Examinando por Materia "Sharpe Ratio"

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    Ítem
    A Robust Version of a Risk-Inverse Weighing Methodology for Portfolio Selection
    (Universidad EAFIT, 2024) Renza Chavarría, Juan Felipe; Ortiz Arias, Santiago
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    Ítem
    Diseño de portafolio ASG de renta variable MILA
    (Universidad EAFIT, 2022) Abad Peréz, Juan Manuel; Zúñiga Osorio, Alejandro; Botero Ramírez, Juan Carlos
    The MILA Latin American Integrated Market reflects the interest of equity issuers and investors in the inclusion of ESG2 sustainability criteria, to achieve value creation through financial reward, but benefiting society and the environment. The purpose of this work is to design a portfolio with the best ESG equity stocks from 2018 to 2020 that are part of this market and reflect the criteria and sustainability factors that allowed these companies to achieve this position. The study approach is quantitative, with descriptive scope and longitudinal design. The result is the design of an ideal and representative portfolio of the best ESG equities MILA 2018-2020.
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    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 Fernando
    This 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.
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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.