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Table 3 Out-of-sample performance of portfolio strategies for 2009–2015

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
Results for January 2009 to December 2015
RSMt (17) 0.8912 0.9111 0.1521 175.5103 0.9859
RSMVt (18) 0.9577 0.9610 0.1112 228.3181 0.8113
minVu 0.0698 0.2413 0.1742 500 1.1612
minVc 0.2408 0.2958 0.1663 500 1.6209
MV 0.0451 0.1959 1.0000 500 7.3224
1/N 0.5514 0.5911 0.1977 500 0.9418
\(l_1\)-MV (Brodie et al. 2009) 0.6899 0.7094 0.1790 254.8511 0.9958
TMN (Tu and Zhou 2011) 0.1354 0.2985 0.1551 500 1.4705
VD (Kirby and Ostdiek 2012) 0.4544 0.5871 0.1605 500 1.2403
  1. Performance measures and metrics of portfolio selection strategies