Screening rules and portfolio performance

We analyze the use of alternative performance measures to rank and select assets. Previous literature centers on the effects of non-normality on rank correlations between orderings. Instead, we select the assets recommended by each performance measure (ordering) and analyze out-of- sample returns of the portfolio that contains them. The overall empirical findings show that performance measures are definitively relevant for subsequent portfolio returns. Assets selected by the Generalized Rachev and Value-at-Risk ratios dominate other selections showing high cumulative returns after the 2008 downturn. The good performance is connected to the fact that these asset returns show high excess kurtosis but positive skewness and are insensitive to the momentum risk factor.This work was supported by the Generalitat Valenciana (PROMETEO/2017/158), the Spanish Department of Economy and Competitiveness (ECO2015-67035-P and ECO2017-87069-P), and the Bank of Spain (Excellence in Education and Research Grant 2016)