Los factores de riesgo y su influencia en el exceso de retorno de los fondos mutuos peruanos de renta variable en el periodo 2010 - 2018

Abstract

The Peruvian mutual fund system has almost 18 years as an investing alternative in the market. In the case of Peru, the supply is given by the institutions called “Sociedades Administradoras de Fondos” which manage a pool of mutual funds. Considering the different levels of investor’s risk aversion, they would be classified as: fixed income funds, equities mutual funds, mixed fixed income and equities mutual funds, fund of funds and structured mutual funds. In this context, the goal from this document is to identify, construct, model and evaluate the statistical significance of the risk factors in the performance of the equities mutual funds returns. Taking into consideration that the specific risk drivers are related to invested asset classes in mutual funds’ portfolios and the historical less volatility in the fixed income mutual fund returns. This paper will focus on study the equities mutual funds return and using the background from the models reviewed in the literature in order to construct the risk factors considering the characteristics of the Stock Exchanges where the investing activities are developed, and in this sense obtain risk premiums decomposition of the monthly returns in this type of funds. Finally, this paper proposes the implementation of strategies which hedge partial or totally the portfolio positions.