Development of a trend-tracking dynamic fund-of-index-funds

Kyle Tan

Date of Publication

2018

Document Type

Master's Thesis

Degree Name

Master of Science in Financial Engineering

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Michael Gines Munsayac

Defense Panel Chair

Ma. Fluellen Bautista

Defense Panel Member

Dioscoro P. Baylon, Jr.
Claro M. Cordero
Brian C. Gozun

Abstract/Summary

This first Philippine trend tracking fund of index funds will fill the void between tracking benchmarks and capital preservation by: (i) being composed of benchmark tracking assets, and (ii) a trend tracking strategy. The Fund is composed of: (i) an equity index fund, (ii) a bond index fund as the benchmark trackers, and (iii) a money market fund as the riskless asset. Due to the fund of index funds model, the underlying benchmark assets provide diversification and eliminates the need for individual security selection. The weights of each asset will be selected and adjusted using a Portfolio Optimization Program utilizing Modern Portfolio Theory.

Investor behavior causes markets to move in cycles which can be broken down into uptrends and downtrends; to measure trends the fund intends to use join point regression model to: (i) validate the funds portfolio optimizer, and (ii) overrule the optimizer in favor of the current or reversing trend.

The fund will cater to the Filipino with a medium to long-term investment time horizon and with a risk profile of at least moderately aggressive, with little to no understanding of how markets work, or those who simply do not have the time to monitor their investments. With these criteria in place the proposed ii fund aims to minimize losses resulting in increased growth potential in the long run by taking advantage of trend changes.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTG007510

Shelf Location

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

Physical Description

1 computer disc ; 4 3/4 in.

Keywords

Index mutual funds--Philippines; Bonds--Philippines

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