Do investors obtain better results selecting mutual funds through quantitative ratings?

  1. Luis Otero-González 1
  2. Pablo Durán Santomil 1
  3. Renato Heitor Correia- Domingues 2
  1. 1 Universidade de Santiago de Compostela
    info

    Universidade de Santiago de Compostela

    Santiago de Compostela, España

    ROR https://ror.org/030eybx10

  2. 2 Universidade Lusíada do Porto
    info

    Universidade Lusíada do Porto

    Oporto, Portugal

    ROR https://ror.org/04ehtgm24

Revista:
Revista española de financiación y contabilidad

ISSN: 0210-2412

Año de publicación: 2020

Volumen: 49

Número: 3

Páginas: 265-291

Tipo: Artículo

DOI: 10.1080/02102412.2019.1622066 DIALNET GOOGLE SCHOLAR

Otras publicaciones en: Revista española de financiación y contabilidad

Resumen

El objetivo de este artículo es analizar si los ratings son herramientas adecuadas para seleccionar fondos de inversión. Nuestra muestra contiene fondo de renta variable europeos que disponen de rating Morningstar durante el período 2003-2014. Nuestras conclusiones apoyan la capaciad de los ratings para predecir la performance futura en el corto y medio plazo. En este sentido, hemos encontrado que en media, los fondos con peores ratings tienen una peor rentabilidad fuera la muestra en términos de medidas ajustadas al riesgo y de retorno anual. La mayor capacidad de predicción se observa al plazo de un año pero también es buena cuando se considera un período de tres años. La includión de los costes y de otras variables como la rotación, la edad, y el tamaño, reflejan la importancia de considerar otros factores para explicar la performance futura. Finalmente, los mejores ratings tienen un mejor comportamiento en términos de value at risk (VAR) mostrando que invirtiendo en fondos con buenos ratings ayuda a preservar la riqueza de los inversores ante condiciones del mercado desfavorables.

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