Comparison of Performance of Selected Stock Portfolios Based on Constraint Theory Criteria with Traditional Grid Matrix Model

Through the grid matrix model, stock of companies can be classified according to different characteristics in a matrix then formed portfolios. In this research, using the data of 156 companies listed in Tehran Stock Exchange during the period of 2011-2017 and through the grid matrix model based on throughput accounting’ criteria as the proposed model, the formed portfolios and their performance with the traditional grid matrix model and market portfolio were compared. The results of the research show that the proposed model portfolios have a higher performance than the traditional grid matrix model based on Sharp, Sortino, upside potential and Omega criteria, and the portfolios of companies with high system performance, in addition to the above criteria, also had higher performance than traditional grid matrix model based Jensen's criteria. Also, the performance of these portfolios in terms of upside potential and omega criteria is higher than market portfolio, and the performance of companies with low system performance has a stronger correlation with market portfolios