Índice multifactorial para la evaluación del desempeño financiero de fondos comunes
DOI:
https://doi.org/10.18046/j.estger.2018.147.2853Palabras clave:
Fondos comunes, Desempeño financiero, Índice multifactorial.Resumen
Los modelos basados en rendimientos de fondos evalúan el desempeño enfocándose principalmente sobre rendimiento y riesgo. El objetivo de este trabajo es desarrollar y validar un índice multifactorial destinado a evaluar el desempeño financiero de fondos comunes de inversión. En la primera parte se resumen los principales modelos y medidas de desempeño que existen en la literatura. Seguidamente, se desarrolla la metodología del índice, añadiendo variables como rendimiento, riesgo, tamaño, diversificación, liquidez, apalancamiento financiero, umbrales macroeconómicos y costos de transacción. Empíricamente se emplea información secundaria sobre el universo de fondos cotizantes en el mercado de capitales argentino para ilustrar su funcionamiento. Los resultados permiten validar la utilidad del índice propuesto, al arrojar valores sintéticos, alcanzando un criterio de ordenamiento multidimensional.
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Referencias
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Christopherson, J., Ferson, W. y Glassman, D. (1998). Conditioning manager alphas on economic information. The Review of Financial Studies, 11(1), 111-142.
Dahlquist, M. y Soderlind, P. (1999). Evaluating portfolio performance with stochastic discount factors. Journal of Business, 72(3), 347-383.
Daniel, K., Grinblatt, M., Titman, S. y Wermers R. (1997). Measuring mutual fund performance with characteristic-based benchmarks. Journal of Finance, 52(3), 1035-1058.
Fama, E. y French, K. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465.
Fama, E. y French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Fama, E. y French, K. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance, 51(1), 55-84.
Fang, H. y Lai, T. (1997). Co-Kurtosis and capital asset pricing. Financial Review, 32(2), 293-307.
Ferson, W., Henry, T. y Kisgen D. (2006). Evaluating government bond fund performance with stochastic discount factors. The Review of Financial Studies, 19(2), 423-455.
Ferson, W. y Schadt, R. (1996). Measuring fund strategy and performance in changing economic conditions. Journal of Finance, 51(2), 425-461.
Fung, W. y Hsieh, D. (2004). Hedge fund benchmarks: a risk-based approach. Financial Analysts Journal, 80(5), 65-80.
Getmansky, M., Lo, A. y Makarov, I. (2004). An econometric model of serial correlation and illiquidity in hedge fund returns. Journal of Financial Economics, 74(3), 529-610.
Grinblatt, M. y Titman, S. (1989a). Mutual fund performance: an analysis of quarterly portfolio holdings. The Journal of Business, 62(3), 393-416.
Grinblatt, M. y Titman S. (1989b). Portfolio performance evaluation: old issues and new insights. The Review of Financial Studies, 2(3), 393-421.
Hansen, L. (1982). Large sample properties of generalized methods of moments. Econométrica, 50(4), 1029-1054.
Hogan, W. y Warren, W. (1974). Toward the Development of an Equilibrium Capital-Market Model Based on Semi variance. Journal of Financial and Quantitative Analysis, 9(1), 1-11.
Jagannathan, R. y Wang, Z. (1996). The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance, 51(1), 3-53.
Jegadeesh, N. y Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, 48(1), 65-91.
Jensen, M. (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance, 23(2), 389-416.
Kosowski, R. (2011). Do mutual funds perform when it matters most to investors? US mutual fund performance and risk in recessions and expansions. Quarterly Journal of Finance, 1(3), 607-664.
Kosowski, R., Timmermann, A., Wermers, R. y White, H. (2006). Can mutual fund ''stars'' really pick stocks? New evidence from a bootstrap analysis. Journal of Finance, 61(6), 2551-2595.
Kothari, S. y Warner, J. (2001). Evaluating Mutual Fund Performance. Journal of Finance, 56(5), 1985-2010.
Kraus, A. y Litzenberger, R. (1976). Skewness preference and the valuation of risky assets. The Journal of Finance, 31(4), 1085-1100.
Lewellen, J. y Nagel, S. (2006). The conditional CAPM does not explain asset-pricing anomalies. Journal of Financial Economics, 82(2), 289-314.
Ley N° 24.083 (1992). Fondos Comunes de Inversión. Boletín Oficial de la República, Buenos Aires, Argentina, 20 de mayo de 1992.
Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77-99.
Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Cowles Foundation Monograph No. 16. New York: John Wiley & Sons, Inc.
Merton, R. (1973). An intertemporal capital asset pricing model. Econometrica, 41(5), 867-887.
