EVALUATING PORTFOLIO PERFORMANCE AND INVESTMENT STRATEGIES ACROSS PHILIPPINE AND GLOBAL MARKETS

Erick John E. Endres

Abstract


This study offers a comparison of two core investment portfolios, "Classic" and "Next Gen," spanning the ten-year period from 2015 to 2024. The study evaluated ten investment strategies (sub-portfolios) using a set of performance metrics, such as the Compound Annual Growth Rate (CAGR), Maximum Drawdown (MDD), Sharpe Ratio, and Sortino Ratio. To provide a final ranking, a Multi-Criteria Decision Analysis (MCDA) was employed. The findings showed a clear performance divide: the Next Gen portfolio consistently and significantly outperformed, generating strong positive risk-adjusted returns and double-digit compound annual growth rates. On the other hand, although the Classic portfolio provided some downside protection during a particular market downturn, they were unable to produce significant capital appreciation, producing insignificant returns and negative risk-adjusted metrics. This superiority was validated by the MCDA framework, which ranked the Next Gen-Conservative as the best portfolio and strategy due to its excellent risk management and ideal balance of high returns. The study concluded that, in comparison to the underperforming traditional strategies examined, the Next Gen portfolio was a more effective and efficient model for long-term wealth creation for Filipino investors.

 

JEL: G11, G15, C61, F21, O16

 

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Keywords


asset allocation, investment strategy, portfolio management, Modern Portfolio Theory, Multi-Criteria Decision Analysis, Philippines

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References


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DOI: http://dx.doi.org/10.46827/ejefr.v9i4.2055

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