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Analysis of quantitative investment strategies: exploring short side with a fundamental approach
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 2.06 MB | Adobe PDF |
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Resumo(s)
This report is meant to present a quantitative strategy analysis. It tests how short interest and fundamental valuation combination can predict stock returns. Besides that, uses a customized monthly allocation method to see if there is a way to improve risk-adjusted returns. From 2003 to 2020, the strategy delivered 10.48 times his initial investment. However, it suffered a drastic shift from 2010 on, where it had lower risk-adjusted returns than before(SR decreased from 1.5 to 0.3; Skewness from 0.5 to -0.5). To this extent, it gives some responses on why did it drastically change its performance along the sample period.
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Palavras-chave
Macroeconomics Financial markets Stock market Fundamental analysis