Examinando por Materia "S&P 500"

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    Impacto de las calificaciones ASG en el desempeño financiero de portafolios del Índice S&P500 (2015–2024)
    (Universidad EAFIT, 2025-02-26) Guerrero Díaz, José Antonio; Zora Arce, Álvaro José; Jaramillo Mejía, Alejandro
    This study analyzes the impact of Environmental, Social, and Governance (ESG) ratings on the financial performance of companies within the S&P 500 index, considering their behavior at the sectoral level. Firms are classified into terciles based on the Bloomberg ESG Disclosure Score, constructing high-, medium-, and low-rated portfolios under both equal-weighted and market capitalization-weighted schemes. Performance metrics such as annualized return, volatility, Sharpe ratio, maximum drawdown, and the ESG premium are evaluated over the 2015–2024 period. The research integrates Modern Portfolio Theory with robust statistical testing to determine whether ESG contributes consistent financial value and whether its effect varies across sectors, providing relevant evidence for passive investment management strategies.
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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.