Table 3.13: Sharpe ratio best strategy in excess of Sharpe ratio buy-and-hold. Sharpe ratio of the best strategy, selected by the Sharpe ratio criterion after implementing 0, 0.10 , 0.25 and 0.75% costs per trade, in excess of the Sharpe ratio of the buy-and-hold benchmark, for the full sample period 1973:1-2001:6 and the two subperiods 1973:1-1986:12 and 1987:1-2001:6, for each data series listed in the first column.
period 1973:1-2001:6 1973:1-1986:12 1987:1-2001:6 Data set 0% 0.10% 0.25% 0.75% 0% 0.10% 0.25% 0.75% 0% 0.10% 0.25% 0.75% DJIA 0.0385 0.0156 0.0153 0.0141 0.0557 0.0317 0.0314 0.0304 0.0279 0.0135 0.0104 0.0096 ALCOA 0.0474 0.0240 0.0069 0.0055 0.0698 0.0513 0.0271 0.0115 0.0302 0.0255 0.0186 0.0032 AMERICAN EXPRESS 0.0270 0.0132 0.0113 0.0059 0.0756 0.0515 0.0277 0.0162 0.0179 0.0159 0.0143 0.0133 AT&T 0.0148 0.0131 0.0123 0.0118 0.0327 0.0201 0.0201 0.0201 0.0179 0.0164 0.0153 0.0140 BETHLEHEM STEEL 0.0389 0.0282 0.0255 0.0187 0.0728 0.0487 0.0372 0.0307 0.0313 0.0298 0.0274 0.0195 BOEING 0.0277 0.0066 0.0046 0.0006 0.0387 0.0188 0.0093 0.0080 0.0259 0.0164 0.0135 0.0037 CATERPILLAR 0.0569 0.0326 0.0093 0.0008 0.0919 0.0646 0.0342 0.0153 0.0320 0.0255 0.0219 0.0100 CHEVRON - TEXACO 0.0290 0.0172 0.0129 0.0046 0.0650 0.0351 0.0250 0.0123 0.0209 0.0192 0.0166 0.0079 CITIGROUP 0.0208 0.0162 0.0136 0.0125 0.0208 0.0162 0.0136 0.0125 COCA - COLA 0.0254 0.0151 0.0150 0.0146 0.0501 0.0289 0.0289 0.0286 0.0120 0.0120 0.0119 0.0117 E.I. DU PONT DE NEMOURS 0.0238 0.0170 0.0076 0.0056 0.0500 0.0309 0.0208 0.0193 0.0341 0.0231 0.0132 0.0062 EASTMAN KODAK 0.0154 0.0127 0.0114 0.0108 0.0347 0.0339 0.0327 0.0286 0.0242 0.0186 0.0138 0.0044 EXXON MOBIL 0.0106 0.0074 0.0072 0.0063 0.0393 0.0205 0.0202 0.0193 0.0175 0.0157 0.0131 0.0042 GENERAL ELECTRIC 0.0132 0.0061 0.0046 0.0021 0.0377 0.0236 0.0208 0.0117 0.0105 0.0102 0.0096 0.0077 GENERAL MOTORS 0.0198 0.0181 0.0179 0.0173 0.0514 0.0388 0.0385 0.0376 0.0277 0.0270 0.0258 0.0218 GOODYEAR TIRE 0.0280 0.0166 0.0166 0.0164 0.0377 0.0349 0.0307 0.0167 0.0401 0.0400 0.0398 0.0392 HEWLETT - PACKARD 0.0136 0.0128 0.0118 0.0082 0.0217 0.0139 0.0122 0.0069 0.0183 0.0177 0.0168 0.0136 HOME DEPOT 0.0128 0.0053 0.0029 0.0011 0.0212 0.0066 0.0054 0.0023 HONEYWELL INTL. 0.0289 0.0277 0.0258 0.0196 0.0265 0.0252 0.0234 0.0171 INTEL 0.0103 0.0059 0.0055 0.0041 0.0366 0.0289 0.0258 0.0215 0.0122 0.0107 0.0086 0.0072 INTL. BUS. MACH. 0.0166 0.0129 0.0086 0.0080 0.0235 0.0212 0.0194 0.0167 0.0217 0.0203 0.0201 0.0196 INTERNATIONAL PAPER 0.0378 0.0149 0.0095 0.0041 0.0831 0.0557 0.0208 0.0090 0.0247 0.0201 0.0139 0.0085 J.P. MORGAN CHASE & CO. 0.0444 0.0210 0.0176 0.0133 0.0622 0.0370 0.0251 0.0185 0.0425 0.0217 0.0206 0.0167 JOHNSON & JOHNSON 0.0315 0.0093 0.0069 0.0023 0.0578 0.0285 0.0261 0.0248 0.0094 0.0062 0.0051 0.0029 MCDONALDS 0.0193 0.0119 0.0109 0.0073 0.0458 0.0294 0.0203 0.0147 0.0137 0.0131 0.0124 0.0098 MERCK 0.0283 0.0094 0.0076 0.0064 0.0591 0.0292 0.0137 0.0134 0.0147 0.0102 0.0097 0.0083 MICROSOFT 0.0165 0.0082 0.0060 0.0028 0.0165 0.0082 0.0060 0.0028 MINNESOTA MNG. & MNFG. 0.0330 0.0259 0.0153 0.0011 0.0637 0.0335 0.0307 0.0215 0.0362 0.0293 0.0190 0.0026 PHILIP MORRIS 0.0107 0.0095 0.0078 0.0065 0.0324 0.0220 0.0200 0.0131 0.0177 0.0152 0.0115 0.0083 PROCTER & GAMBLE 0.0236 0.0098 0.0081 0.0054 0.0439 0.0245 0.0191 0.0183 0.0157 0.0146 0.0129 0.0093 SBC COMMUNICATIONS 0.0243 0.0213 0.0169 0.0029 0.0232 0.0203 0.0160 0.0023 SEARS, ROEBUCK & CO. 0.0305 0.0167 0.0166 0.0164 0.0653 0.0331 0.0264 0.0257 0.0202 0.0185 0.0173 0.0137 UNITED TECHNOLOGIES 0.0414 0.0135 0.0115 0.0046 0.0403 0.0187 0.0161 0.0100 0.0424 0.0182 0.0149 0.0050
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