The results show the capability of the DEA approach to add value to equity portfolio selection. The outperformance of the top 3-quantile DEA portfolios in contrast to both the comparable bottom portfolio and the stock market average is statistically significant on the basis of all performance measures employed. The outperformance is slightly more significant when the stock price momentum is included in the DEA variables. The methodology employed offers an interesting alternative for detecting the outperforming stocks of the future by capturing both the price momentum and several dimensions of relative value simultaneously. DEA is particularly useful as a multicriteria methodology in cases in which the number of stocks in the sample is large. It therefore also has useful implications to practical portfolio management.