Sincronización pasiva en la gestión de carteras
DOI:
https://doi.org/10.51302/rcyt.2001.16537Resumen
Accésit Premio Estudios Financieros 2000
El objetivo del presente trabajo es analizar la dimensión del efecto de la sincronización pasiva en la gestión de carteras. Este efecto se produce cuando una cartera no gestionada activamente presenta inestabilidad en el nivel de riesgo sistemático. En contraposición a ésta, la sincronización activa o market-timing implica una gestión activa de la cartera y, por lo tanto, cambios en el nivel de riesgo sistemático al objeto de anticipar adecuadamente los movimientos del mercado. En el trabajo se propone un modelo de beta dinámica que recoge el efecto de la sincronización pasiva atribuible a la evolución acumulada de las ponderaciones de los activos que forman la cartera. Los resultados muestran la importancia de este efecto en la aplicación de las medidas de performance y sincronización activa, que evalúan los resultados de carteras institucionalmente gestionadas como es el caso de los fondos de inversión.
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