Examinando por Materia "Tracking Error"

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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.