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

Table 5

Comparison of the DSSRI-II and the SSRI-MSPR.

Model	Portfolio cardinality C = 15			Portfolio cardinality C = 16			Portfolio cardinality C = 17
	AR	SR	ESG	AR	SR	ESG	AR	SR	ESG
DSSRI-II	0.0882	0.4575	62.0703	0.0780	0.4188	61.9743	0.1057	0.5339	61.8762
SSRI-MSPR	0.0541	0.3748	55.5466	0.0465	0.3311	55.4773	0.0542	0.3725	55.3819
Model	Portfolio cardinality C = 18			Portfolio cardinality C = 19			Portfolio cardinality C = 20
	AR	SR	ESG	AR	SR	ESG	AR	SR	ESG
DSSRI-II	0.0856	0.4620	61.6706	0.0905	0.4862	61.2793	0.0887	0.4883	60.8618
SSRI-MSPR	0.0470	0.3293	55.4834	0.0558	0.3750	55.6684	0.0536	0.3694	55.5192

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