Riesgo de mercado en Portafolios mexicanos previo a la crisis COVID-19: Portafolio de renta fija vs Portafolio de capital
| Autor: | Julio Téllez Pérez, Gabriel Alberto Agudelo Torres, Héctor Alonso Olivares Aguayo |
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| Rok vydání: | 2021 |
| Předmět: | |
| Zdroj: | Revista Mexicana de Economía y Finanzas. 16:1-21 |
| ISSN: | 2448-6795 1665-5346 |
| DOI: | 10.21919/remef.v16i4.520 |
| Popis: | Market risk in Mexican Portfolios prior to the COVID-19 crisis: Fixed Income Portfolio vs Equity Portfolio The objective of the research is to show the advantages that investments in fixed income portfolios have over capital investments in the study period. A comparison of both Portfolios is made from January 2017 to May 2019, having as a metric the parametric VaR at 99.9% confidence for each Portfolio. The results show that the investor obtains a greater amount of profits ($ 9,778.14) in the fixed income Portfolio by investing $ 1,000,000 at 28 days, so prior to the COVID-19 crisis it is oberved that it was feasible to invest in this type of Portfolio. Gaussian returns are assumed as a limitation. The work is original because with real data from the Mexican market it is empirically shown that prior to the COVID-19 crisis period, fixed income portfolios was better in returns than capital portfolios. Finally, it is concluded that nowadays the above does not happen, due to the great fall that the reference rates have had in Mexico derived from the COVID-19 health crisis, even negative real rates are glimpsed soon. |
| Databáze: | OpenAIRE |
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