Table 1 Mean, standard deviation (STD) and Sharpe ratio of the weekly return \(V(t+1)/V(t)-1\) of the adaptive strategy versus other strategies.

From: Revisiting the use of web search data for stock market movements

Strategy

Mean weekly return

STD of weekly return

Sharpe ratio

Buy and hold

0.13%

2.53%

0.05

Kristoufek (2013)

0.19%

3.17%

0.06

Preis et al. (2013)

0.17%

2.56%

0.07

Heiberger (2015)

0.14%

2.02%

0.07

Adaptive

0.41%

2.54%

0.16

  1. The third column shows the STD of weekly return, which is a measure of variability and therefore risk. The fourth column shows the Sharpe ratio, a measure of portfolio performance, which adjusts returns by penalizing large variance. The adaptive strategy shows a Sharpe ratio that is over two times as large as that of any other strategy.
Back to article page