Revisiting Quality Investing
“In a long-only framework, our quality factor outperforms its benchmark by 2.8% per annum over the entire analysis period, with an information ratio of 0.81.”
AssetEquities
StrategyQuality factorsfactor investing
GeographyGlobalEurope
ClaimInformation ratioalpha
Also stated: Long-short, Long-only, Fundamentals
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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