El market timing en el mercado español

Abstract

[spa] El presente trabajo se centra en el Market-Timing, estrategia basada en la anticipación al mercado a través de diferentes análisis de una serie histórica de precios. El estudio se ha dividido en 2 partes. En primer lugar, se presenta una parte basada en la creación de una cartera de valores formada por 25 activos y gestionada por 4 alternativas de inversión (equiponderada, Volatility Timing, Beta Timing y Markowitz). Además, utilizaremos el ratio de Sharpe como método para evaluar las carteras. En segundo lugar, la parte restante se centra en el análisis de estos datos para determinar cuál de las 5 estrategias es mejor para realizar inversiones en cartera. El análisis que se ofrece en éste trabajo se divide en 3 grandes acontecimientos económicos: a) final de la crisis de las .com y expansión económica (2002-2007), b) la crisis bursátil del 2007 con la quiebra del Lehman Brothers y la crisis de deuda que azota la unión europea desde 2010 (2007-2012), c) Periodo de recuperación económica tras la crisis financiera (2012- act). Con ello, se ha tomado como referencia el IBEX-35 con el objetivo de lograr visualizar de entre las estrategias seleccionadas cuál de ellas es la mejor en comparación con el mercado.

[eng] The present project has been articulated around the so-called Market-Timing. As it is known, Market-Timing is a strategy based on the anticipation of the market through the analysis of a historical series of financial prices. This study has been divided in two different parts. The first section focuses, principally, on the creation of an investments portfolio managed by five investment alternatives – equal weighted, Volatility Timing, Beta Timing and Markowitz. In addition, Sharpe’s ratio will be analyzed as the methodology utilized for portfolio assessment purposes. Concretely, the portfolio comprisies 25 assets. In the second section, all the data included on the previous part is interpreted and analyzed in order to determine which strategy - out of the five that have been already mentioned, would be the most appropriate in relation to the investments portfolio. The aforementioned analysis is divided into three further sections comprising three major economic events: a) the end of the .com crisis and the economic expansion taking place between 2002 and 2007, b) the stock market crisis of 2007 along with Lehman Brothers, and the devastating European debt, from 2010 to 2012 (2007-2012), c) the economic recovery period after the financial crisis, from 2012 up to the present day. In order to carry this study out, IBEX 35 has been taken as a reference point with the ultimate purpose of achieving an adequate illustration of the best strategy - out of the five different strategies provided, in relation to the market.