Abstract

TORRES BELLO, José Roberto  and  SOSA CASTRO, Miriam. Sectorial Exchange Traded Funds (ETFs) Proposal in Mexico and Efficient Portfolios: 2018. Anál. econ. [online]. 2021, vol.36, n.91, pp.85-112.  Epub Apr 21, 2021. ISSN 2448-6655.

This paper proposes the creation of sectorial ETFs to be listed on the Mexican market, employing data for 2018. Once, sectorial ETFs are proposed, an optimal portfolio is built with them to indicate which sector exhibits the best risk/return ratio; this sector should be the first created and offered. Findings reveal algorithm efficiency, physical replication is successful. Frequent Consumption and Materials are the sectors to start ETFs construction. The originality relies on, this kind of instrument is not listed in the Mexican market and are key to promote investment and to do investment strategies such as sectorial rotation.

Keywords : Exchange Traded Funds (ETFs); Sectorial Indices; Rotation Sector Strategy, Mexican Stock Market; G11; D53; P34; O16.