Hirschey, Nicholas H.Costa, José Guilherme Ferreira Meireles da2022-07-182022-07-182022-01-112021-12-17http://hdl.handle.net/10362/142016This 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.engMacroeconomicsFinancial marketsStock marketFundamental analysismaster thesis202997766