Saturday, 27 March 2010: 12:35
The purpose of combining portfolio analysis with fundamental analysis lies in the use of the elements of fundamental analysis in the process of constructing the portfolio, as well as in the process of selecting the optimum portfolio. A portfolio thus constructed is appropriate in terms of long-term investment. For this purpose, the article proposes the use of the non-classic concept of the company’s break-even point.
The first step is to calculate the synthetic measure of development TMAI (Taxonomic Measure of Attractiveness of Investment), with the help of economic and financial indicators used in the assessment of the company’s economic and financial condition. Then, the 20 best companies in terms of the TMAI level have their optimum portfolios constructed for the given rate of return with the use of the Markowitz model. The group of portfolios selected in this way is made up of optimum portfolios lying on the line of effective portfolios. Each portfolio’s break-even point is calculated. The analysis of the portfolio’s non-classic break-even point constitutes the basis for selecting the optimum portfolio, i.e. the one with the most profitable break-even point.
The study was carried out on companies listed on the Warsaw Stock Exchange within the time period 2005-2009, which made it possible to assess the effectiveness of the procedure.
Keywords: portfolio selection, non-classic break even point, stock exchange
The first step is to calculate the synthetic measure of development TMAI (Taxonomic Measure of Attractiveness of Investment), with the help of economic and financial indicators used in the assessment of the company’s economic and financial condition. Then, the 20 best companies in terms of the TMAI level have their optimum portfolios constructed for the given rate of return with the use of the Markowitz model. The group of portfolios selected in this way is made up of optimum portfolios lying on the line of effective portfolios. Each portfolio’s break-even point is calculated. The analysis of the portfolio’s non-classic break-even point constitutes the basis for selecting the optimum portfolio, i.e. the one with the most profitable break-even point.
The study was carried out on companies listed on the Warsaw Stock Exchange within the time period 2005-2009, which made it possible to assess the effectiveness of the procedure.
Keywords: portfolio selection, non-classic break even point, stock exchange