Enhancement of equity portfolio performance using data envelopment analysis

The authors employ Data Envelopment Analysis to form three quantiles of portfolios composed of value and momentum stocks.  They find that stocks in the top quartile (i.e., those composed of the highest value and momentum rankings) significantly outperform the market and the portfolios in the bottom quantile.

Citation:
Pätäri, E., Leivo, T., & Honkapuro, S. (2012). Enhancement of equity portfolio performance using data envelopment analysis. European Journal of Operational Research, 220(3), 786–797.