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¿Vencen al mercado? El caso de los fondos mutuos de renta fija en el mercado peruano

Listed author(s):
  • Alexis Yong

    (Universidad del Pacífico, Lima (Perú))

Registered author(s):

El presente documento analiza las características de rendimiento de los fondos mutuos derenta fija en Perú. La evidencia muestra que el promedio de los fondos de renta fija no llegana ofrecer beneficios ajustados por riesgo. Al analizar las habilidades de los gestores de fondosse encuentra, en promedio para los fondos de corto plazo, una deficiente habilidad referentea la selección de valores (selection ability), pero una significativa habilidad para anticipar elmercado (market timing). Sin embargo, para los fondos de largo plazo, ambas habilidadesson deficientes. Dicho fenómeno podría surgir por la estrategia de buy-and-hold que tomanlos fondos mutuos de renta fija como consecuencia del alto nivel de iliquidez del mercadode instrumentos de deuda peruano. Asimismo, se encuentran resultados heterogéneos entrelos distintos tipos de fondo en referencia a la variable de información pública con mayorefecto sobre el desempeño de los fondos. Finalmente, si bien la literatura describe un impactosignificativo de los flujos de los fondos sobre el desempeño de los mismos, en el caso peruanola evidencia muestra que, si bien dicho impacto es estadísticamente significativo, este es casi nulo.

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File URL: http://revistas.up.edu.pe/index.php/business/article/view/786/782
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Article provided by Universidad del Pacífico - University of the Pacific Lima (Peru) in its journal Journal of Business.

Volume (Year): 3 (2011)
Issue (Month): 2 ()
Pages: 16-37

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Handle: RePEc:udp:journl:v:3:y:2011:i:2:p:16-37
Contact details of provider: Web page: http://journalofbusiness.up.edu.pe

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