Performance of Quality Factor in Indian Equity Market
“The QMJ factor earns a four factor alpha of 0.92% per month, significantly outperforming the other widely employed factors, market, size, value and momentum factors.”
AssetEquities
StrategyQuality factorsmomentum
GeographyGlobalIndia
ClaimAlphaexcess return
Also stated: Long-only
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodQuality and profitability factors by year
FamilyQuality and profitability factors25Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 977
AssetEquities18
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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