{"id":53245,"date":"2018-03-09T22:40:57","date_gmt":"2018-03-09T22:40:57","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/fondos-de-inversion-espanoles-analisis-empa%c2%adrico-de-eficiencia-y-persistencia-en-la-gestion\/"},"modified":"2018-03-09T22:40:57","modified_gmt":"2018-03-09T22:40:57","slug":"fondos-de-inversion-espanoles-analisis-empa%c2%adrico-de-eficiencia-y-persistencia-en-la-gestion","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/modelos-econometricos\/fondos-de-inversion-espanoles-analisis-empa%c2%adrico-de-eficiencia-y-persistencia-en-la-gestion\/","title":{"rendered":"Fondos de inversi\u00f3n espa\u00f1oles: an\u00e1lisis emp\u00edrico de eficiencia y persistencia en la gesti\u00f3n"},"content":{"rendered":"

Tesis doctoral de Mar\u00eda Sagrario Vargas Magall\u00f3n <\/strong><\/h2>\n

Inicialmente, la presente tesis, realiza una descripci\u00f3n detallada del estado de la industria de la inversi\u00f3n colectiva en nuestro pa\u00eds,introduciendo adem\u00e1s aspectos comparativos con la industria europea y con la americana. Con este an\u00e1lisis se pone de manifiesto laextraordinaria relevancia en la econom\u00eda, en general, y en las finanzas personales, en particular, que la inversi\u00f3n a trav\u00e9s de fondosde inversi\u00f3n ha alcanzado en los \u00faltimos a\u00f1os en espa\u00f1a. Adem\u00e1s se hace una reflexi\u00f3n acerca de la reciente legislaci\u00f3n espa\u00f1ola enrelaci\u00f3n a las nuevas figuras de inversi\u00f3n colectiva que permiten enriquecer la industria de la inversi\u00f3n colectiva.A continuaci\u00f3n se hace un breve recorrido por los principales \u00edndices cl\u00e1sicos de medici\u00f3n de la eficiencia, centr\u00e1ndonosespecialmente en el \u00edndice de jensen y en el \u00edndice de sharpe. Se demuestra que, bajo determinadas circunstancias que se producenen los mercados financieros, el \u00edndice de sharpe y otros \u00edndices cl\u00e1sicos generan alguna inconsistencia, de modo que no clasifican deforma adecuada a los fondos de inversi\u00f3n en funci\u00f3n de su performance. Esto nos lleva a una peque\u00f1a modificaci\u00f3n en el ratio desharpe, generando un ratio altemativo que supera dichas inconsistencias. Tambi\u00e9n observamos que el ratio de sharpe generaproblemas relativos a la penalizaci\u00f3n del riesgo cuando las rentabilidades cumplen el principio de normalidad. Esto nos lleva a otramodificaci\u00f3n del ratio de sharpe y, por tanto, a otro \u00edndice altemativo.Se mide emp\u00edricamente la performance de nuestra base de datos, compuesta por un conjunto de fondos de inversi\u00f3n espa\u00f1oles derenta variable nacional, a partir de los ratios de sharpe, jensen y los dos \u00edndices altemativos. Se demuestra emp\u00edricamente, que todoslos \u00edndices llevan a clasificaciones de los fondos en funci\u00f3n de su performance muy similares. Se observa, adem\u00e1s, queaproximadamente un 50% de los fondos consiguen batir al indice general de la bolsa de Madrid.Se a<\/p>\n

 <\/p>\n

Datos acad\u00e9micos de la tesis doctoral \u00abFondos de inversi\u00f3n espa\u00f1oles: an\u00e1lisis emp\u00edrico de eficiencia y persistencia en la gesti\u00f3n<\/strong>\u00ab<\/h3>\n
    \n
  • T\u00edtulo de la tesis:<\/strong>\u00a0 Fondos de inversi\u00f3n espa\u00f1oles: an\u00e1lisis emp\u00edrico de eficiencia y persistencia en la gesti\u00f3n <\/li>\n
  • Autor:<\/strong>\u00a0 Mar\u00eda Sagrario Vargas Magall\u00f3n <\/li>\n
  • Universidad:<\/strong>\u00a0 Zaragoza<\/li>\n
  • Fecha de lectura de la tesis:<\/strong>\u00a0 19\/06\/2006<\/li>\n<\/ul>\n

     <\/p>\n

    Direcci\u00f3n y tribunal<\/h3>\n
      \n
    • Director de la tesis<\/strong>\n
        \n
      • Luis Ferruz Agudo<\/li>\n<\/ul>\n<\/li>\n
      • Tribunal<\/strong>\n
          \n
        • Presidente del tribunal: Valentin Azofra Palenzuela <\/li>\n
        • Mart\u00edn Mar\u00edn Jos\u00e9 Luis (vocal)<\/li>\n
        • Juan Manuel Mascare\u00f1as Perez I\u00f1igo (vocal)<\/li>\n
        • Salvador Cruz Rambaud (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n

           <\/p>\n","protected":false},"excerpt":{"rendered":"

          Tesis doctoral de Mar\u00eda Sagrario Vargas Magall\u00f3n Inicialmente, la presente tesis, realiza una descripci\u00f3n detallada del estado de la industria […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[1068,524,4677,1133,13610],"tags":[6514,17137,117512,10960,17135,1138],"class_list":["post-53245","post","type-post","status-publish","format-standard","hentry","category-estadistica-economica","category-modelos-econometricos","category-sector-de-finanzas-y-seguros","category-teoria-de-la-inversion","category-zaragoza","tag-juan-manuel-mascarenas-perez-inigo","tag-luis-ferruz-agudo","tag-maria-sagrario-vargas-magallon","tag-martin-marin-jose-luis","tag-salvador-cruz-rambaud","tag-valentin-azofra-palenzuela"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/53245","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/comments?post=53245"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/53245\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=53245"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=53245"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=53245"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}