La hipotética presencia de la anomalía de rendimientos superiores de la cartera de mínima varianza, en comparación con las carteras ponderadas por la capitalización de mercado, se ha identificado como uno de los principales fenómenos que se estudian en la teoría financiera. Siendo evidente que dicho fenómeno hace presencia en diferentes mercados, se decide revisar la virtual presencia de este evento, el contexto del mercado colombiano, por lo cual el objetivo de la presente investigación se orientó en mostrar si las propiedades riesgo-retorno están presentes en los portafolios de Mínima Varianza estructurados con acciones del mercado de valores nacional. La metodología aplicada posee un enfoque cuantitativo, y alcance correlacional, y mediante el desarrollo de modelos de optimización para minimizar la varianza de los portafolios constituidos se procedió a hacer la revisión sistemática del evento. Los resultados muestran que los rendimientos del portafolio de mínima varianza son más favorables que los resultados de tres portafolios constituidos como Benchmark, como lo es un portafolio de mercado con retornos proyectados por promedio histórico, un portafolio de mercado con retornos proyectados por el modelo de valoración de activos de capital, y, finalmente, el índice del mercado de valores en Colombia, la revisión comprendió la ventana de tiempo entre enero de 2008 a octubre de 2020. En conclusión, se ha encontrado evidencia empírica de la presencia de la anomalía para los años 2010, 2011, 2012, 2013, 2014 y 2020, en donde efectivamente los resultados del portafolio de mínima varianza supera a los otros tres portafolios constituidos para referenciar el desempeño.

This study develops and validates the 5P–ESG Composite Index as a finance-oriented framework for assessing firm-level sustainable-financial performance in emerging markets. It addresses a persistent limitation in ESG measurement, namely the lack of conceptually integrated and decision-useful metrics capable of incorporating not only environmental, social, and governance dimensions, but also institutional and relational dimensions that are especially relevant in heterogeneous emerging-market settings. Conceptually, the proposed framework is grounded in the 2030 Agenda’s 5Ps (People, Planet, Prosperity, Peace, and Partnerships) and extends conventional ESG approaches by explicitly incorporating Peace and Partnerships into firm-level assessment. Methodologically, the index is constructed through sequential indicator selection, data cleansing, winsorization, normalization, pillar-level scoring, and PCA-based endogenous weighting, while its statistical robustness is assessed through internal consistency tests and factorability diagnostics. Empirically, the framework is applied to issuers in the MSCI COLCAP universe, where it proves operationally feasible and suitable for classifying firms into relative performance groups. In addition, a benchmark comparison against a conventional ESG-3 scheme shows that the broader 5P architecture can modify issuer rankings and tercile classification. Overall, the findings support the proposed index as a transparent, auditable, and context-sensitive tool for investors and decision-makers seeking more comprehensive sustainability metrics in emerging markets.

This article proposes and validates a finance-oriented 5P–ESG composite index to provide an integrated assessment of the sustainable, financial, and corporate governance perfor-mance of firms in emerging markets, with application to the MSCI COLCAP universe. The conceptual framework is derived from the “5Ps” approach of the 2030 Agenda (People, Planet, Prosperity, Peace, and Partnerships), which structures sustainable development goals into five operational, comparable dimensions that are relevant for decision-making in corporate governance and capital market contexts. To operationalize the construct, a set of corporate indicators was defined, data cleansing and standardization procedures were applied to ensure comparability across issuers, and pillar-level scores were constructed. Subsequently, the overall index was estimated through weighted aggregation using en-dogenous weights derived from principal component analysis, following methodological recommendations for composite indices aimed at mitigating collinearity and dou-ble-counting issues. The robustness of the instrument is supported by internal consistency tests and measures of sampling adequacy for factor analysis (KMO/Bartlett), providing evidence of the statistical coherence of the measurement framework. From an applied perspective, the index enables the relative classification of issuers (laggards–transition–leaders) using indicator terciles, offering a quantitative tool for screening, coverage priori-tization, and support for investment and sustainable governance decisions within fun-damental analysis. The findings are interpreted in light of the accumulated evidence on the relationship between ESG practices, financial performance, and cost of capital, high-lighting the usefulness of the approach in emerging markets characterized by heteroge-neous regulatory frameworks and ESG disclosure levels.

El análisis del índice MSCI COLCAP de la bolsa de valores en Colombia es crucial para comprender la dinámica del mercado y evaluar su estabilidad y riesgos, especialmente en pospandemia. Este estudio se justifica por la necesidad de examinar la persistencia y comportamiento de la volatilidad del índice colombiano en un contexto afectado por el covid-19, donde las fluctuaciones en los precios han sido notoriamente marcadas. Utilizando el coeficiente de Hurst, se determinó que el índice muestra una memoria histórica. El análisis de la volatilidad, basado en ventanas de 20 días, reveló una mayor inestabilidad tras la pandemia. Las pruebas de backtesting con modelos GARCH indicaron un aumento significativo en el riesgo durante la pandemia, con valores esperados de -1,14 % antes de esta; -7,4 % en marzo de 2020 y -1,95 %, posteriormente. Dado el anterior contexto, se puede indicar que el presente estudio permite comprender la dinámica y estabilidad del mercado colombiano pospandemia, y proporciona herramientas prácticas para mejorar la previsión y gestión del riesgo. Es relevante para inversores, reguladores y académicos interesados en mercados emergentes y su respuesta a eventos globales disruptivos.

The dynamics between Corporate Social Responsibility (CSR) and Financial Performance (FD) is an issue that has taken on a relative importance in the dynamics of the business and social fabric, an appreciation that is supported by the changes of market unification and the constant transformations in the behavior of stakeholders, where not only is the achievement of returns for its shareholders relevant, but it also incorporates factors of a social and environmental nature, therefore, the objective of this work was to review the correlation observed between CSR and DF, bibliometric review developed for the time window between the years 2000 to 2021, based on a review of scientific writings housed in the Web of Science (WoS) database, where 1,188 articles were identified, decanting 219 publications for the application of the bibliometric analysis that best fit the object of study, analyzing the scientific findings by country and with dyes; the methodologies used, the topics addressed, among other variables, showing that the review of the topic covers 68.9% of the total publications, in the same way the countries with the greatest activity are the United States, China and Spain with 40% of the total publications. It is concluded that the analysis has become an important factor for the business sector and the social system, a practice that is gaining relative strength as a value proposition aligned with the objectives of sustainable development that society requires to guarantee the survival of future generations.