Date of Publication

5-16-2022

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Advisor

Robert B. Ramos

Defense Panel Chair

Soleil Baria

Defense Panel Member

John Paul S. Tanyag
Niño Datu

Abstract/Summary

The study aims to evaluate the risk-adjusted performance of actively managed and passively managed equity mutual funds and unit investment trust fund (UITFs) in the Philippines before and during the COVID-19 pandemic by testing whether or not actively managed funds do better in times of crisis than passively managed funds. The study utilizes the Sharpe ratio and Information ratio to measure the risk-adjusted performance. The study split the data into two phases: before the pandemic and during the pandemic. The study also investigated assumptions such as the independence of observations, normality of distributions, homogenity of variance, and random sampling to determine the appropriate test of significance. Ultimately, a Student’s t-test, Welch’s t-test, and Mann-Whitney U test were used for different hypotheses.

The researchers found that both actively managed and passively managed funds before and during the pandemic did not outperform the risk-free rate taken as the two-year treasury yield. For risk-adjusted returns, the researchers found that there is significant difference in the Sharpe and Information ratios of actively managed and passively managed funds before the pandemic. It was also found that there is a significant difference between the Information ratio of active and passive funds during the pandemic. However, there is no significant difference between the Sharpe ratio of active and passive funds during the pandemic. This may be because the Sharpe ratio requires the assumption that returns are normally distributed.

Generally, the results show that passive funds have better risk-adjusted returns than active funds during normal market times and during a time of crisis. This goes against the general expectation that active funds are better poised to earn high returns when market volatility is high. However, these results align with the findings of other studies and contribute an emerging market’s unique perspective to the existing literature regarding the performance of active and passive funds.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Mutual funds—Philippines; Trusts and trustees—Philippines; COVID-19 Pandemic, 2020- —Philippines—Influence

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Embargo Period

7-7-2022

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