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Los nuevos índices sectoriales de la Bolsa Mexicana de Valores y la diversificación sectorial

Author

Listed:
  • José Antonio Morales Castro

    (Instituto Politécnico Nacional)

  • Francisco López-Herrera

    (Universidad Nacional Autónoma de México)

Abstract

Se analiza la relación riesgo-rendimiento de los nuevos índices sectoriales de la Bolsa Mexicana de Valores y de portafolios con esos índices seleccionados mediante el análisis de media y varianza y el criterio de optimización media-CVaR. Se usaron tres medidas de desempeño comparativo: (1) Índice de Sharpe, (2) recompensa al VaR y (3) la recompensa al CVaR. Se encontraron portafolios de los nuevos índices bursátiles con un rendimiento mayor que el portafolio del mercado, pero con menor riesgo que éste. Con excepción del índice del sector de la construcción, todos los nuevos índices sectoriales tienen mejores relaciones riesgo-rendimiento que el portafolio de mercado, incluso a pesar de que pueden considerarse como portafolios menos diversificados que él.

Suggested Citation

  • José Antonio Morales Castro & Francisco López-Herrera, 2020. "Los nuevos índices sectoriales de la Bolsa Mexicana de Valores y la diversificación sectorial," Revista de Investigación en Ciencias Contables y Administrativas, Universidad Michoacana de San Nicolás de Hidalgo, Facultad de Contaduría y Ciencias Administrativas, vol. 6(1), pages 130-154, December.
    • Handle: RePEc:snh:journl:v:6:y:2020:i:1:p:130-154
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