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Analysis of quantitative investment strategies: value, distress and short-term reversal
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| 1.54 MB | Adobe PDF |
Orientador(es)
Resumo(s)
This report aims to analyze the performance of along-short investment strategy over a 12-year sample period. The strategy is constructed upon the approach of Fama and French (1992) to value investing and the marginality of firms, as advanced by Chan and Chen (1991). A short-term reversal component is subsequently implemented to take advantage of the interplay between value and marginality. Notwithstanding considerable barriers to its implementation, and while past returns do not necessarily predict future returns, the strategy delivers the best risk-adjusted return relative to considered benchmarks, averaging an annual return of 12.47% and 9.54%of annual volatility.
Descrição
Palavras-chave
Finance Financial markets Financial or data analysis Distress Value investing Reversal