Molaguero, F. (2016). Análisis de los diferentes fondos de inversión (tesis de grado). Universidad de Cantabria, Santander, Cantabria, España.
Moskowitz, T. (2000). Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs and Exprenses: Discussion. Journal of Finance, 55(4), 1695-1703.
Pesce, G., Milanesi, G., Redondo, J., El Alabi, E. y Amarilla, R. (2016). Análisis y diagnóstico de los fondos comunes en Argentina. En Gillieri, R. (Ed.). XXXVI Jornadas Nacionales de Administración Financiera, (222-243). Buenos Aires: SADAF Asociación Civil.
Resolución General 622. (2013). Normas N.T. 2013, Comisión Nacional de Valores. Boletín Oficial de la República Argentina, Buenos Aires, Argentina, 5 de Septiembre de 2013.
Roll, R. (1977). A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory. Journal of Financial Economics, 4(2), 129-176.
Roll, R. y Ross, S. (1980). An empirical investigation of the Arbitrage Pricing Theory. The Journal of Finance, 35(5), 1073-1103.
Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442.
Sortino, F. y van der Meer, R. (1991). Downside Risk. Journal of Portfolio Management, 17(4), 27-31.
Sortino, F. y Price, L. (1994). Performance measurement in a downside risk framework. Journal of Investing, 3(3), 59-64.
Stehle, R. (1977). An empirical test of the alternative hypotheses of national and international pricing of risky assets. The Journal of Finance, 32(2), 493-502.
Tobin, J. (1958). Liquidity preference as behavior toward risk. The Review of Economics Studies, 25(2), 65-86.
Treynor, J. (1965). How to rate management investment funds. Harvard Business Review, 43(1), 63-75.
Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses.The Journal of Finance,55(4), 1655-1703.
Wermers, R. (2010). A matter of style: the causes and consequences of style drift in institutional portfolios. Working Paper, Dep. Finance, Smith School of Business, University of Maryland. Recuperado el 19 de Marzo de 2012 en Recuperado el 19 de Marzo de 2012 en https://ssrn.com/abstract=2024259
Wermers, R. (2011). Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts. The Annual Review of Financial Economics, 3, 537-574.
Wilmott, P. (2009). Frequently Asked Questions in Quantitative Finance (2° ed.). London, UK: John Wiley & Sons.
Young, T. (1991). Calmar Ratio: A Smoother Tool. Futures, 20(1), 40.
Bailey, J. (1995). Manager universes: The solution or the problem? In Performance Evaluation, Benchmarks. AIMR Conference Proceedings, (2), 108-116.
Bollen, N. y Pool, V. (2009). Do hedge fund managers misreport returns? Evidence from the pooled distribution. Journal of Finance, 64(5), 2257-2288.
Breeden, D. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7(3), 265-296.
Castro, E. (2010). El estudio de casos como metodología de investigación y su importancia en la dirección y administración de empresas. Revista Nacional de Administración, 2(1), 31-54.
Carhart, M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.
Chen, Z. y Knez, P. (1996). Portfolio performance measurement: theory and applications. The Review of Financial Studies, 2(9), 511-556.
Christopherson, J., Ferson, W. y Glassman, D. (1998). Conditioning manager alphas on economic information. The Review of Financial Studies, 11(1), 111-142.
Dahlquist, M. y Soderlind, P. (1999). Evaluating portfolio performance with stochastic discount factors. Journal of Business, 72(3), 347-383.
Daniel, K., Grinblatt, M., Titman, S. y Wermers R. (1997). Measuring mutual fund performance with characteristic-based benchmarks. Journal of Finance, 52(3), 1035-1058.
Fama, E. y French, K. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465.
Fama, E. y French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Fama, E. y French, K. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance, 51(1), 55-84.
Fang, H. y Lai, T. (1997). Co-Kurtosis and capital asset pricing. Financial Review, 32(2), 293-307.
Ferson, W., Henry, T. y Kisgen D. (2006). Evaluating government bond fund performance with stochastic discount factors. The Review of Financial Studies, 19(2), 423-455.
Ferson, W. y Schadt, R. (1996). Measuring fund strategy and performance in changing economic conditions. Journal of Finance, 51(2), 425-461.
Fung, W. y Hsieh, D. (2004). Hedge fund benchmarks: a risk-based approach. Financial Analysts Journal, 80(5), 65-80.
Getmansky, M., Lo, A. y Makarov, I. (2004). An econometric model of serial correlation and illiquidity in hedge fund returns. Journal of Financial Economics, 74(3), 529-610.
Grinblatt, M. y Titman, S. (1989a). Mutual fund performance: an analysis of quarterly portfolio holdings. The Journal of Business, 62(3), 393-416.
