本研究以985筆台灣科技業公司為樣本，並且使用企業投資指標作為指數加權基礎，探討以有形和無形資產投資規模進行基本面指數化的績效表現與可行性。我們發現即使在考慮了價值風險和規模風險之後，以研究發展費用相關指標建構的基本面指數仍可以產生超額報酬。此外，研究結果顯示部分的基本面指數具有市場擇時能力，能避免投資組合績效受到價格不效率的影響。在對樣本進行流動性的篩選以及考慮投資組合的交易成本之後，我們仍得到一樣的結果。 / We employ 985 companies in technology industry in Taiwan to examine the performance and feasibility of the fundamental indices constructed by corporate investment metrics (including both tangible and intangible investment). We find that the fundamental indices constructed by R&D expenditure-related metrics generate significant Fama-French alpha. Besides, evidence shows that parts of the fundamental indices have market timing ability to prevent performance dragged by price inefficiency. We draw a same conclusion after weeding out the companies with low liquidity and adjusting for transaction costs.

本研究以1992年至2017年計19,710筆台灣上市櫃公司為樣本，探討以企業乘數與資本報酬率為指標形成投資組合的績效表現與可行性。研究發現單純以低企業乘數指標組成的投資組合表現最佳，且能長期打敗大盤；以低企業乘數與高資本報酬率的綜合指標形成的投資組合表現次佳；而單純以高資本報酬率為指標形成的投資組合表現最差，且長期劣於大盤表現。研究結果亦包括企業乘數投資組合可以創造出顯著的超額報酬（Alpha），且其優異的表現可以歸因於投資人對於企業的未來盈餘表現預期錯誤，造成市場暫時出現錯誤定價的現象。 / We employ Taiwan’s listed companies from 1992 to 2017 as a sample to examine the performance and feasibility of forming a portfolio based on enterprise multiple and return on invested capital. We find that the portfolio which consists solely of low enterprise multiple stocks outperform the market in the long run; the portfolio formed by composite indicators of low enterprise multiple and high return on invested capital beats the market as well; while the pure high return on invested capital portfolio underperforms. We also find that the low-minus-high enterprise multiple portfolio generates Fama-French alpha, and its excellent performance can be attributed to investors' expectation errors of the company's future earnings performance, resulting in temporary market mispricing.

This thesis examines the performance of portfolios sorted by gross-profit-to-asset (GPA) as a quality investing on the Swedish stock exchange. It constructs long-only portfolios and long-short portfolios sorted by GPA, book-to-market (B/P) and earnings-per-price (E/P). Thus, the thesis includes quality and value investing. The thesis compares separately the constructed long-only and long-short portfolios among each other. The long-only strategies are additionally compared to the market index. The study further examines a combined portfolio, sorting for GPA and B/P in order to test Novy-Marx’s findings. He reports, that the average return improves, while the standard deviation remains at the same level for a combined portfolio sorting for GPA and B/P. This requires a negative correlation. The comparison is based on different portfolio measurements as i.e. s.d. The asset pricing models CAPM and 5-Factor Model are applied. In addition, actual returns, excessive return over the risk-free rate and over the market index as a benchmark are assessed for the portfolio. The analysis is conducted for the time period 1994-2013 and separately for downturns, considering 2000-2003, 2007-2009 and 2010. The results show a great applicability of the gross-profitability ratio on the Swedish market. This quality strategy convinces not only during normal times with the portfolios GPA-h (long-only) and GPA-hl (long-short) but also in stressed times. GPA-h reports positive (abnormal) returns GPA-h during downturns. The long-only and long-short portfolios based on GPA outperform the market in both time periods. GPA-sorted portfolios perform in general better and the two value strategies during normal times and downturns, based on the annual average return. Examining the two value strategies EP-sorted portfolios are superior over BP-sorted portfolios. EP-portfolios achieve better performance during downturns, regarding Jensen’s alpha. It can be derived, that EP is countercyclical. The combined portfolio generates high return and has a high standard deviation. The assessed statement of Novy-Marx cannot be confirmed for the Swedish stock market. It has to be stated that we detected positive correlation instead of negative correlation. It can be derived, that GPA ratio is applicable on the Swedish market, considering the assumptions and limitations of this study. EP-based portfolios show a good performance during downturns. BP- based portfolios do not perform well on the sweidish market in the assessed time frame. The combined portfolio GPABP-hh does increase returns with constant standard deviation, referred to BP-h. Our findings show, that both value strategies do not outperform the market index. The EP-based value portfolios outperform BP-based portfolios. EP-h performs better during downturns considering Jensen’s alpha.

