The performance of an optimised blend of quality metrics against the JSE Allshare index

Abstract

A quality investing strategy using Piotrosky’s F-score was followed to see if this investment style would produce returns in excess of the JSE All Share Index and if the returns were statistically significant. The factors were weighed based on their impact and five portfolios were created based on the level of quality. A F-score was found to significantly outperform the JSE-All Share Index.