Pereira, João PedroBernardino, Rodrigo2019-06-242019-06-242019-01-14http://hdl.handle.net/10362/73489This 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.engFactor investingFundamental indicatorsIndustrySharpe ratio.master thesis202226344