Publicação
Combined quality value investing
| Resumo: | This work project evaluates whether an investment strategy that combines the quality factor with the value factor yields superior risk-adjusted returns to quality as a stand-alone strategy. In this context, a unique quality factor based on profitability, earnings quality and safety is combined with value metrics and optimized over an in-sample period. The out-of-sample analysis shows that the combined strategy fails to outperform the quality-only strategy. The thesis also finds that constructing a three-dimensional quality factor enhances its risk-adjusted performance and confirms the existence of the quality premium. |
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| Autores principais: | Kern, Levi Friedemann |
| Assunto: | Quantitative investing Factor investing Quality investing Value investing Multifactor investing Financial markets |
| Ano: | 2023 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This work project evaluates whether an investment strategy that combines the quality factor with the value factor yields superior risk-adjusted returns to quality as a stand-alone strategy. In this context, a unique quality factor based on profitability, earnings quality and safety is combined with value metrics and optimized over an in-sample period. The out-of-sample analysis shows that the combined strategy fails to outperform the quality-only strategy. The thesis also finds that constructing a three-dimensional quality factor enhances its risk-adjusted performance and confirms the existence of the quality premium. |
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