American Journal of Theoretical and Applied Business

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Effectiveness of F-SCORE on the Loser Following Online Portfolio Strategy in the Korean Value Stocks Portfolio

Received: 26 December 2018    Accepted: 17 January 2019    Published: 09 February 2019
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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.

DOI 10.11648/j.ajtab.20190501.11
Published in American Journal of Theoretical and Applied Business (Volume 5, Issue 1, March 2019)
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), 2024. Published by Science Publishing Group

Keywords

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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Author Information
  • Department of Business Administration, Faculty of Finance, Chung-Ang University, Seoul, Korea

  • Department of Business Administration, Faculty of Finance, Chung-Ang University, Seoul, Korea

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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

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    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

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    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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  • @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://download.sciencepg.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}
    }
    

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    AU  - Taegyu Jeong
    AU  - Kyuhyong Kim
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    JF  - American Journal of Theoretical and Applied Business
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    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
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