Quality dimension in equity factor investing

This paper investigates and define the Quality dimension in Equity Factor Investing, as it lacks a common definition within the economic literature. Several accounting-based factors are studied in different geographical areas, such as Accruals, Profitability, Leverage, Pay-out, Growth, and Investment. The text aims to study and recognize which of these factors lead to the true composition of the Quality dimension through a portfolio (Long/Short) implementation. In addition, the thesis recreates a systematic investment strategy that aims to optimize the Sharpe ratio of the Quality portfolio, to enhance the performance, and integration, of the Factors in a true portfolio scenario