Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Theory vs. Reality. Is the performance of AGFIF International explainable by Quality Investing? |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 50 |
| Date | 2020 |
| Zusammenfassung | The goal of this thesis was to examine whether the Zurich based asset management firm AGFIF International (AGFIF) incorporates a strategy called Quality Investing. This strategy looks for great companies at fair prices. While no universal definition of what makes a great company exists, certain factors such as a high gross profit margin, low leverage and high cash flows are typically associated with this strategy. Some firms such as AQR Capital Management have developed their own Quality Scores. This thesis aims to develop an own Quality Score and check whether AGFIF incorporated Quality Investing. For this, Mr. Mojmir Hlinka, CEO of AGFIF, answered a questionnaire by assigning points of importance on a scale from zero to nine to Quality characteristics. As stock universe served AGFIF's portfolio held by March 31, 2020. Stocksthat were not publicly listed in September 2013, when the portfolio was launched, as well as stocks of banks and insurances were eliminated, as these do not align with the risk philosophy of Quality Investing. The methodology used was largely replicated from MSCI World's Quality Index, measuring the historical scores of each stock for each criterion such as low leverage, high free cash flow yield, etc. Then these historical averages from 2010 to 2012 were multiplied by the questionnaire's answers and transformed to z-Scores by standardising, meaning for each value subtracting the average and then dividing by the standard deviation. These z-Scores were transformed to Quality Scores using MSCI's formula. Then AGFIF's actually implemented portfolio was compared to a naïvely weighted Quality portfolio and a questionnaire weighted Quality portfolio. What can be concluded is that AGFIF did differ from the answers given in the questionnaire. This was to their disadvantage. The portfolio using the weights given in the questionnaire outperformed the actually implemented portfolio but could not do so with statistical significance. The naïvely weighted portfolio also showed outperformance but not at a statistically significant level. Additionally, minimizing the portfolio size from 35 titles to 20 improved performance at a statistically significant level while also decreasing downside risk measured as Value at Risk and maximum drawdown. The most meaningful Quality Factors were low debt, measured in three manners: debt-service coverage ratio, change in net debt and leverage; high free cash flow yield and the multivariate F-Score by Joseph Piotroski. Changing the questionnaire's answers, meaning adding or subtracting led to no noteworthy change in performance as a measurement of sensitivity. Also, the hypothesis that AGFIF's performance followed a random walk could not be rejected. |
| Export |
BibTeX
|