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


  • Roy Rada University of Maryland Baltimore CountyBaltimore, Maryland





Portfolio Management, Value Investing, Fundamentals, Small Market Capitalization, Economic Sectors, Technical Momentum, RiskAdjusted Returns.


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.


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