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AllianzGI Systematic Team’s Engin Kose recently co-authored an article - “What is Quality?” - for the Financial Analysts Journal, published by the CFA Institute.
The research paper aims to analyse what defines quality in equity investing, exploring which metrics best identify ways to measure the concept. Engin’s views were complemented by those of co-author peers from Rayliant Global Advisors and Research Affiliates Global Advisors.
The key findings were:
Unlike other factors such as value, momentum, and size, quality lacks a commonly accepted definition
The best metrics to measure quality include profitability, accounting quality, payout/dilution, and investment
Profitability and investment-related characteristics tend to capture most of the quality-related alpha potential
The paper reflects the Systematic Team’s ongoing search to identify ways of innovating to enhance their behavioral finance-focused investment process.
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