Quality, defined as companies with high returns on capital, good quality of earnings, and low leverage, has substantial superior investment return predictability. Quality firms as selected by our strategy generate substantially superior returns even though they are significantly larger than the...

The source of investment performance is estimation error.Estimation error leads investors to believe securities are mispriced when they are not. They respond by undiversifying to increase their portfolios' estimated expected return. Since they are responding to estimation error, their actual...

We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017 we test ETFs for price inefficiency (existence of deviations between prices and the Net...

In the field of factor investing, quality is undoubtedly the equity factor with the weakest consensus. This research investigates the best way to define it. In order to capture the multi-faceted reality of the factor depicted in academia, we address the quality factor through a multidimensional...

Capital market assumptions (CMAs), which are long-term risk and return forecasts for asset classes, are important pillars of the investment industry. However, applying them reliably in portfolio construction has been (and still is) a challenge in the industry. Despite the difficulties, this...

In this era of inexpensive computation and vast data, systematic, or algorithmically driven, investment is increasingly popular. Systematic strategies appear in stand-alone products as well in tail-hedging and defensive-overlay strategies. Indeed, given the enormous growth in data, it is...

A new indicator of profitableness (DIRR) of the investor and recipient of the investment project is proposed, which is a generalization and development of the concept of internal rate of return (IRR). It is formed in the form of the sum of the cost of the participant's capital and the project's...

An investment project is considered as a borrowing project with two participants, an investor and a recipient, each of which has its own profitability. The concept of operating profitableness of participants is described, according to which the IRR is determined by the ratio of the discounted...

The problems associated with the construction of a measure of profitableness of investment projects are discussed, including the problem of a meaningful interpretation of the sense of IRR in the traditional form for the economy of the ratio of income and expenses. In is proposed to build a...

This study investigates the impact of flows between bond and equity funds on investment factors over the period 1984-2015. It determines contemporaneous mispricing effects and a statistical reversal relation between these flows and both legs of the investment factor. The statistical reversal...