Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286149 
Title (translated): 
Administración pasiva de portafolios mediante indexación: Un análisis del desempeño de los índices de alta, mediana y baja capitalización en México
Year of Publication: 
2018
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 26 [Year:] 2018 [Pages:] 269-293
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract: 
In a passive investing strategy through indexation, the portfolio performance will depend largely on the ability to choose the best index. In this paper, we study the performance of four of the main stock indices in Mexico with the intention of selecting the best one for a passive investing strategy. To solve this question, departing from the Sortino ratio, a definition of probability of success substitutes the average excess return over a target and the use of the maximum standard deviation on the negative target return. The new performance measure gives different results to those of the traditional Sortino ratio, with the IPC large cap being the best index for a passive strategy, in terms of risk-reward ratio and return target.
Subjects: 
CAPM
information ratio
portfolio performance
Sortino ratio
JEL: 
G11
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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