Las habilidades de los gestores de fondos de pensiones en Reino Unido. ¿Son mejores los gestores socialmente responsables?

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Publicado 18-09-2018
Mercedes Alda

Resumen

Las habilidades de los gestores de fondos de pensiones, especialmente de fondos socialmente responsables (SR), apenas han sido analizadas. Los fondos de pensiones y los fondos SR se preocupan por el bienestar social, por lo que el estudio de los fondos de pensiones SR presenta un interés especial. Diversos trabajos muestran que los gestores SR generalmente presentan una performance inferior a la de los fondos convencionales, ya que se centran en aspectos sociales; sin embargo, otros estudios muestran que estos presentan mejor performance.

En este trabajo se estudian las habilidades de selección de valores y sincronización de estilos de los gestores de fondos de pensiones de renta variable de Reino Unido, examinando si los fondos de pensiones SR implementan estrategias diferentes y contribuyen a formar pensiones socialmente responsables. Además, se introduce la responsabilidad social como factor de riesgo. Dado lo que me es conocido, la sincronización de estilos y el factor SR no han sido analizados previamente en fondos de pensiones SR. Los resultados indican que ambos fondos desarrollan estrategias similares, invirtiendo en empresas de pequeña capitalización y en crecimiento. Además, presentan una performance negativa, una habilidad de selección de valores pobre o negativa, y una habilidad de sincronización con el mercado negativa. Los gestores SR muestran mejor habilidad de sincronización en estilos, sincronizando correctamente estrategias tamaño y book-to-market. Los fondos de pensiones SR tienen un peso significativamente positivo en el factor SR, lo que erosiona su performance. En general, ninguno de los fondos analizados desarrolla una gestión adecuada, y la optimización del binomio riesgo-rentabilidad en fondos SR puede estar restringida por las exigencias de la inversión SR.

Cómo citar

Alda, M. (2018). Las habilidades de los gestores de fondos de pensiones en Reino Unido. ¿Son mejores los gestores socialmente responsables?. Cuadernos De Gestión, 18(1), 15–36. https://doi.org/10.5295/cdg.150597ma
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Keywords

Fondo de pensiones, selección, habilidad, sincronización, Reino Unido

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