Table 5 Summary statistics of returns on different model based switching strategies
From: Return direction forecasting: a conditional autoregressive shape model with beta density
| Â | Mean | Std. | Median | Max | Min | Skew. | SR(%) | \(\Delta\)(U) |
|---|---|---|---|---|---|---|---|---|
Whole sample | ||||||||
Market | 5.882E–03 | 0.044 | 9.381E–03 | 0.151 | −0.245 | \(-0.721\) | 4.56 |  |
B-CARS(1,1) | 6.410E–03 | 0.034 | 5.375E–03 | 0.124 | \(-0.245\) | \(-1.051\) | 7.44 | 2.00 |
\(ntis_{-}\) | 6.629E–03 | 0.038 | 6.217E–03 | 0.124 | \(-0.245\) | \(-1.007\) | 7.17 | 1.70 |
\(ltr_{-}\) | 7.925E–03 | 0.034 | 6.033E–03 | 0.124 | \(-0.158\) | \(-0.286\) | 11.96 | 3.84 |
Expansion | ||||||||
Market | 7.80E–03 | 0.039 | 10.432E–03 | 0.124 | \(-0.245\) | \(-0.824\) | 10.52 |  |
B-CARS(1,1) | 6.287E–03 | 0.035 | 5.138E–03 | 0.124 | \(-0.245\) | \(-1.029\) | 7.61 | \(-1.18\) |
\(ntis_{-}\) | 7.838E–03 | 0.036 | 6.108E–03 | 0.124 | \(-0.245\) | \(-0.921\) | 11.64 | 2.84 |
\(ltr_{-}\) | 7.959E–03 | 0.033 | 6.025E–03 | 0.124 | \(-0.158\) | \(-0.353\) | 13.06 | 2.99 |
Recession | ||||||||
Market | −6.133E–03 | 0.063 | −5.978E–03 | 0.151 | \(-0.186\) | \(-0.128\) | \(-18.23\) |  |
B-CARS(1,1) | 7.181E–03 | 0.028 | 5.958E–03 | 0.105 | \(-0.107\) | \(-1.188\) | 6.29 | 21.70 |
\(ntis_{-}\) | −0.948E–03 | 0.050 | 6.292E–03 | 0.105 | \(-0.186\) | \(-0.933\) | \(-12.78\) | 8.92 |
\(ltr_{-}\) | 7.713E–03 | 0.038 | 6.133E–03 | 0.116 | \(-0.099\) | \(-0.006\) | 6.07 | 21.12 |