Table 4.
Performance metrics of top iterative portfolios 1991–2019 (recursive strategies).
| Benchmark | EVEBITDA |
PER |
|||||||
|---|---|---|---|---|---|---|---|---|---|
| GPA |
ROC_Green |
ROC_Det |
MOM |
GPA |
ROC_Green |
ROC_Det |
MOM |
||
| MOM | MOM | MOM | MOM | MOM | MOM | MOM | MOM | ||
| Annualized Compounded Return (Final) | 9.15% | 12.61% | 13.38% | 13.76% | 12.42% | 12.86% | 12.84% | 13.62% | 13.80% |
| Annualized Compounded Return (Average) | 9.61% | 14.65% | 16.05% | 16.54% | 13.83% | 14.31% | 15.95% | 16.78% | 15.70% |
| Annualized Compounded Return Volatility | 14.84% | 15.68% | 14.79% | 14.67% | 15.42% | 15.95% | 15.64% | 15.79% | 16.58% |
| Sharpe Ratio | 0.62 | 0.80 | 0.90 | 0.94 | 0.81 | 0.81 | 0.82 | 0.86 | 0.83 |
| CAPM Beta | 95.08% | 88.21% | 87.08% | 93.96% | 97.48% | 92.79% | 91.80% | 99.75% | |
| CAPM Beta (Std. Dev.) | 3.09% | 2.93% | 2.98% | 3.08% | 2.97% | 3.31% | 3.65% | 3.47% | |
| Jensen's Alpha | 4.01% | 5.19% | 5.65% | 3.87% | 4.12% | 4.42% | 5.31% | 5.00% | |
| T-statistic | 10.28 | 13.42 | 14.37 | 10.27 | 10.74 | 10.52 | 11.68 | 11.55 | |
| Alpha (FF3) | 0.87% | 2.06% | 2.42% | 1.27% | 1.09% | 0.18% | 1.34% | 1.49% | |
| T-stat (FF3) | 2.23 | 5.33 | 5.96 | 3.37 | 2.84 | 2.43 | 2.96 | 3.72 | |
This exhibit presents performance metrics for Top 5% portfolios obtained sorting and discarding companies recursively according to value, profitability and momentum factors. Value and profitability factors are selected to match those of best performing mixed strategies. Company accounting data and Absolute Returns from the FactSet database. Fama and French factors European Factors from Kenneth French website: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
The Euro value of the factors is obtained using the conversion factor in Appendix A.