Evaluating the Performance and Ability Explain of Market Index Returns by Selected Stock Portfolios Based on Throughput Accounting Criteria in Comparison with the New Network Matrix Model

One of the strategies used in active portfolio management is the network matrix model, which can be utilized to construct portfolios with distinct characteristics of stocks or companies. In this study, the data from 156 companies listed on the Tehran Stock Exchange during the period 2011 to 2018 were employed to compare portfolio formation and performance based on the network matrix model and throughput accounting criteria. The performance of these portfolios was compared with the portfolios generated by the new network matrix model (Defensive, neutral, and aggressive stocks) as well as the market portfolio. The results demonstrate that the proposed network matrix model portfolios, based on throughput accounting criteria, outperform the new network matrix model in terms of Sharpe ratio, Sortino ratio, upside potential, and omega criteria. Additionally, portfolios comprised of stocks from companies with high system performance exhibit superior performance in terms of Jensen s Alpha criteria compared to the new network matrix model. Furthermore, they outperform the market portfolio in terms of upside potential and omega criteria. Portfolios consisting of stocks from companies with low system performance exhibit a stronger correlation with the market portfolio in comparison to the new network matrix model.