Riesgos financieros, complejidad y retorno en inversiones alternativas
Pension, severance and technical reserve fund companies manage public and private savings, investing these resources in the best market alternatives seeking the best possible profitability or exceeding the minimum or reference profitability required by law for their investors in limited scenarios of...
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| Formato: | tesis de maestría |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2020 |
| País: | Colombia |
| Recursos: | Universidad Nacional de Colombia |
| Repositorio: | Repositorio UN |
| Idioma: | español |
| OAI Identifier: | oai:repositorio.unal.edu.co:unal/78985 |
| Acesso em linha: | https://repositorio.unal.edu.co/handle/unal/78985 |
| Access Level: | acceso abierto |
| Palavra-chave: | 330 - Economía 332 - Economía financiera Investment portfolios ETF Traditional investments Alternative investments Sophisticated investments Mutual funds Private equity funds Hedge funds Financial risk Complexity Return Hot-hand funds Icy-hands funds Portafolios de inversión Inversiones tradicionales Inversiones alternativas Inversiones sofisticadas Fondos mutuos Fondos de capital privado Riesgo financiero Complejidad Retorno Fondos hot-hand Fondos icy-hand |
| Resumo: | Pension, severance and technical reserve fund companies manage public and private savings, investing these resources in the best market alternatives seeking the best possible profitability or exceeding the minimum or reference profitability required by law for their investors in limited scenarios of risk. The landscape of the instruments in which these portfolios invest in Colombia has changed significantly in the last 5 years. The new context has encouraged administrators to migrate from traditional investments registered in the Colombian market to instruments outside the local sphere and with a higher level of sophistication; with the purpose of obtaining greater profits for its clients and diversification of the portfolios. This creates a problem because the new vehicles have plunged the funds and their managers into dangers and complications that may be beyond their experience and knowledge. Therefore, it is the duty of the academy to venture into lines of research that help close these gaps in information and understanding of Colombian managers regarding the risk-return relationship of alternative assets. Under this scope, the present research aims to answer the question: What are the risk and complexity factors that favor the return of alternative investments in different periods of time ?, that is, as well as the investor or the regulator expects that from the management, the administrator achieves a minimum return for an investment horizon, the risk factors that administrators must take into account in their analysis should be sought, because they promote returns on alternative assets above their benchmarks. For this purpose, the research has the following structure, in the first instance the problem statement emphasizing the importance of these portfolios in the economy; Subsequently, the theoretical evidence is presented and that led to support 4 lines of investigation of variables (risk and complexity) that influence the return. In the third section, the methodological framework is developed through a logit model between the dependent variable (return) as an indicator of persistence (dummy 1: funds with returns higher than the Benchmark or hot-hand and 0: funds that historically have not exceeded their referents icy-hand) and a set of variables that represent the factors of the 4 categories developed. From the application of the model and the theoretical relationship of the variables, the results were presented. Within the conclusions of the research it was found that: the normative selection criteria do not contribute to the return and therefore should be complemented, the risk factors and complexity that generate persistence in the return differ according to the time horizon contemplated, the category more Relevant to be analyzed by local administrators for these vehicles should be that of classic indicators complemented with attributes present in the manager and the fund (Assets under management, sector diversification, by country, number of holdings, investments in certain types of assets, consistency history and the existence of a recognized auditor) and avoiding funds with certain attributes (use of derivatives, high turnover and expenses, among others). |
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