Table 4.14: 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, 0.25 and 0.50% transaction costs cases. 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% 0.25% 0.50% 0.75% 1% 0% 0.10% 0.25% 0.50% 0.75% 1% AEX 0.1076 0.0871 0.0171 -0.0107 -0.0352 -0.0515 0.0314 0.0216 0.0136 0.0013 -0.0108 -0.0047 ABN 0.1972 0.1771 0.1186 0.1383 0.0658 0.0179 0.0266 0.0207 0.0210 0.0116 0.0075 0.0068 AMRO 0.3002 0.1491 0.1741 0.1264 0.0717 0.0558 0.0452 0.0373 0.0309 0.0245 0.0163 0.0117 ABN AMRO 0.2317 0.1750 0.1174 0.0595 -0.0095 -0.0285 0.0165 0.0115 -0.0021 -0.0047 -0.0017 -0.0066 AEGON 0.2579 0.2387 0.1866 0.1315 0.1033 0.0975 0.0303 0.0170 0.0076 0.0049 0.0016 -0.0005 AHOLD 0.2115 0.1758 0.1583 0.1218 0.0990 0.1005 0.0187 0.0152 0.0122 0.0000 0.0018 -0.0074 AKZO NOBEL 0.4165 0.3126 0.1861 0.0107 -0.0376 -0.0479 0.0455 0.0356 0.0227 0.0095 -0.0008 -0.0115 ASML 0.0997 0.2644 0.3582 0.5279 0.2838 0.3105 -0.0009 0.0051 0.0026 -0.0116 -0.0038 -0.0006 BAAN 0.2921 0.3498 0.4187 0.2578 0.2401 0.1432 0.0582 0.0550 0.0505 0.0423 0.0377 0.0399 BUHRMANN 0.2906 0.2232 0.1459 0.0737 -0.0374 -0.0020 0.0263 0.0145 0.0074 0.0030 0.0029 -0.0077 CETECO 0.5496 0.3833 0.3638 0.3601 0.2866 0.2533 0.0539 0.0443 0.0380 0.0355 0.0304 0.0304 CMG 1.2489 1.1705 1.0928 0.7014 0.4715 0.3412 0.0818 0.0724 0.0628 0.0407 0.0179 0.0312 CORUS 1.4040 1.2349 1.0419 0.8183 0.6792 0.5440 0.0039 -0.0023 -0.0090 -0.0140 -0.0182 -0.0053 CSM 0.0723 0.0287 -0.0231 -0.0577 -0.0822 -0.0948 0.0085 0.0004 -0.0029 -0.0076 -0.0175 -0.0218 DAF 0.2506 0.2016 0.1937 0.1595 0.1768 0.1745 0.0775 0.0879 0.0873 0.0831 0.0861 0.0785 DSM 0.2766 0.1723 0.1690 0.0134 0.0024 -0.0069 0.0370 0.0221 0.0029 -0.0103 -0.0088 -0.0057 REED ELSEVIER 0.1636 0.1153 0.0256 -0.0815 -0.0725 -0.0743 0.0021 0.0045 -0.0009 -0.0160 -0.0200 -0.0261 FOKKER 0.1708 0.1059 0.0537 -0.0234 -0.0495 -0.0200 0.0082 0.0082 0.0082 0.0083 0.0083 0.0083 FORTIS 0.1929 0.0948 0.0509 -0.0469 -0.0914 -0.1267 0.0163 0.0071 -0.0007 -0.0117 -0.0181 -0.0264 GETRONICS 0.3375 0.2511 0.1869 0.1444 -0.0070 -0.0373 0.0388 0.0322 0.0251 0.0226 0.0229 0.0177 GIST BROCADES 0.0856 0.0508 0.0424 -0.0051 0.0089 -0.0695 0.0225 0.0190 0.0131 0.0029 -0.0036 0.0024 GUCCI 0.3182 0.2343 0.2869 0.4464 0.2923 0.2365 0.0373 0.0337 0.0315 0.0289 0.0158 0.0209 HAGEMEYER 0.2593 0.1657 0.0707 0.0353 0.0128 0.0056 0.0348 0.0258 0.0036 -0.0039 -0.0086 -0.0129 HEINEKEN 0.1277 0.0950 0.0196 -0.0685 -0.1205 -0.1161 0.0326 0.0044 -0.0077 -0.0259 -0.0299 -0.0284 HOOGOVENS 0.4009 0.3061 0.2213 0.1763 0.0450 -0.0246 0.0440 0.0313 0.0251 0.0133 0.0018 -0.0058 ING 0.2090 0.1260 0.1028 -0.0142 -0.0632 -0.0732 0.0220 0.0137 0.0009 -0.0101 -0.0151 -0.0278 KLM 0.1803 0.1128 0.0896 0.0630 0.0024 0.0114 0.0319 0.0180 0.0130 0.0071 0.0036 0.0001
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