Proceedings

In the short portfolios case only the technology, telecommunications and media sector
register positive returns of only 11.73%.
The returns of the selected portfolios are directly influenced by the allocation of
stocks in the portfolio and the number of issuers taken into account. So, for the basic
material sector were taken into account 18 issuers, 24 in the industrial sectors, 19 in
the technology, telecommunications, media sector, 29 and in the energy sector and 47
in the consumer and health sector.
In the long portfolio structure were taken into account only those companies for which
the estimates of the potential returns, based on the financial descriptors for the period
2006-2008, were positive. In the situation when the estimated returns are negative,
those companies have entered the short portfolio composition. (See Annexes 6-15).
An important issue for an investor is also the ex-post evaluation of the returns and
their subsequent risks for the set of the optimal portfolios. A comparative analysis of
the Sharpe and Sortino ratios highlights the fact that for all sectors the Sharpe ratio is
lower than the Sortino ratio.
Table 3. Portfolios types and performances
Sector Portfolio Type Return 2009 Sharpe Sortino No. Instruments
Basic Materials
long
short
49.20%
-4.52%
-0.645
0.1518
0.3792
2.5638
16
2
Consumer, Health
long
short
24.25%
-17.14%
0.4007
-0.148
0.5311
1.6868
18
29
Energy
long
short
3.25%
-9.95%
-0.4998
-0.7758
-0.2704
-0.2969
23
6
Industrial
long
short
34.05%
-5.45%
-0.603
-1.6289
0.6424
1.9725
2
22
Tec, Tel, Media
long 4.37% -0.3442 0.4591 3
short -11.74% -0.9381 0.7431 16
(Source: Developed by author)
Using the Sharpe ratios to compare and select among investment alternatives can be
difficult because the measure of risk, portfolio standard deviation, penalizes portfolios
for positive upside returns as much as the undesirable downside returns.
CONCLUSIONS
The selection of an optimal portfolio must have an investment strategy based on
investment objective, risk aversion of the investor, the type and characteristics of
investment instruments.
The diversity of the investment objectives, the behavioral changes of an investor, and
the enrichment of the overall investments spectrum for the holders of capital led to the
development of techniques and selection models and portfolio investments
management models.
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