Industry return lead-lag relationships between the US and other major countries

Monteiro, Ana; Silva, Nuno; Sebastião, Helder

doi:10.1186/s40854-022-00439-1

Financial Innovation

Table 16 Annualized certainty equivalent returns (%) for a CRRA investor with relative risk aversion coefficient equal to three

From: Industry return lead-lag relationships between the US and other major countries

	BM	CD	CS	EN	FI	HC	IN	RE	TEC	TEL	UT
\(US\to CN\)	1.42	6.06	2.18	− 1.15	4.64	7.60	3.34	3.21	1.45	3.74	3.40
\(US\to CN\)	− 8.70	− 0.24	2.90	− 11.94	− 0.20	− 19.60	4.65	1.71	− 2.33	1.16	2.69
\(CN\to US\)	5.05	5.52	4.46	6.01	5.78	5.456	6.27	1.93	5.54	3.92	2.49
\(CN\to US\)	0.20	6.95	5.43	− 7.42	− 2.11	7.164	4.33	4.93	9.23	0.03	2.39
\(US\to FR\)	4.39	6.13	4.51	3.44	3.11	5.50	6.23	5.66	5.92	2.30	3.09
\(US\to FR\)	1.90	1.69	1.16	− 10.54	− 10.26	− 0.40	− 0.97	− 4.25	− 1.31	1.03	− 12.90
\(FR\to US\)	3.74	6.13	4.42	5.95	4.45	5.55	6.18	4.09	6.43	2.56	2.53
\(FR\to US\)	0.20	6.95	5.43	− 7.42	− 2.11	7.16	4.33	4.93	9.23	0.03	2.39
\(US\to GE\)	4.12	3.45	4.64	3.99	5.26	5.26	4.10	5.18	4.60	3.53	1.71
\(US\to GE\)	0.04	− 2.62	2.27	− 10.23	− 5.75	5.21	− 1.63	7.86	5.17	− 5.86	− 7.76
\(GE\to US\)	3.77	5.89	4.44	− 4.04	5.86	5.52	5.98	1.68	5.15	3.42	3.11
\(GE\to US\)	0.20	6.95	5.43	− 7.42	− 2.11	7.16	4.33	4.93	9.23	0.03	2.39
\(US\to JP\)	5.62	4.10	4.19	3.40	4.74	4.97	4.86	5.87	4.58	4.82	3.44
\(US\to JP\)	− 2.98	− 0.18	− 0.37	− 9.52	− 7.76	3.24	0.21	− 3.62	− 0.87	2.90	− 8.30
\(JP\to US\)	3.33	4.99	4.40	5.76	4.95	5.38	6.31	4.20	5.69	3.65	3.84
\(JP\to US\)	0.20	6.95	5.43	− 7.42	− 2.11	7.16	4.33	4.93	9.23	0.03	2.39
\(US\to CH\)	1.34	3.43	2.99	0.94	2.69	6.13	3.96	5.22	5.61	3.04	1.42
\(US\to CH\)	− 13.59	− 1.86	− 6.56	− 7.28	− 5.45	5.94	− 6.58	− 1.65	11.52	− 17.49	− 10.20
\(CH\to US\)	1.68	4.23	3.08	3.43	4.11	5.42	4.28	2.05	4.86	4.17	2.14
\(CH\to US\)	0.20	6.95	5.43	− 7.42	− 2.11	7.16	4.33	4.93	9.23	0.03	2.39
\(US\to UK\)	2.26	4.13	3.23	3.75	2.18	3.61	4.62	5.10	5.44	2.32	1.44
\(US\to UK\)	− 10.11	− 3.55	1.31	− 11.62	− 10.70	− 0.87	0.32	− 11.61	2.43	− 9.08	− 3.20
\(UK\to US\)	4.15	5.49	4.37	5.54	6.06	5.72	6.20	4.29	5.65	1.44	1.68
\(UK\to US\)	0.20	6.95	5.43	− 7.42	− 2.11	7.16	4.33	4.93	9.23	0.03	2.39

This table presents the annualized certainty equivalent returns for a CRRA investor with a relative risk aversion coefficient equal to 3, that, for each country (Canada (CN), France (FR), Germany (GE), Japan (JP), China (CH), and the UK) and industry (Basic Materials (BM), Consumer Discretionary (CD), Consumer Staples (CS), Energy (EN), Financials (FI), Health Care (HC), Industrials (IN), Real Estate (RE), Technology (TEC), Telecommunications (TEL), and Utilities (UT)), chooses the fraction of her wealth to invest in the industry portfolio and the risk-free asset based on the return and volatility predictions. \(US\to k\) refers to the prediction of country \(k\) returns using the US returns, and \(k\to US\) refers to the prediction of US returns using the country \(k\) returns. For each industry and pair of countries the first number is the CER of the active strategies and the second number, in italic, is the CER of the buy-and-hold of the industry in the second country of each pair

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