Traditional Investment Tools Using Backtesting Simulations: The Case of Colombian Stock Market for the Period 2007-2013

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• Título: Traditional Investment Tools Using Backtesting Simulations: The Case of Colombian Stock Market for the Period 2007-2013
• Autor: Contreras Pacheco, Orlando Enrique; Vecino Arenas, Carlos E; Barbosa Calderón, Alejandra
• Publicación original: The International Journal of Applied Economics and Finance; Vol. 10, No. 1 - 3, 2016
• Descripción física: PDF
• Nota general:
  • This study intends to prove the viability of the mean-variance portfolio methodology introduced by Harry Markowitz in 1950 as a traditional concept that modern retail investors could use to improve the performance of their investments, over and above that offered by the average actively managed or index equity fund. Likewise, represents a final dossier with several outputs obtained by the design and running of an optimization model, which was developed by using basic financial concepts.
    This algorithm which is based on a back testing analysis, simulated four investment strategies by taking into account historical data on the Colombian stock market. From this application, recommended portfolios for each strategy are obtained and ran for the period between 2007 and 2013, which are compared in terms of return and risk to the most representative Colombian stock index (IGBC) behavior.
    Results achieved indicate that the designed algorithm is effective, yet demonstrate a more superior integral performance than the market. Its main contribution is the model’s potential use for supporting actual investment decisions. It is believed there is sufficient evidence to support the use of traditional concepts and financial tools like the mean-variance optimization as a valid, value-adding mechanism for investors.
• Notas de reproducción original: Digitalización realizada por la Biblioteca Virtual del Banco de la República (Colombia)
• Notas:
  • Colombia
  • Resumen: Investment portfolios; Investment strategies; Stock market; Back testing analysis; Financial markets
  • © Derechos reservados del autor
  • Colfuturo
• Forma/género: texto
• Idioma: inglés
• Institución origen: Biblioteca Virtual del Banco de la República
• Encabezamiento de materia:
  • Ciencias sociales; Ciencias sociales / Economía