Grinblatt, M. y Titman S. (1989b). Portfolio performance evaluation: old issues and new insights. The Review of Financial Studies, 2(3), 393-421.
Hansen, L. (1982). Large sample properties of generalized methods of moments. Econométrica, 50(4), 1029-1054.
Hogan, W. y Warren, W. (1974). Toward the Development of an Equilibrium Capital-Market Model Based on Semi variance. Journal of Financial and Quantitative Analysis, 9(1), 1-11.
Jagannathan, R. y Wang, Z. (1996). The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance, 51(1), 3-53.
Jegadeesh, N. y Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, 48(1), 65-91.
Jensen, M. (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance, 23(2), 389-416.
Kosowski, R. (2011). Do mutual funds perform when it matters most to investors? US mutual fund performance and risk in recessions and expansions. Quarterly Journal of Finance, 1(3), 607-664.
Kosowski, R., Timmermann, A., Wermers, R. y White, H. (2006). Can mutual fund ''stars'' really pick stocks? New evidence from a bootstrap analysis. Journal of Finance, 61(6), 2551-2595.
Kothari, S. y Warner, J. (2001). Evaluating Mutual Fund Performance. Journal of Finance, 56(5), 1985-2010.
Kraus, A. y Litzenberger, R. (1976). Skewness preference and the valuation of risky assets. The Journal of Finance, 31(4), 1085-1100.
Lewellen, J. y Nagel, S. (2006). The conditional CAPM does not explain asset-pricing anomalies. Journal of Financial Economics, 82(2), 289-314.
Ley N° 24.083 (1992). Fondos Comunes de Inversión. Boletín Oficial de la República, Buenos Aires, Argentina, 20 de mayo de 1992.
Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77-99.
Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Cowles Foundation Monograph No. 16. New York: John Wiley & Sons, Inc.
Merton, R. (1973). An intertemporal capital asset pricing model. Econometrica, 41(5), 867-887.
Molaguero, F. (2016). Análisis de los diferentes fondos de inversión (tesis de grado). Universidad de Cantabria, Santander, Cantabria, España.
Moskowitz, T. (2000). Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs and Exprenses: Discussion. Journal of Finance, 55(4), 1695-1703.
Pesce, G., Milanesi, G., Redondo, J., El Alabi, E. y Amarilla, R. (2016). Análisis y diagnóstico de los fondos comunes en Argentina. En Gillieri, R. (Ed.). XXXVI Jornadas Nacionales de Administración Financiera, (222-243). Buenos Aires: SADAF Asociación Civil.
Resolución General 622. (2013). Normas N.T. 2013, Comisión Nacional de Valores. Boletín Oficial de la República Argentina, Buenos Aires, Argentina, 5 de Septiembre de 2013.
Roll, R. (1977). A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory. Journal of Financial Economics, 4(2), 129-176.
Roll, R. y Ross, S. (1980). An empirical investigation of the Arbitrage Pricing Theory. The Journal of Finance, 35(5), 1073-1103.
Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442.
Sortino, F. y van der Meer, R. (1991). Downside Risk. Journal of Portfolio Management, 17(4), 27-31.
Sortino, F. y Price, L. (1994). Performance measurement in a downside risk framework. Journal of Investing, 3(3), 59-64.
Stehle, R. (1977). An empirical test of the alternative hypotheses of national and international pricing of risky assets. The Journal of Finance, 32(2), 493-502.
Tobin, J. (1958). Liquidity preference as behavior toward risk. The Review of Economics Studies, 25(2), 65-86.
Treynor, J. (1965). How to rate management investment funds. Harvard Business Review, 43(1), 63-75.
Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses.The Journal of Finance,55(4), 1655-1703.
Wermers, R. (2010). A matter of style: the causes and consequences of style drift in institutional portfolios. Working Paper, Dep. Finance, Smith School of Business, University of Maryland. Recuperado el 19 de Marzo de 2012 en Recuperado el 19 de Marzo de 2012 en https://ssrn.com/abstract=2024259
Wermers, R. (2011). Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts. The Annual Review of Financial Economics, 3, 537-574.
Wilmott, P. (2009). Frequently Asked Questions in Quantitative Finance (2° ed.). London, UK: John Wiley & Sons.
Young, T. (1991). Calmar Ratio: A Smoother Tool. Futures, 20(1), 40.
Publicado
2018-06-01
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Cómo citar
Índice multifactorial para la evaluación del desempeño financiero de fondos comunes. (2018). Estudios Gerenciales, 34(147), 200-215. https://doi.org/10.18046/j.estger.2018.147.2853
