Title: Quantitative investing a stock selection system for Europe
Authors: Ramon Bermejo Climent - Universidad Pontificia Comillas (Madrid, Spain) (Spain) [presenting]
Abstract: The universe of European corporate data for the 1990-2017 period are used to demonstrate that equity portfolios built following value, profitability and momentum factors achieve higher returns that their market benchmark both in absolute and risk-adjusted terms. These three factors have been analysed in detail mainly for the US market while we focus on testing their persistency, pervasion and robustness across the European equity markets using an exclusive data set. Following this test, we are able to construct a quantitative systematic investment strategy that selects the stocks in the portfolios through an algorithm based on value, profitability and momentum. We demonstrate that our portfolios, rebalanced on a yearly basis, overperform the European equity benchmark over the long term, especially when the three factors are combined together.