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

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

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  • Giannicola Simari

    (Pisa University, Master in Risk Management)

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.

Suggested Citation

  • Giannicola Simari, 2024. "A New Value-Based Investing Strategy for Portfolio Selection Which Outclasses the Benchmark," Springer Books, in: Marco Corazza & Frédéric Gannon & Florence Legros & Claudio Pizzi & Vincent Touzé (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 292-296, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-64273-9_48
    DOI: 10.1007/978-3-031-64273-9_48
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