Una propuesta de estrategias especulativas de carry trade para una selección de divisas latinoamericanas

Abstract

[Resumen]: En los años 70 se pusieron en marcha una serie de medidas económicas en todo el mundo con la finalidad de desregularizar el sector financiero global. A partir de ello, se generó la estrategia especulativa del carry trade en divisas, la cual se nutre, en determinadas modalidades, del sistema financiero conocido como shadow banking. Introducimos ambos conceptos con la intención de contextualizar la investigación de la viabilidad de varias carteras de carry, con las divisas BRL, MXN y COP frente al USD, con el objetivo de minimizar varios indicadores de riesgo. Se concluye que existen, en general, beneficios de diversificación con respecto a las estrategias COP y MXN, pero nunca con respecto a BRL, estrategia que presenta unos rendimientos y una ratio de Sharpe insuperables.

[Abstract]: In the 1970’s, a series of economic measures were implemented throughout the world, in order to achieve the deregulation of the global financial sector. And as a result, a new speculative strategy known as currency carry trade was generated, fueled, in certain modalities, by the financial system known as shadow banking. Both concepts are introduced in this academic study, with the intention of contextualizing the research of the viability of several carry portfolios, using currencies such as BRL, MXN and COP against the US Dollar, with the aim of minimizing several risk indicators. The conclusion reached here is that diversification is beneficial with respect to the COP and MXN strategies, but never with respect to BRL, a strategy that presents both excellent performance and Sharpe Ratio that are unrivalled.