Evaluación de la significancia de la anomalía de baja volatilidad en el mercado accionario colombiano

Abstract

The study of the performance or the continuation of past returns in a portfolio long in low volatility stocks and short in high volatility stocks that acquires significant risk-adjusted returns, have attracted considerable attention in financial research. In the United States, Baker, Brendan and Wurgler (2011) found strong evidence that the push of a winner portfolio of low historical volatility exceeds a portfolio of high historical volatility in the medium-term periods (composed between 3 to 12 months). They called this effect the low volatility anomaly. In the Colombian market this study is complementary to the one made by Berggrun and Rausch (2011) about momentum and its objective is to study in which cases apply and if an administrator can take advantage of the low volatility anomaly in portfolios formed by assets listed in the Colombian market, adjusted for standard deviation of returns and beta to determine the presence of the low volatility anomaly and thereby formulate a strategy for creating portfolios based on this anomaly, however there were no evidence of the low volatility anomaly in the study and no pattern was found among the returns which is attributable to fundamental and idiosyncratic factors that tend to weigh more in the movement of prices; this analysis shows the importance of confirming the absence of the anomaly in the local market, since the strategies can be designed following more outstanding fundamentals for the most representative assets of the IGBC.