Date of Publication

12-19-2022

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

John Paul S. Tanyag

Defense Panel Chair

Robert Ramos

Defense Panel Member

Nissa Toledo
Roderick Pangindian

Abstract/Summary

The main purpose of this research is to examine whether or not Benjamin Graham’s Stock Selection Criteria is deemed as a strong quantitative investment strategy using the Sharpe ratio, Jensen's Alpha, Treynor ratio, the beta, Value at Risk and expected returns as performance metrics that will be computed from the values provided by the method of stationary bootstrapping. In addition, the study also compares the performance between two of Benjamin Graham’s stock selection criteria, namely the Defensive and Enterprising Investor from his book, The Intelligent Investor. The research results show that Benjamin Graham’s Stock Selection Criteria is not a strong quantitative investment strategy in all of the ASEAN Countries. This is attributed to the fact that due to the stringent quality of the criteria prescribed by Graham, creating portfolios based on it only leads to fewer securities. Thus, each portfolio lacks diversification. Furthermore, based on the performance metrics, it seems that the Defensive Approach slightly edges out the Enterprising Approach in most of the countries involved in this study. However, it is worth noting that the performances of the Enterprising and Defensive portfolios remain uneven in terms of risk and reward as well as in comparisons to the performances of one another.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Stocks—Southeast Asia

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Embargo Period

12-19-2022

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