Table 7 Portfolio performance metrics including Sharpe ratio, Sortino ratio, Information ratio, and average return across various holding periods (20, 40, 80, 100, and 120), weighting schemes (Equal weight \(\textbf{w}^{\textrm{EW}}\), Markowitz weight \(\textbf{w}^{\textrm{MW}}\), Risk parity weight \(\textbf{w}^{\textrm{RP}}\)), and method types (Type-1, Type-2, and Type-3) for portfolios of size 30.
From: A novel portfolio construction strategy based on the core- periphery profile of stocks
Holding period | Weight scheme | Method type | Sharpe ratio | Sortino ratio | Information ratio | Mean return |
|---|---|---|---|---|---|---|
20 | \(\textbf{w}^{\text {EW}}\) | Type 1 | 0.325 | 0.333 | 0.125 | 0.021 |
Type 2 | 0.238 | 0.235 | 0.049 | 0.014 | ||
Type 3 | 0.257 | 0.268 | 0.063 | 0.016 | ||
\(\textbf{w}^{\text {MV}}\) | Type 1 | 0.268 | 0.334 | 0.118 | 0.021 | |
Type 2 | 0.239 | 0.288 | 0.070 | 0.016 | ||
Type 3 | 0.282 | 0.374 | 0.105 | 0.020 | ||
\(\textbf{w}^{\text {RP}}\) | Type 1 | 0.331 | 0.332 | 0.334 | 0.020 | |
Type 2 | 0.258 | 0.252 | 0.288 | 0.014 | ||
Type 3 | 0.283 | 0.284 | 0.374 | 0.016 | ||
40 | \(\textbf{w}^{\text {EW}}\) | Type 1 | 0.466 | 0.583 | 0.173 | 0.041 |
Type 2 | 0.370 | 0.425 | 0.084 | 0.031 | ||
Type 3 | 0.357 | 0.439 | 0.079 | 0.031 | ||
\(\textbf{w}^{\text {MV}}\) | Type 1 | 0.411 | 0.631 | 0.171 | 0.043 | |
Type 2 | 0.397 | 0.529 | 0.136 | 0.038 | ||
Type 3 | 0.432 | 0.687 | 0.157 | 0.040 | ||
\(\textbf{w}^{\text {RP}}\) | Type 1 | 0.478 | 0.588 | 0.631 | 0.040 | |
Type 2 | 0.390 | 0.436 | 0.529 | 0.029 | ||
Type 3 | 0.400 | 0.490 | 0.687 | 0.031 | ||
60 | \(\textbf{w}^{\text {EW}}\) | Type 1 | 0.573 | 1.006 | 0.213 | 0.060 |
Type 2 | 0.457 | 0.678 | 0.105 | 0.045 | ||
Type 3 | 0.429 | 0.698 | 0.099 | 0.045 | ||
\(\textbf{w}^{\text {MV}}\) | Type 1 | 0.554 | 1.154 | 0.232 | 0.065 | |
Type 2 | 0.501 | 1.009 | 0.190 | 0.059 | ||
Type 3 | 0.512 | 1.099 | 0.201 | 0.060 | ||
\(\textbf{w}^{\text {RP}}\) | Type 1 | 0.593 | 1.034 | 1.154 | 0.058 | |
Type 2 | 0.483 | 0.687 | 1.009 | 0.044 | ||
Type 3 | 0.479 | 0.795 | 1.099 | 0.046 | ||
80 | \(\textbf{w}^{\text {EW}}\) | Type 1 | 0.654 | 1.538 | 0.247 | 0.078 |
Type 2 | 0.539 | 0.919 | 0.134 | 0.061 | ||
Type 3 | 0.506 | 1.039 | 0.125 | 0.061 | ||
\(\textbf{w}^{\text {MV}}\) | Type 1 | 0.639 | 1.532 | 0.269 | 0.085 | |
Type 2 | 0.581 | 1.444 | 0.234 | 0.080 | ||
Type 3 | 0.578 | 1.462 | 0.234 | 0.081 | ||
\(\textbf{w}^{\text {RP}}\) | Type 1 | 0.677 | 1.573 | 1.532 | 0.076 | |
Type 2 | 0.569 | 0.943 | 1.444 | 0.059 | ||
Type 3 | 0.557 | 1.159 | 1.462 | 0.061 | ||
100 | \(\textbf{w}^{\text {EW}}\) | Type 1 | 0.711 | 1.714 | 0.274 | 0.096 |
Type 2 | 0.612 | 1.320 | 0.155 | 0.075 | ||
Type 3 | 0.575 | 1.443 | 0.150 | 0.077 | ||
\(\textbf{w}^{\text {MV}}\) | Type 1 | 0.707 | 1.640 | 0.304 | 0.105 | |
Type 2 | 0.608 | 1.512 | 0.239 | 0.096 | ||
Type 3 | 0.602 | 1.412 | 0.238 | 0.095 | ||
\(\textbf{w}^{\text {RP}}\) | Type 1 | 0.731 | 1.753 | 1.64 | 0.092 | |
Type 2 | 0.64 | 1.331 | 1.512 | 0.072 | ||
Type 3 | 0.619 | 1.531 | 1.412 | 0.076 | ||
120 | \(\textbf{w}^{\text {EW}}\) | Type 1 | 0.756 | 1.859 | 0.296 | 0.111 |
Type 2 | 0.693 | 1.785 | 0.183 | 0.091 | ||
Type 3 | 0.641 | 1.747 | 0.176 | 0.093 | ||
\(\textbf{w}^{\text {MV}}\) | Type 1 | 0.741 | 1.747 | 0.327 | 0.122 | |
Type 2 | 0.670 | 1.664 | 0.262 | 0.110 | ||
Type 3 | 0.653 | 1.459 | 0.259 | 0.111 | ||
\(\textbf{w}^{\text {RP}}\) | Type 1 | 0.78 | 1.977 | 1.747 | 0.108 | |
Type 2 | 0.721 | 1.843 | 1.664 | 0.087 | ||
Type 3 | 0.686 | 1.941 | 1.459 | 0.091 |
