This paper compares the effectiveness of six online portfolio strategies when they are applied to the Korean value stock portfolio. Firstly, using F-SCORE of Piotroski the value stock portfolio is divided into buying group and selling group. Then the six loser following online portfolio strategies are applied for each group and the whole portfolio. RMR strategy for the whole stock portfolio is far superior to the other strategies in terms of the total cumulative return, Sharpe ratio and Calmar ratio. This implies that value stock portfolio has mean reverting or trend following properties that can be utilized by various machine learning techniques.
| Published in | American Journal of Theoretical and Applied Business (Volume 5, Issue 1) |
| DOI | 10.11648/j.ajtab.20190501.11 |
| Page(s) | 1-13 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2019. Published by Science Publishing Group |
Loser Following Online Portfolio Strategies, Machine Learning, F-SCORE, Korean Value Stock Portfolio, Buying Stock Group, Selling Stock Group, Whole Stock Group
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APA Style
Taegyu Jeong, Kyuhyong Kim. (2019). Effectiveness of F-SCORE on the Loser Following Online Portfolio Strategy in the Korean Value Stocks Portfolio. American Journal of Theoretical and Applied Business, 5(1), 1-13. https://doi.org/10.11648/j.ajtab.20190501.11
ACS Style
Taegyu Jeong; Kyuhyong Kim. Effectiveness of F-SCORE on the Loser Following Online Portfolio Strategy in the Korean Value Stocks Portfolio. Am. J. Theor. Appl. Bus. 2019, 5(1), 1-13. doi: 10.11648/j.ajtab.20190501.11
AMA Style
Taegyu Jeong, Kyuhyong Kim. Effectiveness of F-SCORE on the Loser Following Online Portfolio Strategy in the Korean Value Stocks Portfolio. Am J Theor Appl Bus. 2019;5(1):1-13. doi: 10.11648/j.ajtab.20190501.11
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Download@article{10.11648/j.ajtab.20190501.11,
author = {Taegyu Jeong and Kyuhyong Kim},
title = {Effectiveness of F-SCORE on the Loser Following Online Portfolio Strategy in the Korean Value Stocks Portfolio},
journal = {American Journal of Theoretical and Applied Business},
volume = {5},
number = {1},
pages = {1-13},
doi = {10.11648/j.ajtab.20190501.11},
url = {https://doi.org/10.11648/j.ajtab.20190501.11},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtab.20190501.11},
abstract = {This paper compares the effectiveness of six online portfolio strategies when they are applied to the Korean value stock portfolio. Firstly, using F-SCORE of Piotroski the value stock portfolio is divided into buying group and selling group. Then the six loser following online portfolio strategies are applied for each group and the whole portfolio. RMR strategy for the whole stock portfolio is far superior to the other strategies in terms of the total cumulative return, Sharpe ratio and Calmar ratio. This implies that value stock portfolio has mean reverting or trend following properties that can be utilized by various machine learning techniques.},
year = {2019}
}
TY - JOUR T1 - Effectiveness of F-SCORE on the Loser Following Online Portfolio Strategy in the Korean Value Stocks Portfolio AU - Taegyu Jeong AU - Kyuhyong Kim Y1 - 2019/02/09 PY - 2019 N1 - https://doi.org/10.11648/j.ajtab.20190501.11 DO - 10.11648/j.ajtab.20190501.11 T2 - American Journal of Theoretical and Applied Business JF - American Journal of Theoretical and Applied Business JO - American Journal of Theoretical and Applied Business SP - 1 EP - 13 PB - Science Publishing Group SN - 2469-7842 UR - https://doi.org/10.11648/j.ajtab.20190501.11 AB - This paper compares the effectiveness of six online portfolio strategies when they are applied to the Korean value stock portfolio. Firstly, using F-SCORE of Piotroski the value stock portfolio is divided into buying group and selling group. Then the six loser following online portfolio strategies are applied for each group and the whole portfolio. RMR strategy for the whole stock portfolio is far superior to the other strategies in terms of the total cumulative return, Sharpe ratio and Calmar ratio. This implies that value stock portfolio has mean reverting or trend following properties that can be utilized by various machine learning techniques. VL - 5 IS - 1 ER -
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