Table 4.6 continued.
Data set Strategy parameters r re S Se ML # tr. %tr.>0 %d > 0 SDR CETECO [ SR: 250, 0.025 0, 0, 0.000 ] 0.1341 1.4806 0.0182 0.0661 -0.4751 3 1.000 1.000 NA CSM [ SR: 200, 0.000, 0, 50, 0.000 ] 0.1871 0.0238 0.0321 0.0067 -0.3105 18 0.833 0.873 0.8999 DAF [ SR: 20, 0.050, 0, 0, 0.000 ] 0.0874 6.5818 -0.0002 0.0825 -0.5823 9 0.778 0.782 3.8140 REED ELSEVIER [ FR: 0.140, 0, 50 ] 0.2264 0.0290 0.0307 0.0047 -0.5967 45 0.756 0.914 0.8124 FORTIS [ MA: 2, 100, 0.000, 0, 50, 0.000] 0.1978 0.0441 0.0293 0.0102 -0.5023 86 0.733 0.846 0.9443 GETRONICS [ SR: 50, 0.050, 0, 0, 0.000 ] 0.3134 0.1997 0.0355 0.0297 -0.6535 10 0.900 0.982 0.6250 GUCCI [ FR: 0.200, 0, 50, ] 0.3952 0.2364 0.0459 0.0329 -0.2980 19 0.789 0.667 1.3484 ING [ MA: 25, 100, 0.000, 0, 0, 0.100] 0.4013 0.1408 0.0574 0.0219 -0.4027 48 0.583 0.774 0.8523 KON. PTT NED. [ FR: 0.050, 0, 50 ] 0.4075 0.0608 0.0763 0.0071 -0.1439 19 0.789 0.889 1.1433 PAKHOED [ MA: 10, 25, 0.000, 0, 50, 0.000] 0.2516 0.0883 0.0355 0.0170 -0.4661 116 0.681 0.811 1.0157 POLYGRAM [ FR: 0.050, 0, 25 ] 0.3190 0.1158 0.0415 0.0137 -0.3669 98 0.561 0.604 0.9687 ROBECO [ SR: 25, 0.025, 0, 0, 0.000 ] 0.1686 0.0622 0.0435 0.0264 -0.3793 7 0.857 0.968 1.0651 TPG [ FR: 0.035, 0, 50 ] 0.1581 0.1742 0.0202 0.0302 -0.3420 25 0.680 0.838 1.2569 VENDEX KBB [ FR: 0.400, 2, 0 ] 0.4458 0.2814 0.0536 0.0389 -0.4861 3 1.000 1.000 NA WOLTERS KLUWER [ MA: 1, 200 , 0.000, 0, 5, 0.000] 0.2448 0.0292 0.0372 0.0072 -0.3897 106 0.453 0.856 0.5689
Table 4.7: Performance best strategy in excess of performance buy-and-hold. Panel A shows the mean return of the best strategy, selected by the mean return criterion after implementing 0, 0.10, 0.25, 0.50, 0.75 and 1% costs per trade, in excess of the mean return of the buy-and-hold benchmark for each data series listed in the first column. Panel B shows the Sharpe ratio of the best strategy, selected by the Sharpe ratio criterion after implementing 0, 0.10, 0.25, 0.50, 0.75 and 1% costs per trade, in excess of the Sharpe ratio of the buy-and-hold benchmark for each data series listed in the first column.
Panel A Panel B selection criterion Mean return Sharpe ratio Data set 0% 0.10% 0.25% 0.50% 0.75% 1% 0% 0.10% 0.25% 0.50% 0.75% 1% AEX 0.1323 0.0943 0.0923 0.0889 0.0856 0.0822 0.0308 0.0216 0.0199 0.0180 0.0172 0.0164 ABN 0.2336 0.1988 0.1764 0.1686 0.1608 0.1530 0.0527 0.0504 0.0492 0.0471 0.0451 0.0430 AMRO 0.2992 0.2289 0.2118 0.2003 0.1889 0.1776 0.0550 0.0464 0.0451 0.0429 0.0406 0.0384 ABN AMRO 0.2473 0.1042 0.0828 0.0725 0.0695 0.0666 0.0307 0.0166 0.0136 0.0130 0.0124 0.0118 AEGON 0.2808 0.1117 0.0891 0.0865 0.0840 0.0814 0.0334 0.0147 0.0146 0.0144 0.0143 0.0141 AHOLD 0.1990 0.1256 0.1129 0.0920 0.0803 0.0760 0.0239 0.0185 0.0163 0.0125 0.0096 0.0074 AKZO NOBEL 0.3908 0.2251 0.1196 0.1123 0.1065 0.1008 0.0541 0.0346 0.0177 0.0144 0.0129 0.0114 ASML 0.6965 0.6826 0.6620 0.6281 0.5948 0.5621 0.0481 0.0473 0.0462 0.0442 0.0423 0.0403 BAAN 1.2641 1.2199 1.1679 1.0865 1.0538 1.0215 0.0923 0.0912 0.0897 0.0871 0.0844 0.0818
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