A statistical learning approach for stock selection in the Chinese stock market

Financial Innovation

Table 2 Performance measures during 2003–2015

Statistics	Index	EMN-ENET	Long-ENET	LongA-ENET	EMN-OLS	Long-OLS	LongA-OLS
AR (%)	6.08	20.59	22.03	22.52	13.12	16.75	17.34
Std (%)	28.88	19.08	35.27	35.58	16.80	34.81	35.40
Best MR (%)	27.45	25.16	35.24	41.14	20.92	29.38	38.31
Worst MR (%)	−24.63	−20.38	−26.46	− 26.46	−21.20	− 27.18	− 28.35
ShR	0.21	1.08	0.67	0.63	0.78	0.48	0.49
MD (%)	70.97	35.75	66.58	64.74	37.41	67.39	66.46
CarR	0.09	0.58	0.33	0.34	0.35	0.25	0.26
Skewness	−0.21	−0.06	0.15	0.20	−0.17	−0.01	0.09
Kurtosis	1.10	3.39	1.08	1.34	3.77	0.59	1.01
Correlation	1.00	−0.10	0.82	0.83	−0.12	0.84	0.83