Enhancement of value strategies using the profitability premium

Detalhes bibliográficos
Autor(a) principal: Brockmann, Lukas Vincent
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/26322
Resumo: The profitability premium can enhance value strategies. The anomaly is still significant after adding a profitability- (RMW) and investment (CMA) factor to the (Fama & French, 1993, 2015) three factor regression. A combination of the four anomalies-- Book-to-Market Equity, Operating Cashflow, Gross Profit and Operating Profit-- in a Mean Variance Portfolio achieves significant out of sample returns compared to the market and other anomaly portfolios. This simple strategy realizes an annualized Sharpe ratio of 1.30 between July 1966 to June 2016 and is even significant after transaction costs. In addition, after implementing mutual fund restrictions (no short selling, minimum market capitalization) it still earns a significant monthly Alpha of 0.22% and is therefore suitable for retail- and institutional investors.
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spelling Enhancement of value strategies using the profitability premiumEnhancementValueStrategiesProfitability premiumDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe profitability premium can enhance value strategies. The anomaly is still significant after adding a profitability- (RMW) and investment (CMA) factor to the (Fama & French, 1993, 2015) three factor regression. A combination of the four anomalies-- Book-to-Market Equity, Operating Cashflow, Gross Profit and Operating Profit-- in a Mean Variance Portfolio achieves significant out of sample returns compared to the market and other anomaly portfolios. This simple strategy realizes an annualized Sharpe ratio of 1.30 between July 1966 to June 2016 and is even significant after transaction costs. In addition, after implementing mutual fund restrictions (no short selling, minimum market capitalization) it still earns a significant monthly Alpha of 0.22% and is therefore suitable for retail- and institutional investors.O Profitability Premium pode aumentar as value strategies. A anomalia é significante mesmo após adicionar factores de profitabilidade (RMW) e investimento (CMA) à regressão de 3 factores (Fama & French, 1993, 2015). Uma combinação das quatro anomalias-- Book-to-Maket Equity, Operating Cashflow, Gross Profit e Operating Profit-- num Mean Variance Portfolio alcança retornos significantes fora da amostra quando comparado com o Mercado e outros portfolios baseados em anomalias. Esta simples estratégia atinge um Sharpe Ratio anualizado de 1.30 entre Julho de 1996 e Junho de 2016, continuando significante após os custos de transacção. Além disso, após implementar as restrições dos mutual funds (proibição de short selling, capitalização minima) ainda alcança um Alpha mensal de 0.22% e é portanto adequado a investidores de retalho e institucionais.Cooper, IlanVeritati - Repositório Institucional da Universidade Católica PortuguesaBrockmann, Lukas Vincent2018-12-11T10:16:56Z2017-10-182017-10-18T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/26322TID:201748975enginfo: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:RCAAP2023-07-12T17:31:47Zoai:repositorio.ucp.pt:10400.14/26322Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:21:00.294842Repositório 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 Enhancement of value strategies using the profitability premium
title Enhancement of value strategies using the profitability premium
spellingShingle Enhancement of value strategies using the profitability premium
Brockmann, Lukas Vincent
Enhancement
Value
Strategies
Profitability premium
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Enhancement of value strategies using the profitability premium
title_full Enhancement of value strategies using the profitability premium
title_fullStr Enhancement of value strategies using the profitability premium
title_full_unstemmed Enhancement of value strategies using the profitability premium
title_sort Enhancement of value strategies using the profitability premium
author Brockmann, Lukas Vincent
author_facet Brockmann, Lukas Vincent
author_role author
dc.contributor.none.fl_str_mv Cooper, Ilan
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Brockmann, Lukas Vincent
dc.subject.por.fl_str_mv Enhancement
Value
Strategies
Profitability premium
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Enhancement
Value
Strategies
Profitability premium
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The profitability premium can enhance value strategies. The anomaly is still significant after adding a profitability- (RMW) and investment (CMA) factor to the (Fama & French, 1993, 2015) three factor regression. A combination of the four anomalies-- Book-to-Market Equity, Operating Cashflow, Gross Profit and Operating Profit-- in a Mean Variance Portfolio achieves significant out of sample returns compared to the market and other anomaly portfolios. This simple strategy realizes an annualized Sharpe ratio of 1.30 between July 1966 to June 2016 and is even significant after transaction costs. In addition, after implementing mutual fund restrictions (no short selling, minimum market capitalization) it still earns a significant monthly Alpha of 0.22% and is therefore suitable for retail- and institutional investors.
publishDate 2017
dc.date.none.fl_str_mv 2017-10-18
2017-10-18T00:00:00Z
2018-12-11T10:16:56Z
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/10400.14/26322
TID:201748975
url http://hdl.handle.net/10400.14/26322
identifier_str_mv TID:201748975
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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