Financial Innovation

Table 9 The performance of PLL, Pure-01, Enhan-01, and MKT in each stock market

From: Detecting the lead–lag effect in stock markets: definition, patterns, and investment strategies

Indexes	CSI 300				S&P 500
Indexes	PLL	Pure-01	Enhan-01	MKT	PLL	Pure-01	Enhan-01	MKT
Mean return	8.80E− 05	− 0.00011	0.00031	8.60E− 05	0.00116	0.00101	0.00153	0.00074
Std error	0.00855	0.01542	0.00692	0.01021	0.00887	0.00897	0.00985	0.00930
Minimum	− 0.06331	− 0.09457	− 0.16219	− 0.06051	− 0.06344	− 0.06638	− 0.05837	− 0.06663
Quartile 1	− 0.00335	− 0.00689	− 0.00197	− 0.00531	− 0.00330	− 0.00339	− 0.00368	− 0.00327
Median	0.00017	0.00014	9.38E− 05	0.00046	0.00085	0.00077	0.00094	0.00060
Quartile 3	0.00397	0.00759	0.00252	0.00582	0.00503	0.00515	0.00540	0.00505
Maximum	0.04431	0.06640	0.04199	0.05251	0.06771	0.05064	0.15993	0.04960
Skewness	− 0.88929	− 0.64429	− 5.36223	− 0.29767	− 0.23049	− 0.36344	1.30722	− 0.40880
Kurtosis	11.05965	7.63471	132.602	5.76534	8.25482	7.43435	32.6182	7.45357
Sharpe ratio	0.14670	− 0.17437	0.70335	0.14780	0.87648	0.82865	1.13450	0.80963
Max-draw	0.41724	0.56303	0.29421	0. 36,258	0.21234	0.19062	0.17300	0.19778

“Max-draw” is an abbreviation for “maximum drawdown.”

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