Palabras clave
carteras colectivas
desempeño condicional
desempeño no condicional Colombian mutual funds
conditional performance
unconditional performance carteiras coletivas
desempenho condicional
desempenho não condicional portefeuilles collectifs
performance conditionnelle
performance non conditionnelle.
desempeño condicional
desempeño no condicional Colombian mutual funds
conditional performance
unconditional performance carteiras coletivas
desempenho condicional
desempenho não condicional portefeuilles collectifs
performance conditionnelle
performance non conditionnelle.
Cómo citar
Martínez, M., & Pardo, P. (2015). La evaluación del desempeño condicional de las carteras colectivas en colombia. Criterio Libre, 13(22), 51–77. https://doi.org/10.18041/1900-0642/criteriolibre.2015v13n22.123
Resumen
El presente artículo evalúa la gestión de las carteras colectivas en Colombia tras la entrada en vigor del Decreto 2175 de 2007, que transformó radicalmente la industria de la inversión colectiva en Colombia en términos de la cuantía de activos gestionados, así como en la orientación hacia productos negociados en mercados regulados. En particular, el artículo analiza la gestión de 8 carteras colectivas de renta variable durante el período 2008-2011, tanto con una metodología incondicional, como condicional, que incorpora información pública en la gestión de las carteras. Se utiliza además una evaluación de la gestión dinámica, como complemento a la tradicional única y estática. El artículo da a conocer, primero, que las carteras colectivas de la muestra han sido gestionadas en forma muy satisfactoria durante el período de estudio, aunque sin apreciar diferencias relevantes entre la evaluación incondicional y la condicional.
Citas
Avramov, D. and R. Wermers (2006). Investing in Mutual Funds when Returns are Predictable. Journal of Financial Economics, 81, 339-77.
Baek, K., and Y. Park (2105). Do Market Dominant Fund Distributors Provide Better Performing Funds To Investors. Asia-Pacific Journal of Financial Studies, 44, 421-446.
Benson, K., and R. Faff (2006). Conditional Performance Evaluation and the relevance of Money Flows for Australian International Equity Funds. Pacific-Basin Finance Journal, 14, 231-249.
Bessler, W., W. Drobetz and H. Zimmermann (2009). Conditional Performance Evaluation for German Equity Mutual Funds. European Journal of Finance, 15(3), 287-316.
Bloomberg, http://www.bloomberg.com/ Caporin, M. G. Jannin, F. Lisi, and B. Maillet (2014). A survey on the four families of performance measures. Journal of Economic Surveys, 28 (5), 917-942.
Carhart, M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52 (1), 57-82.
Chiang, I. (2015). Modern portfolio management with conditioning information. Journal of Empirical Finance, 2015, 33,114-134.
Christopherson, J., A., W. E. Ferson, and D. A. Glassman (1998). Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance. Review of Financial Studies 11, 111-142.
Colombian Financial Supervisor, http://www. superfinanciera.gov.co/.
Colombian Stock Market, Annual reports, http:// www.bvc.com.co/pps/tibco/portalbvc.
Coggings, F., M., Beaulieu, and M. Gendron (2009). Mutual Fund Daily Conditional Performance. Journal of Financial Research, 32 (2), 95-122.
Das, S. (2015). Empirical evidence of conditional asset pricing in the Indian stock market. Economic Systems, 39 (2), 225-239.
Fama, E., and K. French (1989). Business Conditions and Expected Returns on Stocks and Bonds. Journal of Finance, 25 (2), 383- 417.
Fama, E., and K. French (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33 (1), 3-56.
Fama, E., and K. French (2010). Luck versus Skill in the cross section of Mutual Fund Returns. Journal of Finance, 65, 1915-47.
Ferson, W., and C. Harvey (1991). The Time Variation of Economic Risks Premiums. Journal of Political Economy, 99, 385-415.
Ferson, W., and C. Harvey (1999). Conditioning Variables and the Cross Section of Stock Returns. Journal of Finance, 54, 1325-60.
Ferson, W., and R. Schadt (1996). Measuring Fund Strategy and Performance in Changing Economic Conditions. Journal of Finance 51, 425-462.
Foran, J., and N. O’Sullivan (2014). Liquidity risk and the performance of UK mutual funds. International Review of Financial Analysis, 35, 178-189.
Gallefoss, K., H. Hansen, E. Haukaas, and P. Molnár (2015). What daily data can tell us about mutual funds: Evidence from Norway.
Journal of Banking & Finance, 55, 117-129. Goo, Y., F. Chang, and K. Chiu (2015). Stock Selection and Timing Ability of the Taiwan Equity Funds. The Application of Stochastic Beta, GARCH, and Nonlinear GLS. Modern Economy, 06(2), 153-164.
Gubellini, S. (2014). Conditioning information and cross-sectional anomalies. Review of Quantitative Finance and Accounting, 43 (3), 529-569.
International Monetary Fund (IMF), http://www. imf.org/external/index.htm.
Jarque, C. M., and Bera, A. K. (1987). A Test for Normality of Observations and Regression Residuals. International Statistical Review, 55 (2), 163-172.
Jensen, M. (1968). The Performance of Mutual Funds in the Period 1945-1964. Journal Finance, 23, 389-416.