Submitted by Nadir Basilio (nadirsb@uninove.br) on 2018-04-13T13:58:11Z No. of bitstreams: 1 Rodrigo Teixeira.pdf: 2344110 bytes, checksum: c11e0781ccd49b34b72a633f27081959 (MD5) / Made available in DSpace on 2018-04-13T13:58:11Z (GMT). No. of bitstreams: 1 Rodrigo Teixeira.pdf: 2344110 bytes, checksum: c11e0781ccd49b34b72a633f27081959 (MD5) Previous issue date: 2018-02-28 / Project selection is a useful activity for companies that need to choose one or more set of projects. Archer and Ghasemzadeh (1999) define project selection as a periodic activity to choose a set of projects. The project selection process is present in both private and public institutions and aims to maximize the results for the organization. In the public sector, implementations of project selection techniques arise with the implementation of the model called New Public Management, which applies techniques of the private sector to raise the results. According to Litvinchev et al. (2010) research in the process of project selection in the public sector still lacks attention on the part of the researchers when compared to research in the private sector. Seeking to fill the gap in project selection studies in the public sector, this research project analyzed how the practice of project selection influences the performance of the project portfolio of the State Judicial Branch. To achieve this objective, a qualitative exploratory research was carried out using a multiple case study strategy. Three cases representing different regions of the country were selected. It was concluded that the project selection activity in the state Judiciary is occurring in a disorganized way, using only some phases of the project selection process presented in the literature. The absence of a standardized model has generated a portfolio with excess of projects, unbalanced and with low alignment. Therefore, the performance of the institution is being affected, with high congestion rates and low rate of attendance to the demands. / A seleção de projetos é uma atividade útil para as empresas que precisam escolher um ou mais conjunto de projetos. Archer e Ghasemzadeh (1999) definem seleção de projetos como uma atividade periódica para escolher um conjunto de projetos. O processo de seleção de projetos está presente tanto em instituições privadas quanto públicas e tem como objetivo maximizar os resultados para a organização. No setor público as implantações de técnicas de seleção de projetos surgem com a implantação do modelo denominado Nova Gestão Pública, que aplica técnicas do setor privado para elevar os resultados. Segundo Litvinchev et al. (2010) a pesquisa no processo de seleção de projetos no setor público ainda carece de atenção por parte dos pesquisadores, quando comparado com pesquisas do setor privado. Buscando preencher a lacuna de estudos de seleção de projetos no setor público, este projeto de pesquisa analisou como a prática de seleção de projetos influencia no desempenho da carteira de projetos do Poder Judiciário Estadual. Para atingir este objetivo foi realizada uma pesquisa qualitativa exploratória utilizando-se como estratégia, o estudo de casos múltiplos. Três casos que representam diferentes regiões do país foram selecionados. Foi possível identificar que atividade de seleção de projetos no Poder Judiciário Estadual ocorre de forma desestruturada, utilizando-se apenas algumas fases do processo de seleção de projetos apresentada pela literatura. A ausência de um modelo padronizado gera uma carteira com excesso de projetos, desequilibrada e com baixo alinhamento. Como consequência apurou-se que a prática de seleção apresentada está influenciando negativamente o desempenho da carteira de projetos dos tribunais estudados.

This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. The method adopted in order to answer the question is the construction of a negatively screened portfolio. The negative screening is done on an industry basis to see if excluding firms that engage in activities related to ESG risks would increase or decrease portfolio performance. Costs or benefits are primarily estimated as the intercept, also referred to as alpha, from Carhart’s (1997) four-factor model but is complemented by both the CAPM and the Fama-French three-factor model. The results of this study indicate no significant findings, as measured in alpha, achieved from the negative screening. However, the findings suggest a lower Sharpe ratio in the screened portfolio, and that negative screening may be associated with a lower systematic risk similar to what previous research has found.

This master's thesis addresses the often overlooked aspect of transaction costs, capital injections, and withdrawals in fund management theory. The research collaboration with Havsfonden, a newly launched quantitative ESG investment fund, aims to enhance their understanding of transaction costs and capital injections while improving their investment model. The thesis includes a comprehensive literature review, the development of a portfolio model that integrates transaction costs and capital injections, and the numerical implementation and testing of the model using MATLAB. Three distinct models focusing on transaction costs, including linear, fixed, and a combination of both, were created. Additionally, three models were developed to examine capital injections, with one based on past performance and the others considering a constant inflow of capital. The findings indicate that our models provide reasonable implementation and effectively capture the nature of capital injections and transaction costs. / Den här uppsatsen ämnar belysa dem många gånger försummade områdena – transaktionskostnader och kapitalinjektioner – inom portföljeteorin. Uppsatsen är i samarbete med Havsfonden, en nylanserad kvantitativ ESG fond, och syftar till att utvidga förståelsen för hur transaktionskostnader och kapitalinjektioner beaktas och kan modelleras. Uppsatsen omfattar en litteraturstudie, ett ramverk som integrerar transaktionskostnader och kapitalinjektioner, samt en numerisk implementation i MATLAB. Tre modeller för transaktionskostnader har utvecklats, vilket omfattar linjära och fasta transaktionskostnader samt en kombinerad version. Därutöver har tre modeller för kapitalinjektioner utvecklas, varav en baseras på portföljens tidigare prestation, medan de andra baseras på ett konstant inflöde av kapital. Resultatet tyder på att modellerna har implementerats riktigt och lyckas skildra dem utmärkande attributen av transaktionskostnader och kapitalinjektioner.

