Eficiencia de los fondos de inversión en el mercado mexicano

Resum

In the last years, the international mutual fund industry has been growing at a fast rate, and the Mexican market is not an exception. The goal of his doctoral dissertation is to study the behavior of the Mexican mutual fund market using the portfolio theory which is a classic in the finance literature. We start with the macro analysis of the regulatory frame of the Mexican mutual fund industry. Later we make a bibliographic review of the performance and persistence previous literature, starting with the classical contributions of the 1960´s, until the most recent conceptual and methodology approaches. The main contribution of this research is based on a return-based model proposal that portraits the reality of the Mexican mutual fund industry, including for the first time the structural change in the financial markets as a consequence of the 2008 crisis. Regarding the public information that the investor requires for the decision making process, in México is limited so is necessary to disseminate information about the mutual funds return by risk unit and performance. To accomplish this, it´s essential the existence of a market model that represents the return generation process. The results are consistent with the obtained in other countries, no matter the financial international crisis. The size and BE/ME factors explain the most of the performance. We can stick to the notion than the Mexican mutual funds has a passive management. The debt market factors represent the lower rate of return because of the monetary police of Banco de México and the lower risk price