Table 5.6: 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 index 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 index listed in the first column. The row labeled ``Average 3'' at the bottom of the table shows for trading case 3 the average over the results as shown in the table for each transaction costs case. The rows labeled ``Average 1'' and ``Average 2'' show the average over the results for the two other trading cases 1 and 2.
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% World MSCI 0.3980 0.2201 0.0604 0.0562 0.0519 0.0500 0.1349 0.0779 0.0234 0.0229 0.0223 0.0218 Argentina Merval 0.5789 0.5673 0.5501 0.5218 0.4939 0.4665 0.0648 0.0638 0.0623 0.0597 0.0572 0.0546 Brazil Bovespa 0.5036 0.4496 0.4257 0.3867 0.3487 0.3132 0.0558 0.0541 0.0517 0.0475 0.0434 0.0393 Canada TSX Composite 0.3347 0.1817 0.1049 0.0494 0.0474 0.0453 0.0894 0.0518 0.0342 0.0236 0.0231 0.0226 Chile IPSA 0.8065 0.5672 0.3680 0.2518 0.2085 0.1666 0.1396 0.1074 0.0782 0.0619 0.0527 0.0435 Mexico IPC 0.9829 0.7003 0.4629 0.3220 0.2928 0.2643 0.1004 0.0824 0.0585 0.0451 0.0413 0.0375 Peru Lima General 1.0112 0.7629 0.5709 0.3279 0.2788 0.2504 0.1281 0.1023 0.0793 0.0535 0.0486 0.0436 US S&P500 0.1156 0.0543 0.0529 0.0506 0.0484 0.0461 0.0284 0.0141 0.0139 0.0136 0.0133 0.0130 US DJIA 0.0791 0.0394 0.0321 0.0313 0.0306 0.0298 0.0163 0.0119 0.0117 0.0114 0.0111 0.0108 US Nasdaq100 0.2543 0.1076 0.0920 0.0869 0.0859 0.0850 0.0362 0.0215 0.0213 0.0211 0.0208 0.0206 US NYSE Composite 0.1486 0.0386 0.0373 0.0350 0.0327 0.0305 0.0410 0.0125 0.0120 0.0111 0.0103 0.0094 US Russel2000 0.4423 0.2773 0.1261 0.0916 0.0721 0.0602 0.1134 0.0736 0.0390 0.0306 0.0255 0.0224 US Wilshire5000 0.2010 0.0813 0.0406 0.0371 0.0363 0.0356 0.0550 0.0211 0.0167 0.0149 0.0130 0.0121 Venezuela Industrial 1.3313 0.9638 0.5696 0.1866 0.1059 0.1063 0.0963 0.0768 0.0523 0.0204 0.0129 0.0129 Australia ASX All Ordinaries 0.2470 0.1393 0.1257 0.1032 0.0811 0.0594 0.0576 0.0408 0.0338 0.0264 0.0239 0.0236 China Shanghai Composite 0.3764 0.3190 0.2478 0.1440 0.1258 0.1078 0.0389 0.0333 0.0256 0.0186 0.0160 0.0134 Hong Kong Hang Seng 0.5112 0.3756 0.2112 0.1142 0.0934 0.0734 0.0788 0.0602 0.0358 0.0250 0.0211 0.0188 India BSE30 0.7110 0.4822 0.2099 0.1845 0.1658 0.1500 0.0950 0.0706 0.0390 0.0362 0.0334 0.0306 Indonesia Jakarta Composite 1.5135 1.2757 0.9602 0.6410 0.5394 0.4962 0.1109 0.0993 0.0819 0.0754 0.0715 0.0675 Japan Nikkei225 0.1776 0.1351 0.1246 0.1229 0.1211 0.1194 0.0350 0.0333 0.0332 0.0331 0.0329 0.0327 Malaysia KLSE Composite 0.8537 0.6284 0.3821 0.3049 0.2774 0.2682 0.1016 0.0799 0.0602 0.0549 0.0497 0.0460 New Zealand NZSE30 0.1535 0.1052 0.1036 0.1020 0.1004 0.0988 0.0397 0.0339 0.0336 0.0330 0.0324 0.0319 Pakistan Karachi100 0.6473 0.4944 0.3967 0.3145 0.2778 0.2420 0.0874 0.0741 0.0619 0.0533 0.0481 0.0428 Philippines PSE Composite 1.0536 0.7989 0.5180 0.3372 0.3025 0.2687 0.1214 0.0994 0.0723 0.0586 0.0533 0.0481 Singapore Straits Times 0.6537 0.3933 0.2089 0.1779 0.1621 0.1465 0.1020 0.0719 0.0445 0.0394 0.0361 0.0328 South-Korea Kospi200 0.9385 0.6940 0.4403 0.3241 0.3092 0.3064 0.0786 0.0630 0.0528 0.0465 0.0461 0.0457 Sri Lanka CSE All Share 0.7839 0.6097 0.4158 0.2913 0.2321 0.2111 0.1766 0.1469 0.1102 0.0844 0.0735 0.0685
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