Table 1 The mixture designs of stock-picking concepts and their experiment results
From: Discovering optimal weights in weighted-scoring stock-picking models: a mixture design approach
No | Stock-picking concept weight | Performances of portfolio | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
Modeling period (1997–2008) | Testing period (2009–2015) | ||||||||||
Small PBR | Large ROE | Large monthly return | Small beta (β) | Large total market value | Monthly excess rate of return (α) % | Monthly systematic risk (β) | Market value (100 million NTD) | Monthly excess rate of return (α) % | Monthly syste-matic risk (β) | Market value (100 million NTD) | |
1 | 1 | 0 | 0 | 0 | 0 | 1.100 | 0.937 | 27.9 | 0.864 | 1.008 | 22.6 |
2 | 0 | 1 | 0 | 0 | 0 | 1.070 | 0.891 | 54.6 | 1.094 | 0.876 | 71.5 |
3 | 0 | 0 | 1 | 0 | 0 | 0.480 | 1.144 | 55.7 | 0.619 | 0.976 | 53.0 |
4 | 0 | 0 | 0 | 1 | 0 | 0.720 | 0.834 | 27.7 | 1.069 | 0.610 | 25.5 |
5 | 0 | 0 | 0 | 0 | 1 | 0.312 | 0.562 | 639.1 | 0.092 | 0.848 | 620.2 |
6 | 1/2 | 1/2 | 0 | 0 | 0 | 1.250 | 0.864 | 32.8 | 1.382 | 0.908 | 35.2 |
7 | 1/2 | 0 | 1/2 | 0 | 0 | 1.097 | 0.947 | 37.7 | 0.875 | 0.990 | 30.6 |
8 | 0 | 1/2 | 1/2 | 0 | 0 | 1.018 | 1.076 | 45.2 | 1.263 | 0.900 | 70.1 |
9 | 1/2 | 0 | 0 | 1/2 | 0 | 1.200 | 0.713 | 13.3 | 1.162 | 0.757 | 21.8 |
10 | 0 | 1/2 | 0 | 1/2 | 0 | 1.306 | 0.767 | 58.6 | 1.582 | 0.738 | 48.9 |
11 | 0 | 0 | 1/2 | 1/2 | 0 | 0.950 | 0.945 | 33.1 | 1.193 | 0.721 | 34.8 |
12 | 1/2 | 0 | 0 | 0 | 1/2 | 0.545 | 0.762 | 159.2 | 0.281 | 0.922 | 148.4 |
13 | 0 | 1/2 | 0 | 0 | 1/2 | 0.712 | 0.764 | 368.7 | 0.595 | 0.825 | 311.1 |
14 | 0 | 0 | 1/2 | 0 | 1/2 | 0.409 | 0.772 | 333.6 | 0.434 | 0.887 | 265.1 |
15 | 0 | 0 | 0 | 1/2 | 1/2 | 0.724 | 0.798 | 186.8 | 0.614 | 0.677 | 141.2 |
16 | 1/3 | 1/3 | 1/3 | 0 | 0 | 1.480 | 1.012 | 39.6 | 1.620 | 0.918 | 37.0 |
17 | 1/3 | 1/3 | 0 | 1/3 | 0 | 1.450 | 0.857 | 20.3 | 1.575 | 0.776 | 24.8 |
18 | 1/3 | 0 | 1/3 | 1/3 | 0 | 1.235 | 0.711 | 30.9 | 1.216 | 0.840 | 19.9 |
19 | 0 | 1/3 | 1/3 | 1/3 | 0 | 1.250 | 0.799 | 45.2 | 1.544 | 0.780 | 50.4 |
20 | 1/3 | 1/3 | 0 | 0 | 1/3 | 1.030 | 0.717 | 188.7 | 0.714 | 0.857 | 181.3 |
21 | 1/3 | 0 | 1/3 | 0 | 1/3 | 0.608 | 0.958 | 156.0 | 0.476 | 0.921 | 137.0 |
22 | 0 | 1/3 | 1/3 | 0 | 1/3 | 0.692 | 0.721 | 273.1 | 0.922 | 0.837 | 204.4 |
23 | 1/3 | 0 | 0 | 1/3 | 1/3 | 0.934 | 0.841 | 119.1 | 0.627 | 0.747 | 93.7 |
24 | 0 | 1/3 | 0 | 1/3 | 1/3 | 1.033 | 0.447 | 151.4 | 1.102 | 0.711 | 135.6 |
25 | 0 | 0 | 1/3 | 1/3 | 1/3 | 0.593 | 0.758 | 102.5 | 0.890 | 0.714 | 130.3 |
26 | 1/4 | 1/4 | 1/4 | 1/4 | 0 | 1.410 | 0.547 | 29.4 | 1.576 | 0.775 | 29.4 |
27 | 1/4 | 1/4 | 1/4 | 0 | 1/4 | 0.931 | 1.021 | 125.2 | 0.978 | 0.839 | 169.0 |
28 | 1/4 | 1/4 | 0 | 1/4 | 1/4 | 1.093 | 0.532 | 107.8 | 1.133 | 0.705 | 117.9 |
29 | 1/4 | 0 | 1/4 | 1/4 | 1/4 | 0.888 | 0.577 | 54.1 | 0.813 | 0.782 | 97.5 |
30 | 0 | 1/4 | 1/4 | 1/4 | 1/4 | 0.889 | 0.605 | 164.0 | 1.236 | 0.747 | 130.3 |
31 | 1/5 | 1/5 | 1/5 | 1/5 | 1/5 | 1.034 | 0.973 | 79.8 | 1.293 | 0.724 | 108.9 |