A New Value-Based Investing Strategy for Portfolio Selection Which Outclasses the Benchmark

Giannicola Simari ()
Additional contact information
Giannicola Simari: Pisa University, Master in Risk Management

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2024, pp 292-296 from Springer

Abstract: Abstract This paper proposes a new fundamental analysis-based strategy to build a remunerative stock portfolio. We believe that the value investing paradigm, applied with consistency and automatically without any external interference, can constitute a competitive advantage for investors. The procedure works by managing the information coming from financial statements into six filtering criteria aimed at evaluating profitability, financial condition and price convenience. As case studies, we consider three separate portfolio selections from the S&P 500 (2000–2017), the STOXX Europe 600 (2002–2017) and the S&P 100 (2001–2017) benchmarked against a passive strategy represented by the Index. The criteria proposed, invariant and irrespective of economics conditions and financial markets forecasts are able to select, ex-ante, stocks producing significantly better results than the benchmark for all the timelines considered.

Keywords: Portfolio selection; Value-based investing; Fundamental analysis; Investment Behavior (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-64273-9_48

Ordering information: This item can be ordered from
http://www.springer.com/9783031642739

DOI: 10.1007/978-3-031-64273-9_48

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().