Determining the risk-adjusted economic value-added in the average return performance of the selected equity funds in the Philippines from the 1st quarter of 2001 to the 1st quarter of 2005

Date of Publication

2005

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Commerce Major in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Rene B. Hapitan

Defense Panel Member

Perfecto M. Perez
Vincent Lazatin

Abstract/Summary

The main objective of this study was to determine the risk-adjusted economic value-added given to investors by their equity funds when these funds outperformed the market. As popularly known, investment in equity fund is the riskiest type of investment but it generates higher additional return to compensate for the high level of risk. Being an active trader in the stock market to take potential profit, equity fund is able to beat the market on its investment return but its expense account is also large. This study aimed to find out whether the excess return made by the equity fund was high enough not only to pay off the additional expense but also compensate for the high level of risk. The Sharpe's ratio was a useful method to estimate the risk-adjusted economic value-added in this study.

The results provided by Sharpe's ratio in the chapter of data analysis proved that there was risk-adjusted economic value-added existing in four equity funds in the Philippines since the SNR to SGR ratio of outperformance was greater than SNR to SGr ratio of underperformance. The outperformance of Philequity and United Fund generated a return high enough to cover the expenses and to satisfy investors for the level of risk that they were willing to bear. On the other hand, Sunlife and Philam did not satisfy their investors because they generated a lower additional net return than additional risk.

Based on the findings, Philequity Fund, Inc. was the best performer among the four selected equity funds because the fund offered its investors the highest additional net return per additional risk.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21244

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

61, [10] leaves

Keywords

Equity--Philippines; Investments--Philippines

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