Evaluación de fondos de inversión garantizados por medio de portfolio insurance

Abstract

Foundations for the construction of a performance index lay in the right definition of the risk measure that will be used. This paper proposes a performance measure suitable for guaranteed mutual funds. Given the idiosyncrasy of this kind of mutual funds we first need to define a measure that explains the specific risk characteristics of these portfolios. Starting from a portfolio insurance strategy we define a new measure of risk based on the downside risk. We propose as a measure for downside risk that part of a portfolio’s total risk that can be eliminated implementing portfolio insurance while our measure for upside risk is the part of a portfolio’s total risk that does not disappear using portfolio insurance. In this way the sum of the upside risk and the downside risk is the total risk. Starting from the upside risk measure and the Capital Asset Princing Model we propose a specific performance measure to evaluate guaranteed mutual funds.