an evaluation of the behavior of the portfolio in the market was carried out by comparing it with 3 financial instruments and based on this evaluation, a strategy is established that, although it is true, has greater risk, it also generates greater profitability than conventional fixed-income alternatives and that should be taken into account as a very good investment option for the pension stage.Ítem ¿Existen ganancias por la cobertura de riesgo cambiario en un portafolio de acciones global, desde la perspectiva de un inversionista colombiano?(Universidad EAFIT, 2008) Jaramillo Ospina, Catalina María; Montoya Madrigal, Lina María; Maya Ochoa, Cecilia InésThe power of diversification is widely used by investors. In recent years, Colombian investors have moved to offshore markets in order to attain more diversification than what is available in the local market. However, this practice carries an additional risk: the exchange rate risk.Ítem Fondos de inversión colectiva de renta variable gestionados activamente en mercados emergentes(Universidad EAFIT, 2024-1) Astaiza Gómez, José Gabriel; Pantoja Robay, Javier Orlando; Universidad EAFIT; Escuela de Finanzas, Economía y Gobierno; Valor Público EAFITLa información financiera es abundante, y miles de fondos alrededor del mundo la analizan. Sin embargo, esa misma información produce inevitablemente resultados distintos, ya que cada gestora de portafolios tiene su propio enfoque y preferencia por ciertos tipos de activos. En el ámbito de la renta variable, algunas gestoras optan por acciones con momentum, mientras que otras se inclinan por títulos que parecen subvalorados en relación con sus fundamentales. Aunque la información sobre las empresas sea la misma, los estilos de inversión, que a menudo siguen tendencias, pueden generar un rendimiento excepcional en un momento y un rendimiento mediocre en otro. En resumen, un gestor con un enfoque particular puede destacarse frente a sus pares durante un tiempo, y luego pasar a un desempeño común, sin mucho que mostrar.Ítem Inversión eficiente en el mercado de renta variable para las pequeñas y medianas empresas colombianas(Universidad EAFIT, 2022) García Monsalve, Sandra Milena; Manco López, Óscar OswaldoColombian pymes, despite representing more than 90 % of the companies, do not participate as investors in the stock market, which is due, among other things, to cultural and economic reasons and to the lack of knowledge of the financial instruments that they can take advantage of to diversify their investments and obtain returns that would improve their conditions and indicators. This work proposes the creation of an optimal portfolio of variable income financial assets within the Colombian market designed so that the country's PYMEs can generate economic surpluses with a different and more profitable alternative than the commonly used methods, such as CDTs or Trust Accounts. considering that they must assume a type of risk.Ítem Optimización financiera de los portafolios de inversión de los fondos mutuales de una entidad cooperativa colombiana(Universidad EAFIT, 2020) Mesa Cardona, Paulin Tatiana; Ome Narváez, Leidy Tatiana; Pérez Ramírez, Fredy OcarisMutual funds are collective investment securities professionally managed by cooperative entities. These funds currently manage investments of considerably high values, which represents a challenge in addressing the problem of selecting the optimal portfolio. In this sense, the Black-Litterman model is widely accepted in the structuring of financial asset portfolios, by incorporating experts expectations on market behavior, achieving better levels of diversification. This model was applied in 2018 to the stock portfolio of the mutual funds of a Colombian cooperative entity, using 2020 target prices as expectations, and it was found that the optimal portfolio turned out to be much more efficient in terms of risk and profitability than the initial one; moreover, it was also found that its maximum expected loss, calculated by the Monte Carlo simulation method, could be considered correct at a confidence level of 99%.