Table 5 Average annualized return over a 5-year rolling window
From: A statistical learning approach for stock selection in the Chinese stock market
Period | Index | EMN-ENET | Long-ENET | LongA-ENET |
|---|---|---|---|---|
2003–2007 | 31.12 | 28.90 | 47.67 | 49.49 |
2005–2009 | 20.94 | 32.48 | 54.85 | 59.52 |
2007–2011 | −3.84 | 16.13 | 24.18 | 24.58 |
2009–2013 | 3.05 | 21.60 | 25.90 | 25.76 |
2011–2015 | 4.74 | 11.66 | 12.79 | 11.01 |