Combined quality value investing

Bibliographic Details
Main Author: Kern, Levi Friedemann
Publication Date: 2022
Format: Master thesis
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10362/182927
Summary: 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.
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spelling Combined quality value investingQuantitative investingFactor investingQuality investingValue investingMultifactor investingFinancial marketsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis 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.Hirschey, NicholasRUNKern, Levi Friedemann2023-01-192022-12-162025-12-16T00:00:00Z2023-01-19T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/182927TID:203310721enginfo:eu-repo/semantics/embargoedAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-05-12T01:49:40Zoai:run.unl.pt:10362/182927Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T07:14:15.913996Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Combined quality value investing
title Combined quality value investing
spellingShingle Combined quality value investing
Kern, Levi Friedemann
Quantitative investing
Factor investing
Quality investing
Value investing
Multifactor investing
Financial markets
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Combined quality value investing
title_full Combined quality value investing
title_fullStr Combined quality value investing
title_full_unstemmed Combined quality value investing
title_sort Combined quality value investing
author Kern, Levi Friedemann
author_facet Kern, Levi Friedemann
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas
RUN
dc.contributor.author.fl_str_mv Kern, Levi Friedemann
dc.subject.por.fl_str_mv Quantitative investing
Factor investing
Quality investing
Value investing
Multifactor investing
Financial markets
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Quantitative investing
Factor investing
Quality investing
Value investing
Multifactor investing
Financial markets
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description 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.
publishDate 2022
dc.date.none.fl_str_mv 2022-12-16
2023-01-19
2023-01-19T00:00:00Z
2025-12-16T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/182927
TID:203310721
url http://hdl.handle.net/10362/182927
identifier_str_mv TID:203310721
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833602925778173952

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