Graduation Year
2018
Date of Submission
12-2017
Document Type
Open Access Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics-Accounting
Second Department
Economics
Reader 1
Eric Hughson
Terms of Use & License Information
Rights Information
© 2017 Joseph Malgesini
Abstract
The Fama and French five-factor model is molded into a smart beta investment strategy with strong exposure to the profitability factor. This constructed portfolio outperforms the market significantly despite an unintentional negative correlation with profitability that can be attributed to the intra-factor return correlations. The second portfolio, constructed by investing directly in profitability as represented by gross profit over total assets, outperforms both the market and the first portfolio.
Recommended Citation
Malgesini, Joseph, "A Smart Beta Approach to Fama-French and Profitability" (2018). CMC Senior Theses. 1789.
https://scholarship.claremont.edu/cmc_theses/1789
