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The TMAI Model – Performance Of Portfolios Constructed On The Base Of Correlated And Uncorrelated Financial Ratios

Author

Listed:
  • Węgrzyn Tomasz

    (University of Economics in Katowice, Department of Applied Mathematics, 1 Maja 50, 40-287 Katowice)

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.

Suggested Citation

  • Węgrzyn Tomasz, 2014. "The TMAI Model – Performance Of Portfolios Constructed On The Base Of Correlated And Uncorrelated Financial Ratios," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 125-139, December.
    • Handle: RePEc:vrs:foeste:v:14:y:2014:i:2:p:125-139:n:2
    DOI: 10.1515/foli-2015-0002
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    References listed on IDEAS

    as
    1. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
    2. Jean-Luc Prigent & Philippe Bertrand, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01833064, HAL.
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    More about this item

    Keywords

    financial ratios; stock selection; synthetic measure of development; the Sharpe ratio; the Omega ratio;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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