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Estrategias de gestión de carteras, Evaluación de performance, Fondos de inversión de renta fija

Author

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  • Silvia Bou

    (Departament d'Economia de l'Empresa, Universitat Autonoma de Barcelona)

Abstract

Este trabajo tiene como objetivo estudiar el impacto de las estrategias activas de gestión en la performance de los fondos de inversión de renta fija y se realiza en tres fases, en primer lugar, a partir de la información homogénea disponible para cualquier partícipe se elabora un perfil de riesgo de los fondos a partir de los tipos de riesgo asociados a la renta fija. En segundo lugar, se propone una medida de performance que permite la comparación entre fondos, a dos niveles: por un lado, tomando como benchmark una cartera puramente pasiva y por otro lado, adecuando el benchmark al vencimiento de la cartera. En tercer lugar se realiza un contraste con el fin de determinar el impacto en la performance de los fondos estudiados de los indicadores de actividad de la estrategia asociados al perfil de riesgo del fondo.

Suggested Citation

  • Silvia Bou, 2007. "Estrategias de gestión de carteras, Evaluación de performance, Fondos de inversión de renta fija," Working Papers 200704, Departament Empresa, Universitat Autònoma de Barcelona.
  • Handle: RePEc:bbe:wpaper:200704
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    Keywords

    Estrategias de gestión de carteras; Evaluación de performance; Fondos de inversión de renta fija;
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