 Performance measures and investment decisions: evidence from international stock marketsLaurel Pasricha and Neelam Dhanda International Journal of Financial Markets and Derivatives, 2022, vol. 8, issue 3, 290-313 Abstract: This article investigates the efficacy of various selection criteria to refine the stocks with the best characteristics out of a big pool to facilitate investment decisions. It utilises the performance ratios, namely, the Sharpe ratio, Sortino ratio, and Rachev ratio, as selection criteria to shortlist the assets with the maximum value of these ratios in the in-sample period. We constitute a naive (equal-weighted) portfolio from the shortlisted stocks and analyse their out-of-sample performance across different sizes of the in-sample and out-of-sample periods. The study carries out several experiments on eight stock market datasets selected across the globe. The empirical findings suggest that these selection criteria are relevant because they dominate the benchmark index when their out-of-sample returns are analysed based on several performance measures. The Rachev ratio-based shortlisting criterion outperforms the portfolios obtained from the other performance measures-based selection strategy and the index returns. Keywords: performance measures; portfolio selection; naive portfolio; international stock markets. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijfmkd:v:8:y:2022:i:3:p:290-313 Access Statistics for this article More articles in International Journal of Financial Markets and Derivatives from Inderscience Enterprises Ltd |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.