Vicente lideró el desarrollo de una estrategia de momentum para empresas de pequeña capitalización en América Latina, logrando un retorno anualizado superior al 20% y atrayendo la atención del mercado.
En la industria global de gestión de activos, la percepción del mercado latinoamericano ha permanecido durante mucho tiempo vinculada al estereotipo de estar “impulsado por los ciclos de las materias primas”. Sin embargo, Vicente Castaño Ledezma tiene una visión de futuro y reconoce enormes oportunidades de crecimiento en el mercado de pequeña capitalización de América Latina.
Durante su mandato como estratega cuantitativo principal, Vicente lideró el desarrollo de un modelo de selección de acciones de impulso enfocado en empresas de pequeña capitalización en América Latina.
Este modelo se diferencia de las estrategias de impulso tradicionales, que se limitan a buscar simplemente la velocidad del aumento de precios. Integra señales multidimensionales, como el impulso de los precios, los cambios en el volumen de operaciones y las revisiones al alza de las expectativas de ganancias, y está optimizado para las características de liquidez únicas del mercado latinoamericano.
Las tres principales innovaciones del modelo incluyen:
- Ventana de impulso dinámica: Según las condiciones de liquidez del mercado en diferentes países, el período de observación del impulso puede ajustarse de manera flexible (de 3 a 9 meses) para evitar eficazmente los riesgos de retroceso de precios.
- Factor de penalización de liquidez: Introducción de indicadores de profundidad comercial al seleccionar acciones, con el fin de evitar estrategias centradas en objetivos de muy bajo volumen y mejorar la viabilidad de la estrategia.
- Mecanismo de superposición de revisión de ganancias: Solo se examinan las acciones de crecimiento de pequeña capitalización que hayan tenido revisiones al alza significativas de las expectativas de ganancias, lo que mejora el soporte fundamental de las señales de impulso.
Gracias a esta estrategia, Vicente lideró al equipo para lograr una excelente rentabilidad anualizada superior al 20% en la cuenta real interna, superando significativamente a los principales índices del mercado latinoamericano durante el mismo período y superando ampliamente el desempeño promedio de fondos de acciones de pequeña capitalización similares.
Más importante aún, este modelo no solo logró avances en el desempeño, sino que también cambió la percepción tradicional de las instituciones sobre la clase de activos de pequeña capitalización de América Latina: ya no se consideran solo objetivos de inversión de alta volatilidad y baja transparencia, sino que se presentan como activos emergentes capaces de generar retornos excedentes estables a través de una selección cuantitativa científica y una gestión dinámica de riesgos.
El logro de Vicente también sentó una base sólida para el posterior diseño cuantitativo a mayor escala en América Latina, convirtiéndose en uno de los logros más emblemáticos de su carrera temprana.
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