Risk and return of a diversified portfolio in the post-pandemic Mexico

Abstract

This article aims to analyze the risk and return of a diversified portfolio
in the Mexican stock market through the estimation of the systematic risk
and the Sharpe ratio to make a comparison between the pre-pandemic and
post-pandemic situation. Data from August 2017 to july 2022 have been considered.
It has been found that although a diversified portfolio in Mexico has
increased its risk and return levels in the post-pandemic situation, there is
not enough evidence to determine the presence of a statistically significant
change between the pre-pandemic and post-pandemic situations. It is concluded
that the stock market in Mexico adjusted rapidly, which could be
indirect evidence for the efficient markets hypothesis.