Implementacija faktorskega investiranja na evropskem delniškem trgu

VRHOVNIK, GAŠPER (author), Lavbič, Dejan (mentor)

V diplomskem delu je predstavljena strategija investiranja, ki sloni na modelu, izoblikovanem na podlagi hipoteze o učinkovitem trgu. Kvantitativna strategija izbira delnice na podlagi nekaterih metrik, ki jih definira 5-faktorski model Fama-French. Cilj strategije je učinkovit portfelj naložb, ki prinašajo dobro razmerje med tveganjem in donosom ter dobro izpostavljenost faktorjem, določenim v modelu. Pri testiranju portfelja si bomo pomagali z linearno regresijo faktorjev. Osredotočili se bomo na evropski delniški trg, kjer je naša strategija v testiranem obdobju prinašala boljše donose z višjim razmerjem Sharpe kot pripadajoči indeks celotnega trga.

• Language: Slovenian
• Keywords: portfelj, delnice, tveganje, vrednostno investiranje, velikost, dobičkonosnost, faktorji, empirične finance, modeli
• Work type: Bachelor thesis/paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FRI - Faculty of Computer and Information Science
• Year: 2020
• PID: 20.500.12556/RUL-117264
• COBISS.SI-ID: 21778691
• Publication date in RUL: 03.07.2020

Secondary language

• Language: English
• Title: Implementation of factor investing on European stock market

Abstract

This document presents an approach to managing a stock portfolio with models based on the efficient market hypothesis. We will implement a quantitative strategy based on the Fama-French 5-factor model. Strategy aims to deliver better risk adjusted returns and meaningful factor tilts, which we will test using linear factor regression. Our focus will be the European stock market, where our strategy outperformed the Europe total market index fund with higher Sharpe ratio than the index throughout the testing period.

• Keywords: portfolio, stocks, risk, value investing, size, profitability, factors, empirical finance, models