Socially Responsible Investment Portfolio Construction with a Double-Screening Mechanism considering Machine Learning Prediction

Table 4

Comparison of the DSSRI-I and the SSRI-GMV.

Model	Portfolio cardinality C = 15			Portfolio cardinality C = 16			Portfolio cardinality C = 17
	AR	SR	ESG	AR	SR	ESG	AR	SR	ESG
DSSRI-I	0.0982	0.4930	61.9809	0.0904	0.4701	61.8525	0.1113	0.5517	61.9619
SSRI-GMV	0.0444	0.3198	55.3456	0.0583	0.3901	55.5345	0.0686	0.4281	55.6346
Model	Portfolio cardinality C = 18			Portfolio cardinality C = 19			Portfolio cardinality C = 20
	AR	SR	ESG	AR	SR	ESG	AR	SR	ESG
DSSRI-I	0.0947	0.4952	61.5369	0.0962	0.5049	61.2844	0.0994	0.5222	60.9385
SSRI-GMV	0.0614	0.3931	55.5110	0.0564	0.3710	55.3652	0.0567	0.3712	55.6201

AR = annualized return; SR=Sharpe ratio; ESG = ESG score. The best values are demonstrated with bold font.