Filtering the piotroski portfolio: the roles of economic sector, small cap, and technical momentum

Roy Rada

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Filtering the piotroski portfolio: the roles of economic sector, small cap, and technical momentum

机译：过滤piotroski产品组合：经济部门，小型企业和技术动力的作用

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Background and Objective: In one of the most cited, value-investing results, a portfolio of approximately 100 stocks is selected based on value and fundamental factors. If an investor wants to select 10 of those recommended stocks, then to what extent might economic sector diversification, market capitalization, and technical momentum indicators be useful? Method and Results: In this paper, several strategies produce the 10-stock portfolio that retains the performance of the 100-stock portfolio. Choosing the smallest market cap stocks tends to make the greatest, positive difference in gains, but deeper investigation reveals that those stocks may not be practically accessible investment vehicles.

机译：背景与目标：在价值最高的价值投资结果之一中，根据价值和基本因素选择了大约100只股票的投资组合。如果投资者想从这些推荐股票中选择10只，那么经济部门的多元化，市值和技术动能指标在多大程度上有用？方法和结果：在本文中，有几种策略可以产生保留10只股票投资组合业绩的10只股票投资组合。选择最小的市值股票往往会带来最大的正收益差异，但是更深入的调查显示，这些股票可能实际上不是可获取的投资工具。

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《International Journal of Accounting and Economics Studies》 |2015年第1期|共6页
作者
Roy Rada;
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Filtering the piotroski portfolio: the roles of economic sector, small cap, and technical momentum

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