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¿Agrega Valor el Modelo Black-Litterman en Portafolios del Mercado Integrado Latinoamericano (MILA)? Evaluación Empírica 2008-2016 || Does the Black-Litterman Model Add Value in Portfolios of the Integrated Latin American Market (MILA)? Empirical Evaluation 2008-2016

Author

Listed:
  • Luna-Ramirez, Susana

    (Pregrado de Ingeniería Matemática. Universidad EAFIT (Colombia))

  • Agudelo, Diego A.

    (Departamento de Finanzas. Universidad EAFIT (Colombia))

Abstract

El modelo de Black-Litterman (BL) ha sido propuesto como alternativa al de media-varianza de Markowitz para la estructuración de portafolios de activos ?nancieros, permitiendo incorporar perspectivas de analistas fundamentales y garantizando un alto grado de diversificación. Se aplica este modelo con frecuencia trimestral, a portafolios de acciones de los países del MILA: Colombia, Chile, México y Perú tomando como base el universo de acciones de sus principales índices principales. Como perspectivas, se emplean las recomendaciones históricas de analistas de Bloomberg para el período 2008-2016. Se encuentra que los portafolios conformados con BL agregan valor en los países al índice de referencia respectivo, tanto en términos de rendimiento promedio como de alfa. Además se conforma un portafolio BL regional con los de cada país y se comprueba que supera a un Benchmark regional, ambos medidos en dólares, en cada una de tres alternativas de cobertura frente al dólar. || The Black-Litterman (BL) model has been proposed as an alternative to Markowitz's mean-variance model to structure financial asset portfolios, allowing the incorporation of perspectives of fundamental analysts and guaranteeing a high degree of diversification. This model is applied quarterly, to stock portfolios of the countries of the MILA: Colombia, Chile, Mexico and Peru, based on the universe of shares of its main main indices. As perspectives, we use the historical recommendations of Bloomberg analysts for the period 2008-2016. It is found that the portfolios conformed with BL add value in the countries to the respective reference index, both in terms of average return and alpha. In addition, a regional BL portfolio is formed with those of each country and it is proven that it exceeds a regional Benchmark, both measured in dollars, in each of three coverage alternatives against the dollar.

Suggested Citation

  • Luna-Ramirez, Susana & Agudelo, Diego A., 2019. "¿Agrega Valor el Modelo Black-Litterman en Portafolios del Mercado Integrado Latinoamericano (MILA)? Evaluación Empírica 2008-2016 || Does the Black-Litterman Model Add Value in Portfolios of the Inte," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 27(1), pages 55-73, June.
    • Handle: RePEc:pab:rmcpee:v:27:y:2019:i:1:p:55-73
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    References listed on IDEAS

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    More about this item

    Keywords

    gestión activa de portafolio; Modelo Black-Litterman; MILA; diversificación; evaluación de desempeño de fondos; cobertura de portafolio por tasa de cambio; Active portfolio management; Black-Litterman model; MILA; diversification; fund performance evaluation; portfolio coverage by exchange rate.;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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