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| dc.creator | Reyes, Oscar Eduardo | |
| dc.date | 2022-12-14 | |
| dc.date.accessioned | 2023-03-27T17:38:32Z | |
| dc.date.available | 2023-03-27T17:38:32Z | |
| dc.identifier | https://revistas.uexternado.edu.co/index.php/odeon/article/view/8487 | |
| dc.identifier | 10.18601/17941113.n21.02 | |
| dc.identifier.uri | https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/230370 | |
| dc.description | This article evaluates evidence to prove the existence of Smart Beta Strategies in Colombia. These strategies suggest better techniques of diversification and generation of alpha respect to those strategies by traditional indexation. Thus, colcap index of market capitalization is used like a market benchmark compared to the strategies evaluated here: Low volatility, size, value, and momentum. The study takes a period between 2010 and 2020. The empirical results from the research conclude that past returns let to overcome scarcely the index benchmark under this approach of systematic indexation and based on rules. Either due to lack of liquidity, irrationality, or local economic issues, one more time the idea of market efficiency and the role of the prices like refuge of whole available information remains seriously compromised. | en-US |
| dc.description | En este documento se evalúa para Colombia la existencia de estrategias alternativas de inversión, diferentes a la tradicional indexación por capitalización bursátil. Mejor conocidas como Smart Beta, estas estrategias sugieren mejores técnicas de diversificación y de generación de alpha, en comparación con aquellas estrategias por indexación tradicional. En este sentido, el índice colcap de capitalización bursátil es utilizado como un benchmark del mercado frente a las estrategias analizadas en esta tesis: low volatility, size, value y momentum. El análisis se desarrolla para un periodo de tiempo de diez años que va desde julio de 2010 hasta julio de 2020. Los hallazgos empíricos encontrados en esta investigación permiten concluir que difícilmente los rendimientos pasados permiten superar el índice de mercado bajo este enfoque de indexación sistemática y basado en reglas. Ya sea por falta de liquidez, por irracionalidad o por cuestiones económicas propias del mercado local, una vez más la idea de eficiencia en los mercados y del papel de los precios como guarida de toda la información disponible queda seriamente comprometida. | es-ES |
| dc.format | application/pdf | |
| dc.language | spa | |
| dc.publisher | Universidad Externado de Colombia | es-ES |
| dc.relation | https://revistas.uexternado.edu.co/index.php/odeon/article/view/8487/13075 | |
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| dc.rights | Derechos de autor 2022 Oscar Eduardo Reyes | es-ES |
| dc.rights | http://creativecommons.org/licenses/by-nc-sa/4.0 | es-ES |
| dc.source | Odeon; No. 21 (2021): Julio-Diciembre; 7-24 | en-US |
| dc.source | Revista ODEON; Núm. 21 (2021): Julio-Diciembre; 7-24 | es-ES |
| dc.source | 2346-2140 | |
| dc.source | 1794-1113 | |
| dc.subject | Portfolio; | en-US |
| dc.subject | Smart Beta; | en-US |
| dc.subject | factor analysis; | en-US |
| dc.subject | indexation | en-US |
| dc.subject | portafolio; | es-ES |
| dc.subject | Smart Beta; | es-ES |
| dc.subject | análisis factorial; | es-ES |
| dc.subject | indexación | es-ES |
| dc.title | Smart Beta Evidence for Colombia Capital Market | en-US |
| dc.title | Evidencia de factores Smart Beta en el mercado de valores de Colombia | es-ES |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |
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