Development of a minimum risk equity fund in the Philippines

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...

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Main Author: Garcia, Nico Miguel N.
Format: text
Language:English
Published: Animo Repository 2019
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Online Access:https://animorepository.dlsu.edu.ph/etd_masteral/6382
https://animorepository.dlsu.edu.ph/context/etd_masteral/article/13439/viewcontent/Development_of_a_Minimum_Risk_Equity_Fund2.pdf
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Institution: De La Salle University
Language: English
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spelling oai:animorepository.dlsu.edu.ph:etd_masteral-134392022-09-22T06:27:13Z Development of a minimum risk equity fund in the Philippines Garcia, Nico Miguel N. 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. 2019-03-01T08:00:00Z text application/pdf https://animorepository.dlsu.edu.ph/etd_masteral/6382 https://animorepository.dlsu.edu.ph/context/etd_masteral/article/13439/viewcontent/Development_of_a_Minimum_Risk_Equity_Fund2.pdf Master's Theses English Animo Repository Stocks—Philippines Portfolio management Finance and Financial Management
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
topic Stocks—Philippines
Portfolio management
Finance and Financial Management
spellingShingle Stocks—Philippines
Portfolio management
Finance and Financial Management
Garcia, Nico Miguel N.
Development of a minimum risk equity fund in the Philippines
description 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.
format text
author Garcia, Nico Miguel N.
author_facet Garcia, Nico Miguel N.
author_sort Garcia, Nico Miguel N.
title Development of a minimum risk equity fund in the Philippines
title_short Development of a minimum risk equity fund in the Philippines
title_full Development of a minimum risk equity fund in the Philippines
title_fullStr Development of a minimum risk equity fund in the Philippines
title_full_unstemmed Development of a minimum risk equity fund in the Philippines
title_sort development of a minimum risk equity fund in the philippines
publisher Animo Repository
publishDate 2019
url https://animorepository.dlsu.edu.ph/etd_masteral/6382
https://animorepository.dlsu.edu.ph/context/etd_masteral/article/13439/viewcontent/Development_of_a_Minimum_Risk_Equity_Fund2.pdf
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