Abstract The main objective of this study is to clarify the current challenges and preconditions relating to product portfolio management (PPM) and widen the PPM framework over horizontal and vertical portfolios, including a related governance model, strategic performance management and the PPM process. This study analyses comprehensively the current PPM literature and the relevant practices of 10 case companies representing business areas such as hardware (HW), software (SW) and Services. This study approaches PPM from a more comprehensive viewpoint as all product life cycle phases and product structure levels are not covered well in this context by the earlier literature. The principal results of this study involve revealing the need for a new PPM governance model including strategic targets, KPIs and the PPM process according to vertical and horizontal portfolios. The created PPM framework clarifies the strategic role of PPM in cross-functional analysis and decision making for commercial and technical portfolios. The role and the impact of strategic PPM have been further enhanced by positioning the PPM process on the level of other business processes. The created PPM framework enhances the collaboration between business and engineering teams. The managerial implications include the potential preconditions of clarifying the dynamic and active role of PPM at the level of other business processes. The findings can aid business managers in understanding PPM as an entity that has a role in managing the entire product portfolio and its renewal based on strategic performance measures over horizontal and vertical portfolios according to cross-functional governance bodies. This highlights the criticality of managing all items both in commercial and technical portfolios. The role of other business processes should be highly operational by executing product development, marketing and sales, delivery and care activities according to PPM decisions. The primary role of PPM should be active management of the entire product portfolio over product life cycle phases and product structure levels, instead of merely focusing on new product development, to ensure product portfolio renewal. / Tiivistelmä Tämä tutkimus selventää tuoteportfolion hallintaan liittyviä edellytyksiä ja haasteita, sekä laajentaa tuoteportfolion hallintamallia, suorituskyvyn johtamista ja prosessia horisontaalisesti ja vertikaalisesti. Tuoteportfolion hallintaa on lähestytty kattavasti analysoimalla nykyistä kirjallisuutta, sekä kymmenen kohdeyrityksen käytänteitä nykytila-analyysin keinoin. Kohdeyritykset edustavat useita liiketoiminta- ja tuotealueita kattaen laitteiston, ohjelmiston ja palvelut. Tämä tutkimus lähestyy tuoteportfolion hallintaa laajemmalta katsantokannalta kuin nykyinen kirjallisuus joka ei kata kaikkia tuotteen elinkaaren vaiheita ja tuoterakennetasoja. Tämän väitöstutkimuksen tärkeimmät tulokset liittyvät uuden tuoteportfolion hallintamallin tarpeellisuuden esille tuomiseen, sisältäen tuoteportfolion strategiset tavoitteet, suorituskykymittarit ja hallintaprosessin perustuen vertikaalisiin ja horisontaalisiin tuoteportfolioihin. Luotu viitekehys selkeyttää tuoteportfolion hallinnan strategista roolia organisaatiorajat ja liiketoimintaprosessit ylittävässä analyysissa ja päätöksenteossa liittyen kaupallisiin ja teknisiin tuoteportfolioihin. Strategisen tuoteportfolion hallinnan roolia ja merkitystä on erityisesti korostettu nostamalla tuoteportfolion hallintaprosessi muiden liiketoimintaprosessien tasolle. Tässä tutkimuksessa luotu tuoteportfolion hallinnan viitekehys vahvistaa yhteistyötä liiketoiminnanjohto- ja insinööritiimien välillä kaikilla organisaatiotasoilla. Työn kontribuutiot yritysjohdolle korostavat tuoteportfolion hallintaprosessin keskitettyä, dynaamista ja aktiivista roolia johtaa yrityksen kaupallisia ja teknisiä nimikkeitä horisontaalisesti ja vertikaalisesti kokonaisuutena perustuen strategisiin suorituskykymittareihin. Tuoteportfolion hallinta yli horisontaalisten ja vertikaalisten portfolioiden mahdollistaa tuoteportfolion uudistumisen yli kaikkien elinkaarivaiheiden ja tuoterakennetasojen. Muiden liiketoimintaprosessien roolin tulisi olla selkeästi operatiivinen toteuttaen tuotekehitykseen, markkinointiin, myyntiin, tilaamiseen, hankintaan, toimittamiseen ja huoltoon liittyviä tehtäviä perustuen strategisiin tuoteportfolion hallinnan tavoitteisiin ja suorituskykymittareihin.