Hola Aciago, muy adecuado su comentario. Creo que los datos que proporcionan de los fondos (Alfa, Ratio Sharp,,etc) son interesantes pero no definitivos, a veces nos los tomamos como ciencia exacta y luego pasa lo que pasa.
Hace poco me topé con un estudio sobre la capacidad del Ratio Sharp para predecir retornos. Decía más o menos que:
"Some investors look to financial metrics to anticipate future mutual fund winners. But are metrics any better at predicting performance than Morningstar’s star ratings system? Let’s consider the Sharpe Ratio, a popular metric that measures an asset’s return relative to its volatility. In this example, the ratio is calculated by first subtracting the risk free rate from the return of the fund, then dividing by the fund’s standard deviation. A positive ratio indicates better historical risk-adjusted performance.
This slide sorts the US fund universe (over 12,000 funds) by five-year Sharpe Ratio (top chart) and shows the funds’ subsequent five-year annualized returns, with each fund positioned according to its prior period sort (bottom chart). If a fund’s historical Sharpe Ratio has predictive power, one would expect to see higher-ratio funds producing higher relative returns in the subsequent period.
This is not the case. The broad dispersion of five-year returns shows no statistical difference between high- and low-ratio funds. So, funds with high Sharpe Ratios have no better chance than low-ratio funds of delivering exceptional performance in the future."
http://www.fplcapital.com/pdf/Can-Sharpe-Ratios-Predict-Returns.pdf
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