The project examines how classic value and quality factors can be combined and optimized. The aim of the project was to create a sound basis for the practical implementation of a value-quality investment strategy for private and institutional investors.
Value and quality factors are used in modern asset management both to analyze existing investment products and as a basis for investment decisions. However, traditional models often offer an overly simplified perspective. A differentiated approach is needed to develop more precise metrics and design systematic investment strategies that efficiently capture factor premiums.
In the project, we developed refined valuation formulas for the use of value and quality factors. These are based on high-quality fundamental data provided by OLZ AG from the FactSet data source. The focus was on the MSCI equity universe of developed markets. In contrast to “one-size-fits-all” factors, we also took industry-specific differences into account.
Project results
- Literature review: Value and quality signals
- Empirical analysis of 20 quality and 24 value signals, including recommendations for implementing an investment strategy
Project results
- Type
- Research project
- Research areas
- Financial Markets and Household Finance
- University
- Hochschule für Wirtschaft FHNW / Institute for Finance
- Partner
- OLZ AG
- Running time
- April 2024 - March 2025
- Collaboration
- Dr. Frank Graef, Prof. Dr. Tim Kröncke
Contact
