Model to Estimate Monthly Time Horizons for Application of DEA in Selection of Stock Portfolio and for Maintenance of the Selected Portfolio

Table 5

General results of the model portfolio and random horizons of data collection.

Statistical parameters	Portfolio Esti. Hz	Portfolio; 08 × 12	Portfolio; 12 × 12	Portfolio; 16 × 12	Portfolio; 20 × 12	Portfolio; 24 × 12	Portfolio; 28 × 12
Average monthly return	0.64%	0.40%	0.07%	−0.20%	0.29%	0.38%	0.52%
Monthly standard deviation	4.23%	3.55%	4.86%	4.20%	4.76%	4.17%	4.16%
Cumulative return	8.02%	4.91%	−0.53%	−3.82%	2.68%	4.28%	6.33%
Estimated annual return	7.90%	4.93%	0.88%	−2.33%	3.60%	4.66%	6.41%
Annual standard deviation estimate	14.66%	12.29%	16.82%	14.54%	16.49%	14.43%	14.42%
Beta	0.767	0.644	0.893	0.691	0.881	0.758	0.752
value of normality	0.869	0.542	0.407	0.144	0.583	0.548	0.913
Estimated annual difference	—	2.97%	7.02%	10.23%	4.30%	3.24%	1.49%
value hypothesis	—	0.283	0.125	0.038	0.236	0.280	0.394