¿Difiere la rentabilidad y el riesgo en los fondos de inversión no convencionales?

Abstract

The aim of this paper is to analyze the return and risk of different categories of funds managed using non-conventional management criteria, in order to test which achieve a better performance. Three periods, two bullish phases and one bearish phase, were analyzed. Three categories of non-conventional investment funds were examined: socially responsible investment funds, funds based on the principles of Behavioral Finance, and finally the Vice Fund, applying a medium-difference analysis and a multivariate analysis along with the Sharpe ratio and information ratio. No significant differences were found between the returns of the three categories, except as regards their volatility. Using the estimated multivariate model it was not possible to get significant differences between the three categories of funds or the market index in most cases. Ratio analysis enabled us to establish a fund ranking, but was unable to show which management was the most appropriate throughout the different periods.