Latin American Federation of Investment Funds, http://www.fiafin.org/
Leite, P. A., and M. Cortez (2009). Conditioning Information in Mutual Fund Performance Evaluation: Portuguese Evidence. European Journal of Finance, 15(5-6), 585-605.
Lipper (2013). European Fund Market Review. 2013 Edition.
Malkiel, B. (1995). Returns from Investing in Equity Mutual Funds 1971 to 1991. Journal of Finance, 50, 549-572.
Newey, W. K., and K. D. West (1987). A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55, 703-808.
Otten, R., and D. Bams (2002). European Mutual Fund Performance. European Financial Management, 8 (1), 75-101.
Ramírez-Córdoba, G. (2012). La inversión colectiva en Colombia: caracterización y análisis. Revista Soluciones de Postgrado EIA, 9, 13-37.
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19 (3), 425-442.
World Bank Statistics, http://data.worldbank. org/topic/financial-sector.
Baek, K., and Y. Park (2105). Do Market Dominant Fund Distributors Provide Better Performing Funds To Investors. Asia-Pacific Journal of Financial Studies, 44, 421-446.
Benson, K., and R. Faff (2006). Conditional Performance Evaluation and the relevance of Money Flows for Australian International Equity Funds. Pacific-Basin Finance Journal, 14, 231-249.
Bessler, W., W. Drobetz and H. Zimmermann (2009). Conditional Performance Evaluation for German Equity Mutual Funds. European Journal of Finance, 15(3), 287-316.
Bloomberg, http://www.bloomberg.com/ Caporin, M. G. Jannin, F. Lisi, and B. Maillet (2014). A survey on the four families of performance measures. Journal of Economic Surveys, 28 (5), 917-942.
Carhart, M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52 (1), 57-82.
Chiang, I. (2015). Modern portfolio management with conditioning information. Journal of Empirical Finance, 2015, 33,114-134.
Christopherson, J., A., W. E. Ferson, and D. A. Glassman (1998). Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance. Review of Financial Studies 11, 111-142.
Colombian Financial Supervisor, http://www. superfinanciera.gov.co/.
Colombian Stock Market, Annual reports, http:// www.bvc.com.co/pps/tibco/portalbvc.
Coggings, F., M., Beaulieu, and M. Gendron (2009). Mutual Fund Daily Conditional Performance. Journal of Financial Research, 32 (2), 95-122.
Das, S. (2015). Empirical evidence of conditional asset pricing in the Indian stock market. Economic Systems, 39 (2), 225-239.
Fama, E., and K. French (1989). Business Conditions and Expected Returns on Stocks and Bonds. Journal of Finance, 25 (2), 383- 417.
Fama, E., and K. French (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33 (1), 3-56.
Fama, E., and K. French (2010). Luck versus Skill in the cross section of Mutual Fund Returns. Journal of Finance, 65, 1915-47.
Ferson, W., and C. Harvey (1991). The Time Variation of Economic Risks Premiums. Journal of Political Economy, 99, 385-415.
Ferson, W., and C. Harvey (1999). Conditioning Variables and the Cross Section of Stock Returns. Journal of Finance, 54, 1325-60.
Ferson, W., and R. Schadt (1996). Measuring Fund Strategy and Performance in Changing Economic Conditions. Journal of Finance 51, 425-462.
Foran, J., and N. O’Sullivan (2014). Liquidity risk and the performance of UK mutual funds. International Review of Financial Analysis, 35, 178-189.
Gallefoss, K., H. Hansen, E. Haukaas, and P. Molnár (2015). What daily data can tell us about mutual funds: Evidence from Norway.
Journal of Banking & Finance, 55, 117-129. Goo, Y., F. Chang, and K. Chiu (2015). Stock Selection and Timing Ability of the Taiwan Equity Funds. The Application of Stochastic Beta, GARCH, and Nonlinear GLS. Modern Economy, 06(2), 153-164.
Gubellini, S. (2014). Conditioning information and cross-sectional anomalies. Review of Quantitative Finance and Accounting, 43 (3), 529-569.
International Monetary Fund (IMF), http://www. imf.org/external/index.htm.
Jarque, C. M., and Bera, A. K. (1987). A Test for Normality of Observations and Regression Residuals. International Statistical Review, 55 (2), 163-172.
Jensen, M. (1968). The Performance of Mutual Funds in the Period 1945-1964. Journal Finance, 23, 389-416.
Latin American Federation of Investment Funds, http://www.fiafin.org/
Leite, P. A., and M. Cortez (2009). Conditioning Information in Mutual Fund Performance Evaluation: Portuguese Evidence. European Journal of Finance, 15(5-6), 585-605.
Lipper (2013). European Fund Market Review. 2013 Edition.
Malkiel, B. (1995). Returns from Investing in Equity Mutual Funds 1971 to 1991. Journal of Finance, 50, 549-572.
Newey, W. K., and K. D. West (1987). A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55, 703-808.
Otten, R., and D. Bams (2002). European Mutual Fund Performance. European Financial Management, 8 (1), 75-101.
Ramírez-Córdoba, G. (2012). La inversión colectiva en Colombia: caracterización y análisis. Revista Soluciones de Postgrado EIA, 9, 13-37.
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19 (3), 425-442.
World Bank Statistics, http://data.worldbank. org/topic/financial-sector.
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