A comparative assessment of Benjamin Graham's stock selection criteria as quantitative investment strategy in ASEAN-5 markets post global financial crisis: An examination of the defensive and enterprising investor approach

• Main Authors: Lim, Geoffrey James O., Malamug, Jose Rafael M., Panugayan, Ethen Aldrich P.
• Format: text
• Language: English
• Published: Animo Repository 2022
• Subjects: Stocks—Southeast Asia; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etdb_finman/43; https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1053/viewcontent/A_Comparative_Assessment_of_Benjamin_Grahams_Stock_Selection_Cri_Redacted2.pdf
• Institution: De La Salle University

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.