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Publicação
Combined quality value investing
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| 4.29 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Quantitative investing Factor investing Quality investing Value investing Multifactor investing Financial markets