Table 3.20: Excess performance best out-of-sample testing procedure. Panel A shows the yearly mean return of the best recursive out-of-sample testing procedure, selected by the mean return criterion, in excess of the yearly mean return of the buy-and-hold. Panel B shows the Sharpe ratio of the best recursive out-of-sample testing procedure, selected by the Sharpe ratio criterion, in excess of the Sharpe ratio of the buy-and-hold. Results are presented for the 0, 0.10 and 0.50% transaction costs per trade cases. The results for the 0.25% transaction costs per trade case can be found in the tables 3.18 and 3.19. The row labeled ``Average: out-of-sample'' shows the average over the results as presented in the table. The row labeled ``Average: in sample'' shows the average over the results of the best strategy selected in sample for each data series.
Panel A Panel B selection criterion Mean return Sharpe ratio Data set 0% 0.10% 0.50% 0% 0.10% 0.50% DJIA 0.0775 0.0444 0.0287 0.0189 0.0093 0.0057 ALCOA 0.2881 0.2145 -0.0591 0.0313 0.0187 -0.0045 AMERICAN EXPRESS 0.1020 0.1062 -0.0229 0.0047 0.0052 -0.0024 AT&T 0.0306 -0.0104 -0.0581 0.0038 -0.0027 -0.0048 BETHLEHEM STEEL 0.3270 0.2914 0.1389 0.0472 0.0349 0.0245 BOEING 0.0773 0.0325 -0.0380 0.0125 0.0060 -0.0040 CATERPILLAR 0.3576 0.2667 -0.0567 0.0451 0.0371 0.0043 CHEVRON - TEXACO 0.1262 0.0913 -0.0250 0.0177 0.0111 -0.0038 CITIGROUP 0.1635 0.1384 -0.0176 0.0038 -0.0051 -0.0082 COCA - COLA 0.1576 0.0551 -0.0269 0.0085 0.0041 -0.0117 E.I. DU PONT DE NEMOURS 0.1076 0.0547 -0.0799 0.0174 0.0074 -0.0077 EASTMAN KODAK 0.0529 0.0199 -0.0386 0.0011 0.0021 -0.0041 EXXON MOBIL 0.0200 0.0194 -0.0087 0.0012 -0.0044 -0.0083 GENERAL ELECTRIC 0.0807 0.0295 -0.0407 -0.0028 -0.0071 -0.0028 GENERAL MOTORS 0.0558 0.0286 0.0347 0.0141 0.0109 0.0069 GOODYEAR TIRE 0.1431 0.0982 0.0062 0.0353 0.0261 0.0009 HEWLETT - PACKARD 0.0239 0.0052 0.0078 0.0061 0.0039 -0.0061 HOME DEPOT 0.1915 0.0997 0.0415 0.0009 0.0002 -0.0027 HONEYWELL INTL. 0.2066 0.1337 0.0170 0.0153 0.0118 0.0082 INTEL 0.0660 0.0684 0.0253 0.0137 0.0154 0.0035 INTL. BUS. MACH. -0.0092 -0.0497 -0.0085 0.0042 -0.0011 -0.0012 INTERNATIONAL PAPER 0.1904 0.0871 -0.0439 0.0203 0.0165 -0.0021 J.P. MORGAN CHASE & CO. 0.2582 0.1492 0.0615 0.0406 0.0226 0.0050 JOHNSON & JOHNSON 0.0269 -0.0398 -0.0678 0.0070 -0.0012 -0.0071 MCDONALDS 0.0585 0.0266 -0.0383 0.0087 0.0022 -0.0034 MERCK 0.0731 0.0216 -0.0398 0.0001 -0.0023 -0.0162 MICROSOFT 0.1420 0.1192 0.0658 0.0149 0.0058 -0.0007 MINNESOTA MNG. & MNFG. 0.0891 0.0139 -0.0400 0.0103 0.0031 -0.0073 PHILIP MORRIS 0.0434 0.0162 -0.0246 0.0133 0.0132 -0.0026 PROCTER & GAMBLE 0.0366 0.0147 -0.0543 0.0018 -0.0083 -0.0015 SBC COMMUNICATIONS 0.1295 0.0176 -0.0379 0.0090 0.0015 -0.0015 SEARS, ROEBUCK & CO. 0.0872 0.0354 -0.0165 0.0132 0.0126 0.0032 UNITED TECHNOLOGIES 0.2242 0.0832 -0.0632 0.0354 0.0110 -0.0055 WAL - MART STORES 0.1074 0.0582 0.0284 0.0065 0.0018 -0.0081 WALT DISNEY 0.1841 0.0599 0.0165 0.0247 0.0061 -0.0025 Average: out-of-sample 0.1228 0.0686 -0.0124 0.0145 0.0077 -0.0020 Average: in sample 0.1616 0.1043 0.0676 0.0220 0.0147 0.0091
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