Analysis of quantitative investment strategies: value, distress and short-term reversal

Detalhes bibliográficos
Autor(a) principal: Oliveira, Gonçalo Torres Franchini
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/142013
Resumo: This report aims to analyze the performance of along-short investment strategy over a 12-year sample period. The strategy is constructed upon the approach of Fama and French (1992) to value investing and the marginality of firms, as advanced by Chan and Chen (1991). A short-term reversal component is subsequently implemented to take advantage of the interplay between value and marginality. Notwithstanding considerable barriers to its implementation, and while past returns do not necessarily predict future returns, the strategy delivers the best risk-adjusted return relative to considered benchmarks, averaging an annual return of 12.47% and 9.54%of annual volatility.
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spelling Analysis of quantitative investment strategies: value, distress and short-term reversalFinanceFinancial marketsFinancial or data analysisDistressValue investingReversalDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis report aims to analyze the performance of along-short investment strategy over a 12-year sample period. The strategy is constructed upon the approach of Fama and French (1992) to value investing and the marginality of firms, as advanced by Chan and Chen (1991). A short-term reversal component is subsequently implemented to take advantage of the interplay between value and marginality. Notwithstanding considerable barriers to its implementation, and while past returns do not necessarily predict future returns, the strategy delivers the best risk-adjusted return relative to considered benchmarks, averaging an annual return of 12.47% and 9.54%of annual volatility.Hirschey, Nicholas H.RUNOliveira, Gonçalo Torres Franchini2022-07-18T14:13:57Z2022-01-112021-12-172022-01-11T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/142013TID:202997618enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:19:16Zoai:run.unl.pt:10362/142013Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:05.870785Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Analysis of quantitative investment strategies: value, distress and short-term reversal
title Analysis of quantitative investment strategies: value, distress and short-term reversal
spellingShingle Analysis of quantitative investment strategies: value, distress and short-term reversal
Oliveira, Gonçalo Torres Franchini
Finance
Financial markets
Financial or data analysis
Distress
Value investing
Reversal
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Analysis of quantitative investment strategies: value, distress and short-term reversal
title_full Analysis of quantitative investment strategies: value, distress and short-term reversal
title_fullStr Analysis of quantitative investment strategies: value, distress and short-term reversal
title_full_unstemmed Analysis of quantitative investment strategies: value, distress and short-term reversal
title_sort Analysis of quantitative investment strategies: value, distress and short-term reversal
author Oliveira, Gonçalo Torres Franchini
author_facet Oliveira, Gonçalo Torres Franchini
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas H.
RUN
dc.contributor.author.fl_str_mv Oliveira, Gonçalo Torres Franchini
dc.subject.por.fl_str_mv Finance
Financial markets
Financial or data analysis
Distress
Value investing
Reversal
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Finance
Financial markets
Financial or data analysis
Distress
Value investing
Reversal
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This report aims to analyze the performance of along-short investment strategy over a 12-year sample period. The strategy is constructed upon the approach of Fama and French (1992) to value investing and the marginality of firms, as advanced by Chan and Chen (1991). A short-term reversal component is subsequently implemented to take advantage of the interplay between value and marginality. Notwithstanding considerable barriers to its implementation, and while past returns do not necessarily predict future returns, the strategy delivers the best risk-adjusted return relative to considered benchmarks, averaging an annual return of 12.47% and 9.54%of annual volatility.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-07-18T14:13:57Z
2022-01-11
2022-01-11T00:00:00Z
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/10362/142013
TID:202997618
url http://hdl.handle.net/10362/142013
identifier_str_mv TID:202997618
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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