Does the Black-Litterman Model Add Value in Portfolios of the Integrated Latin American Market (MILA)? Empirical Evaluat

Authors

DOI:

https://doi.org/10.46661/revmetodoscuanteconempresa.2809

Keywords:

Gestión activa de portafolio, Modelo Black-Litterman, MILA, diversificación, evaluación de desempeño de fondos, cobertura de portafolio por tasa de cambio, active portfolio management, Black-Litterman model, diversification, fund performance evaluation, portfolio coverage by exchange rate

Abstract

The Black-Litterman (BL) model has been proposed as an alternative to Markowitz's average-variance model for the structuring of financial asset portfolios, allowing the incorporation of perspectives of fundamental analysts and guaranteeing a high degree of diversification. This model is applied quarterly, to stock portfolios of the countries of the MILA: Colombia, Chile, Mexico and Peru, based on the universe of shares of its main main indices. As perspectives, we use the historical recommendations of Bloomberg analysts for the period 2008-2016. It is found that the portfolios conformed with BL add value in the countries to the respective reference index, both in terms of average yield and alpha. In addition, a regional BL portfolio is formed with those of each country and it is proven that it exceeds a regional Benchmark, both measured in dollars, in each of three coverage alternatives against the dollar.

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Author Biography

Diego A. Agudelo, Universidad EAFIT

Doctor en Finanzas de Indiana University. Coordinador del Grupo de Finanzas y Banca (GIFyB). Becario Fulbright, 2001. Coordinador del Grupo de Investigación en Finanzas y Banca (A1- Colciencias). Junta Directiva Fondo Mutuo Fomune. Entre 2009-2011 se ocupó como Director de la Maestría en Finanzas de la Universidad EAFIT. Actualmente, se desempeña como docente e investigador en Mercados Financieros, con publicaciones internacionales en  Microestructura de Mercados, Inversiones y Finanzas Internacionales. Ha sido profesor invitado en el Tec de Monterrey, la universidad ESAN y la Universidad del Rosario También, es autor de textos en Matemáticas Financieras y en Inversiones en Renta Variable.

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Published

2019-07-18

How to Cite

Luna-Ramírez, S., & Agudelo, D. A. (2019). Does the Black-Litterman Model Add Value in Portfolios of the Integrated Latin American Market (MILA)? Empirical Evaluat. Journal of Quantitative Methods for Economics and Business Administration, 27, 55–73. https://doi.org/10.46661/revmetodoscuanteconempresa.2809

Issue

Vol. 27 (2019)

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