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

Financial Innovation

Table 3 Annual Returns for 2003–2015

Year	Index	EMN-ENET	Long-ENET	LongA-ENET	EMN-OLS	Long-OLS	LongA-OLS
2003	−0.19	17.47	−9.95	−11.40	19.50	−11.61	−10.29
2004	−15.40	35.52	−3.63	−2.91	34.94	−3.62	−2.54
2005	−8.33	48.73	8.62	9.60	22.32	−5.01	−5.11
2006	130.43	26.92	117.34	142.38	15.73	93.60	109.85
2007	96.66	18.04	216.39	201.58	0.68	205.97	209.02
2008	−65.39	13.81	−56.19	− 53.52	19.15	−57.98	− 56.57
2009	79.98	60.94	172.12	177.43	40.01	165.45	166.35
2010	−14.31	−2.83	10.52	10.42	7.83	12.35	12.52
2011	−21.68	0.53	−29.17	−30.12	−7.91	−32.86	−33.09
2012	3.17	36.69	23.79	21.43	22.00	12.83	8.84
2013	−6.75	23.70	19.94	21.00	12.14	11.88	12.91
2014	52.87	−19.72	33.62	33.69	−26.26	29.72	31.02
2015	9.41	27.18	29.86	22.85	21.17	32.95	27.07
2016	−12.31	25.04	−3.84	−4.16	22.07	−7.81	−9.33