Effectiveness of F-SCORE on the Loser Following Online Portfolio Strategy in the Korean Value Stocks Portfolio
American Journal of Theoretical and Applied Business
Volume 5, Issue 1, March 2019, Pages: 1-13
Received: Dec. 26, 2018; Accepted: Jan. 17, 2019; Published: Feb. 9, 2019
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Authors
Taegyu Jeong, Department of Business Administration, Faculty of Finance, Chung-Ang University, Seoul, Korea
Kyuhyong Kim, Department of Business Administration, Faculty of Finance, Chung-Ang University, Seoul, Korea
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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.
Keywords
Loser Following Online Portfolio Strategies, Machine Learning, F-SCORE, Korean Value Stock Portfolio, Buying Stock Group, Selling Stock Group, Whole Stock Group
To cite this article
Taegyu Jeong, Kyuhyong Kim, Effectiveness of F-SCORE on the Loser Following Online Portfolio Strategy in the Korean Value Stocks Portfolio, American Journal of Theoretical and Applied Business. Vol. 5, No. 1, 2019, pp. 1-13. doi: 10.11648/j.ajtab.20190501.11
Copyright
Copyright © 2019 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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