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European industry segmentation: a simple factor investing strategy
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 1.46 MB | Adobe PDF |
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Orientador(es)
Resumo(s)
This report assesses a possible European industry segmentation (small and medium size
companies) through fundamental indicators, aiming to develop indicator-based strategies that
outperform the market, providing to the average investor a simple and efficient investment strategy.
According to its outcomes, all the constructed portfolios based on the indicator that provided the
maximum sharpe ratio, surpass its industry proxy and produced competitive results when compared
with the market. Its out-of-sample performance sustains our findings for almost all industries,
proving that this procedure can be a source of value for investment practices. This process can be
applied to other indicators or markets.
Descrição
Palavras-chave
Factor investing Fundamental indicators Industry Sharpe ratio.