Table 4 Average performance measures during 2003–2015 for 5-year rolling windows
From: A statistical learning approach for stock selection in the Chinese stock market
Statistics | Index | EMN-ENET | Long-ENET | LongA-ENET |
|---|---|---|---|---|
AR (%) | 11.20 | 22.15 | 33.08 | 34.07 |
Std (%) | 29.56 | 20.36 | 36.98 | 37.32 |
Best MR (%) | 22.28 | 19.46 | 29.97 | 31.48 |
Worst MR (%) | −20.72 | −16.04 | −19.47 | −19.83 |
ShR | 0.38 | 1.10 | 0.89 | 0.89 |
MD (%) | 51.37 | 28.60 | 46.51 | 45.37 |
CalR | 0.25 | 0.84 | 0.80 | 0.85 |
Skewness | −0.08 | −0.25 | 0.26 | 0.23 |
Kurtosis | 0.69 | 2.85 | 0.46 | 0.62 |
Correlation | 1.00 | −0.07 | 0.81 | 0.82 |