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Table 2 Out-of-sample performance of portfolio strategies on 500 NYSE stocks of sub-sample periods

From: Research on regularized mean–variance portfolio selection strategy with modified Roy safety-first principle

Portfolio selection strategy SRatio (transaction costs) SRatio Risk reduction Sparsity Turnover
Panel A : results for January 2006 to December 2008
RSMt (17) 0.6891 0.6902 0.2115 165.1612 0.1517
RSMVt (18) 0.7111 0.7209 0.1801 188.6575 0.1783
minVu −0.1523 0.1902 0.2561 500 0.4013
minVc 0.2042 0.2821 0.2393 500 0.4209
MV −0.1745 0.1887 1.0000 500 4.1910
1/N 0.4084 0.4810 0.2710 500 0.3575
\(l_1\)-MV (Brodie et al. 2009) 0.41014 0.5131 0.2604 217.1435 0.3872
TMN (Tu and Zhou 2011) −0.0158 0.3412 0.2573 500 0.4643
VD (Kirby and Ostdiek 2012) 0.3914 0.4710 0.2104 500 0.4510
Panel B : results for January 2009 to December 2011
RSMt (17) 1.2319 1.2783 0.0932 151.2341 0.0613
RSMVt (18) 1.3012 1.3114 0.0815 203.2533 0.0791
minVu 0.0985 0.4612 0.1044 500 0.2002
minVc 0.4202 0.5319 0.1012 500 0.2125
MV 0.0812 0.4104 1.0000 500 2.1234
1/N 0.7264 0.8041 0.1395 500 0.1453
\(l_1\)-MV (Brodie et al. 2009) 0.9011 0.9511 0.1391 326.5532 0.1877
TMN (Tu and Zhou 2011) 0.2216 0.6013 0.1091 500 0.2563
VD (Kirby and Ostdiek 2012) 0.8153 0.8921 0.0995 500 0.2418
Panel C : results for January 2012 to December 2015
RSMt (17) 1.3112 1.3205 0.0901 195.0186 0.0717
RSMVt (18) 1.3813 1.3984 0.0737 245.1227 0.0801
minVu 0.1120 0.4824 0.1018 500 0.2011
minVc 0.4413 0.5302 0.1006 500 0.2289
MV 0.1091 0.4591 1.0000 500 2.3914
1/N 0.7641 0.8321 0.1391 500 0.1465
\(l_1\)-MV (Brodie et al. 2009) 0.9403 0.9821 0.1294 267.8271 0.1903
TMN (Tu and Zhou 2011) 0.2426 0.63841 0.1067 500 0.2613
VD (Kirby and Ostdiek 2012) 0.8534 0.9010 0.0945 500 0.2485
  1. Performance measures and metrics of portfolio selection strategies