UN ARGUMENTO EN CONTRA DE LA SELECCIÓN DE ACCIONES Y EL MARKET-TIMING: UN ENFOQUE EMPÍRICO
Date
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Inv. y Des.
Abstract
El objetivo de este trabajo es desmitificar el mundo de las inversiones, primero mostrando y exponiendo los resultados obtenidos por los más grandes administradores de fondos en Wall Street respecto al rendimiento de los índices con los que se los compara. La inversión en fondos que siguen a índices representa una estrategia de inversión pasiva, en comparación a una estrategia activa utilizada por los expertos. Después de exponer dichos resultados se presentará un marco teórico que explica la razón por la cual a los administradores de fondos de inversión les cuesta tanto obtener resultados superiores a los de sus índices con los cuales se los compara. Más adelante se presenta y explica un experimento realizado con varios conjuntos de periodos de 20 años e información histórica, con el cual se pretende cuantificar el beneficio potencial de invertir en el momento perfecto y el costo de esperar por un mejor momento para invertir. Los resultados obtenidos muestran que el potencial beneficio de invertir en el mejor momento es mucho más bajo que el costo de esperar por un mejor momento y que la mejor alternativa es invertir el dinero disponible lo antes posible sin tomar en cuenta el estado del mercado o la economía.
This paper's objective is to demystify the world of investing, first by showing and exposing the results the greatest money managers in the Wall Street have obtained over the last years compared to the performance of their benchmark indexes. Index investing represents a passive investment strategy of holding hundreds of stocks instead of the active management approach used by these experts. After exposing said results, a theoretical framework will be presented that explains why money managers have such a difficult time outperforming their benchmark indexes. Later on, a back-test experiment will be presented and thoroughly explained showing five different hypothetical investment scenarios over several 20-year periods with the attempt to quantify the potential benefit of perfectly timing the market and compare it to the cost of waiting for a better time to invest. The results find shows that the cost of waiting is much greater that the potential benefit of perfectly timing the market and the best alternative would be to invest available cash immediately regardless of market or economic outlook.
This paper's objective is to demystify the world of investing, first by showing and exposing the results the greatest money managers in the Wall Street have obtained over the last years compared to the performance of their benchmark indexes. Index investing represents a passive investment strategy of holding hundreds of stocks instead of the active management approach used by these experts. After exposing said results, a theoretical framework will be presented that explains why money managers have such a difficult time outperforming their benchmark indexes. Later on, a back-test experiment will be presented and thoroughly explained showing five different hypothetical investment scenarios over several 20-year periods with the attempt to quantify the potential benefit of perfectly timing the market and compare it to the cost of waiting for a better time to invest. The results find shows that the cost of waiting is much greater that the potential benefit of perfectly timing the market and the best alternative would be to invest available cash immediately regardless of market or economic outlook.
Description
Vol. 20, No. 2