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Analysis of quantitative investment strategies - research and development activity and stock returns in the U.S. market
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| 1.36 MB | Adobe PDF |
Orientador(es)
Resumo(s)
Low volatility and R&D to market equity based investment strategies can yield abnormal returns on the US equity market. In the first place we are improving the low volatility strategy by using a volatility timing signal, that invests in past winner stocks when the market outlook is bullish. Secondly, the long only R&D portfolio can be improved by making it a zero-investment strategy, that short- sells low R&D past losers. In the last part wes how that a combined risk-parity portfolio, that rebalances the two investment strategies on a monthly basis outperforms all common benchmarks between 2001 and2020.
Descrição
Palavras-chave
Financial markets Portfolio management Quantitative investment strategy Momentum Research and development