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Friday, February 8, 2013

The Filipino Investor Quantitative Model Portfolio

I have conducted a Multi-factor analysis on stocks listed in the Philippine Stock Exchange last Jan 23, 2013.
From the top 25 stocks that passed that analysis, I made a dummy or a "model" portfolio if you may to track it's performance. 

The model portfolio is dominated in PHP and assumes a PHP 10,000 exposure for every stock on purchase date. The purchase date is on Jan 24, 2013 w/c is one day after the analysis was done. The purchasing price is the closing price of the Jan 24, 2013. There are 25 stocks in this model portfolio hence the initial capital  is PHP 250,000. Brokerage cost and taxes are not accounted for this model.

Let's find out if this "Multi-factor" strategy can outperform the Philippine index (PCOMP:IND) in terms of return.

This is a buy and hold strategy w/c re-balances annually. I'm not sure yet how i'm going to account for the dividends or if this Bloomberg watch list can account that for me (though I think it cant). Anyways, I'll just figure that out later.

For tracking purposes let's name this model portfolio as "The Filipino Investor Quantitative Fund" or in short, "TFI Quant Fund".

TFI Quant Fund:

Capital: PHP 250,000
Analysis date: Jan 23, 2013
Purchase date: Jan 24, 2013
Number of stocks: 25
Exposure per stock: PHP 10,000
Benchmark: PCOMP:IND
TFI Quant Fund return since Jan 24: +8.04%
PCOMP return since Jan 24: +5.58%

TFI Quant Fund

This is not an investment advice and the Author does not have any position on the stocks mentioned above as of the publishing date of this article - Feb 08, 2013. The author shall not be responsible or liable for any trading or investment decisions made based on this information.
The author hereby expressly disclaims any responsibility for any error or inaccuracy in the information.


  1. Intriguing portfolio.

    How/what kind of analysis did you use?

    1. Hi Carlos, I used a proprietary multi-factor model using value factors and price momentum for this strategy. If this works out well this year. I'm planning to put some money in next year. :)

    2. Nice. Let us know :D

      btw, proprietary meaning yours, or proprietary someone else's?

    3. Sure bro! Ahmm.. Proprietary meaning, with the firm I work with.

  2. How is this fund doing given these recent turn of events? My value stocks are included in this list but Ive since stayed on cash. Thanks

    1. kimomatrix! Thanks for raising this up, I will make an "update" regarding this portfolio, stay posted! :)