03040ntm a22004937i 4500 000678642 CZ-PrVSE 20200913092346.0 m d cr n|||||||||| 200913s2020 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Krampera, Tomáš ISIS:112913 dis Quantitative Equity : Combining Value, Quality and Momentum eng Quantitative Equity : Combining Value, Quality and Momentum Tomáš Krampera 2020 ?? stran : digital, PDF soubor Vedoucí práce: Milan Fičura Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2020 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2020 Thesis focuses on backtesting equity factor portfolios in systematic model based way. Analysis usesextensive data libraries of CRSP and Compustat creating liquid and tradeable stock universe coveringUS equity market over 1981-2018. Analysis builds three long only portfolios based on value, qualityand momentum and study their performance and relationships. Multi-style portfolios are createdusing mix and integrated approaches. It is found that all long only standalone portfolios add value inexcess of market benchmark but taking away market exposure, the do not provide significant value.Long short standalone portfolios do not perform well in terms of risk-adjusted returns. Integratedmulti-style portfolios outperform mix portfolios benefiting from more efficient factor exposure. Ingeneral, multi-style portfolio outperform original standalone portfolios including long short versions.The core equity strategy, integrated combination of value, quality and momentum, provides the bestjob in outperforming the market but its outperformance is not superior enough to make it stand outover other multi-style portfolios. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas quantitative equity factor investing style investing Fičura, Milan vse2015859798 ths Janda, Karel xx0053102 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/69376/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/69376 Hlavní práce https://insis.vse.cz/zp/69376/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/69376/posudek/oponent/68166 Oponentura https://insis.vse.cz/zp/69376/podrobnosti dc:identifier NEPOSILAT VSKP vse69376 200910 69376