EVALUATING THE USEFULNESS OF THE MOMENTUM STRATEGY AND EFFECTIVENESS OF EROV, SORTINO AND M3. CRITERIA

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FALLAH SHAMS M.F.; ATAEI Y.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:4 | Issue:16 Page(s): 109-125

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Title

EVALUATING THE USEFULNESS OF THE MOMENTUM STRATEGY AND EFFECTIVENESS OF EROV, SORTINO AND M3. CRITERIA

Author(s)

FALLAH SHAMS M.F. | ATAEI Y. | Issue Writer Certificate

Keywords

PORTFOLIO SELECTIONQ2

MOMENTUM STRATEGYQ2

RISK-ADJUSTED RATIOSQ2

WINNER AND LOSER PORTFOLIOQ2

Abstract

The aim of this paper is evaluating the usefulness of the MOMENTUM STRATEGY and effectiveness of EROV, SORTINO and M3 criteria for portfolio selecting in Tehran Stock Exchange. This study was performed on the companies that were active in portfolio management from 2006 until 2011. The WINNER AND LOSER PORTFOLIO of 50 top companies were selected for evaluation of the MOMENTUM STRATEGY based on these criteria in Tehran Stock Exchange, and then they were evaluated. In this study, the Jegadeesh and Titman approach (1993) is used for evaluation of the usefulness of this criterion in the selection of an appropriate portfolio. First, the daily returns of companies were calculated and WINNER AND LOSER PORTFOLIOs were selected by EROV, SORTINO and M3 criteria repetitively during the realm of the study period. Then, the portfolios were maintained for the periods of 3 and 6 months. At the end of the maintenance period, the cumulative returns of each portfolio were calculated and their performances were compared by the mean difference test, one-way analysis of variance (ANOVA), and Tukey test. Results showed that there is a possibility of selecting an appropriate portfolio, using the EROV, SORTINO and M3 criteria in Tehran Stock Exchange. However, M3 measure was better than the other two criteria and the market. Furthermore, it was demonstrated that the EROV and SORTINO criteria didn’t have better performance than the market criterion.

Cites

COMPARE THE EFFICIENCY OF TECHNICAL ANALYSIS STRATEGIES WITH BUY AND HOLD RULE FOR THE STOCK PURCHASE IN BULLISH AND BEARISH PERIODS

References

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APA: Copy

FALLAH SHAMS, M.F., & ATAEI, Y.. (2013). EVALUATING THE USEFULNESS OF THE MOMENTUM STRATEGY AND EFFECTIVENESS OF EROV, SORTINO AND M3. CRITERIA. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(16), 109-125. SID. https://sid.ir/paper/197549/en

Vancouver: Copy

FALLAH SHAMS M.F., ATAEI Y.. EVALUATING THE USEFULNESS OF THE MOMENTUM STRATEGY AND EFFECTIVENESS OF EROV, SORTINO AND M3. CRITERIA. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(16):109-125. Available from: https://sid.ir/paper/197549/en

IEEE: Copy

M.F. FALLAH SHAMS, and Y. ATAEI, “EVALUATING THE USEFULNESS OF THE MOMENTUM STRATEGY AND EFFECTIVENESS OF EROV, SORTINO AND M3. CRITERIA,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 16, pp. 109–125, 2013, [Online]. Available: https://sid.ir/paper/197549/en

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