Скачать или смотреть Enhancement of equity portfolio performance using data envelopment analysis. Pätäri, et al. (2012).

An academic paper read by Sawyer Investment Management Company regarding the use of Data Envelopment Analysis to form equity portfolios with value and momentum attributes.

Timestamps:
0:00 - Introduction
0:19 - Section 1. Introduction
2:36 - Section 2. Literature review
4:52 - Section 3.1. Sample description
6:00 - Section 3.2. Portfolio-formation methodology
8:30 - Section 3.3. Test procedures for performance comparisons
11:28 - Section 3.4. Statistical tests and adjustments
12:28 - Section 4.1. The results from the full sample period
19:15 - Section 4.2. Decomposition of portfolio performance based on bull and bear market periods
29:53 - Section 5: Conclusion

Abstract: This paper examines the applicability of data envelopment analysis (DEA) as a basis of selection criteria for equity portfolios. It is the first DEA application for constructing a combined equity investment strategy that aims to integrate the benefits of both value investing and momentum investing. The 3-quantile portfolios are composed of a comprehensive sample of Finnish non-financial stocks based on their DEA efficiency scores that are calculated using three variants of DEA models (the constant returns-to-scale, the super-efficiency, and the cross-efficiency models). The performance of portfolios is evaluated on the basis of the average return and several risk-adjusted performance metrics throughout the 1994–2010 sample period. The results show the capability of the DEA approach to add value to equity portfolio selection. The outperformance of the top 3-quantile DEA portfolios in contrast to both the comparable bottom portfolio and the stock market average is statistically significant on the basis of all performance measures employed. The outperformance is slightly more significant when the stock price momentum is included in the DEA variables. The methodology employed offers an interesting alternative for detecting the outperforming stocks of the future by capturing both the price momentum and several dimensions of relative value simultaneously. DEA is particularly useful as a multicriteria methodology in cases in which the number of stocks in the sample is large. It therefore also has useful implications to practical portfolio management.

Citation: Pätäri, E., Leivo, T., & Honkapuro, S. (2012). Enhancement of equity portfolio performance using data envelopment analysis. European Journal of Operational Research, 220(3), 786–797.

Link to Paper: https://s3.amazonaws.com/academia.edu...

About Sawyer Investment Management Company: SIMCO is a Texas-registered Investment Adviser with its principal place of business in Dallas, Texas. It was formed on January 1, 2015 and is wholly owned by Ryan Sawyer, who is a CFA Charterholder and a Certified Public Accountant.

SIMCO specializes in the construction of equity portfolios, and is therefore an ideal resource for long-term investors. The firm goes through a rigorous process for selecting each and every holding in the portfolio. Rooted in the empirical research of academia, the portfolios are generally characterized as large-cap value momentum. For more information about how the portfolios are managed, see our website at www.sawyerinvestment.com.