Backward/forward optimal combination of performance measures for equity screening

tWe introduce a novel criterion for performance measure combi-nation designed to be used as an equity screening algorithm. Theproposed approach follows the general idea of linearly combiningselected performance measures with positive weights and combi-nation weights are determined by means of an optimisation step.The underlying criterion function takes into account the risk-returntrade-off potentially associated with the equity screens, evalu-ated on a historical and rolling basis. By construction, performancecombination weights can vary over time, allowing for changes inpreferences across performance measures. An empirical exampleshows the benefits of our approach compared to naive screeningrules based on the Sharpe ratio.