AUTHOR=Shao Barret P. TITLE=Mean-ETL Optimization in HorseRace Competition JOURNAL=Frontiers in Applied Mathematics and Statistics VOLUME=4 YEAR=2018 URL=https://www.frontiersin.org/journals/applied-mathematics-and-statistics/articles/10.3389/fams.2018.00020 DOI=10.3389/fams.2018.00020 ISSN=2297-4687 ABSTRACT=

In this paper, we present the methodology and results of the portfolios submitted to the HorseRace competition. The nine portfolios were constructed by applying the Mean-ETL optimization approach. The Mean-ETL optimization approach uses three fundamental variables (CTEF, MQ, and REG10) and three stock universes (GL, XUS, and EM), with each of the three fundamental variables applied one at a time to one of the three universes. This study assesses the return of the nine portfolios, and we report that all of these Mean-ETL portfolios produce positive active returns and most of them are statistically significant. Additionally, MQ variable is found to be the best among these three variables in the Mean-ETL portfolio construction.