Date of Submission
Open Access Senior Thesis
Bachelor of Arts
© 2017 Joseph Malgesini
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.
Malgesini, Joseph, "A Smart Beta Approach to Fama-French and Profitability" (2018). CMC Senior Theses. 1789.