The TMAI Model – Performance of Portfolios Constructed on the Base of Correlated and Uncorrelated Financial Ratios
The TMAI Model – Performance of Portfolios Constructed on the Base of Correlated and Uncorrelated Financial Ratios
Author(s): Tomasz WęgrzynSubject(s): Economy, Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: financial ratios; stock selection; synthetic measure of development; the Sharpe ratio; the Omega ratio
Summary/Abstract: The author studies portfolio performance. Companies are chosen to portfolios due to their position in the ranking that is constructed on the base of the chosen financial ratios. There are three rankings constructed on different number of financial ratios. Each ranking is constructed on the base of synthetic measure of development. The TMAI ranking is constructed on the base of 48 financial ratios, the TMAI_gr1 ranking is constructed on the base of 14 financial ratios that can be correlated and the TMAI_gr2 ranking is constructed on the base of 8 uncorrelated financial ratios. The author uses data of companies listed on the Warsaw Stock Exchange between 2005 and 2011. The rankings and portfolios are built separately for each year. As a result, it can be stated that the Portfolio 3 in the TMAI_gr1 ranking is the best portfolio for investors who are maximizing the Sharpe ratio.
Journal: Folia Oeconomica Stetinensia
- Issue Year: 14/2014
- Issue No: 2
- Page Range: 125-139
- Page Count: 15
- Language: English