Date of Publication

3-2019

Document Type

Master's Thesis

Degree Name

Master of Science in Financial Engineering

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Michael Gines Munsayac

Defense Panel Chair

Ricarte Pinlac

Defense Panel Member

Edwin Valeroso
Kashmirr Camacho

Abstract/Summary

There exist only limited financial products for the more risk-averse investors in the Philippines. This study developed the financial product, the Hurst-based Minimum Volatility Equity Fund (aka Min Vol Equity Fund), or the Minimum Risk Equity Fund, to give access to individuals or entities who wish to invest their portfolios in a more conservative fund. The study aimed to develop the Min Vol Fund through the stock selection process that utilized the covariance matrices for the co-movement of each constituent stock and through the measure known as the Hurst Exponent, which determined the long-term memory of a stock’s historical data for future concerns through Rescaled Range Analysis. Asset allocation was done through the calculation of the minimum risk through the Sequential Quadratic Programming iterative method. To conclude the development of the Hurst-based Minimum Risk Equity Fund, its volatility was determined and backtested across different years, 2015 to 2018. The volatility of the fund was then compared to its benchmark funds, and had successfully beaten them.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTG007424

Keywords

Stocks—Philippines; Portfolio management

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Embargo Period

9-21-2022

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