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

Table 6

General results of the model’s portfolio and random horizons to maintain.

Statistical parameters	Portfolio; Esti. Hz	Portfolio; 26 × 04	Portfolio; 26 × 06	Portfolio; 26 × 08	Portfolio; 26 × 10
Average monthly return	0.64%	0.01%	0.29%	0.00%	0.18%
Monthly standard deviation	4.23%	4.01%	4.08%	4.04%	3.72%
Cumulative return	8.02%	−0.92%	2.97%	−1.12%	1.65%
Estimated annual return	7.90%	0.11%	3.50%	−0.05%	2.20%
Annual standard deviation estimate	14.66%	13.89%	14.15%	13.98%	12.89%
Beta	0.767	0.711	0.729	0.721	0.676
value of normality	0.869	0.762	0.938	0.947	0.915
Estimated annual difference	—	7.79%	4.40%	7.95%	5.70%
value hypothesis	—	0.081	0.213	0.077	0.143