Analysis of quantitative investment strategies - research and development activity and stock returns in the U.S. market
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/144708 |
Resumo: | Low volatility and R&D to market equity based investment strategies can yield abnormal returns on the US equity market. In the first place we are improving the low volatility strategy by using a volatility timing signal, that invests in past winner stocks when the market outlook is bullish. Secondly, the long only R&D portfolio can be improved by making it a zero-investment strategy, that short- sells low R&D past losers. In the last part wes how that a combined risk-parity portfolio, that rebalances the two investment strategies on a monthly basis outperforms all common benchmarks between 2001 and2020. |
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Analysis of quantitative investment strategies - research and development activity and stock returns in the U.S. marketFinancial marketsPortfolio managementQuantitative investment strategyMomentumResearch and developmentDomínio/Área Científica::Ciências Sociais::Economia e GestãoLow volatility and R&D to market equity based investment strategies can yield abnormal returns on the US equity market. In the first place we are improving the low volatility strategy by using a volatility timing signal, that invests in past winner stocks when the market outlook is bullish. Secondly, the long only R&D portfolio can be improved by making it a zero-investment strategy, that short- sells low R&D past losers. In the last part wes how that a combined risk-parity portfolio, that rebalances the two investment strategies on a monthly basis outperforms all common benchmarks between 2001 and2020.Hirschey, NicholasRUNJorge, Frederico Alexandre Belo Carmona Mendes2022-10-14T13:37:51Z2022-06-172022-05-202022-06-17T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/144708TID:203064194enginfo: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:RCAAP2024-03-11T05:24:32Zoai:run.unl.pt:10362/144708Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:51:42.655994Repositório 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 - research and development activity and stock returns in the U.S. market |
title |
Analysis of quantitative investment strategies - research and development activity and stock returns in the U.S. market |
spellingShingle |
Analysis of quantitative investment strategies - research and development activity and stock returns in the U.S. market Jorge, Frederico Alexandre Belo Carmona Mendes Financial markets Portfolio management Quantitative investment strategy Momentum Research and development Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Analysis of quantitative investment strategies - research and development activity and stock returns in the U.S. market |
title_full |
Analysis of quantitative investment strategies - research and development activity and stock returns in the U.S. market |
title_fullStr |
Analysis of quantitative investment strategies - research and development activity and stock returns in the U.S. market |
title_full_unstemmed |
Analysis of quantitative investment strategies - research and development activity and stock returns in the U.S. market |
title_sort |
Analysis of quantitative investment strategies - research and development activity and stock returns in the U.S. market |
author |
Jorge, Frederico Alexandre Belo Carmona Mendes |
author_facet |
Jorge, Frederico Alexandre Belo Carmona Mendes |
author_role |
author |
dc.contributor.none.fl_str_mv |
Hirschey, Nicholas RUN |
dc.contributor.author.fl_str_mv |
Jorge, Frederico Alexandre Belo Carmona Mendes |
dc.subject.por.fl_str_mv |
Financial markets Portfolio management Quantitative investment strategy Momentum Research and development Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Financial markets Portfolio management Quantitative investment strategy Momentum Research and development Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Low volatility and R&D to market equity based investment strategies can yield abnormal returns on the US equity market. In the first place we are improving the low volatility strategy by using a volatility timing signal, that invests in past winner stocks when the market outlook is bullish. Secondly, the long only R&D portfolio can be improved by making it a zero-investment strategy, that short- sells low R&D past losers. In the last part wes how that a combined risk-parity portfolio, that rebalances the two investment strategies on a monthly basis outperforms all common benchmarks between 2001 and2020. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-10-14T13:37:51Z 2022-06-17 2022-05-20 2022-06-17T00:00:00Z |
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/10362/144708 TID:203064194 |
url |
http://hdl.handle.net/10362/144708 |
identifier_str_mv |
TID:203064194 |
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 |
institution |
RCAAP |
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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1799138109880795136 |