Table 7 Performance evaluation of covariance estimation methods using financial metrics. Daily data benchmark test simulation results.
From: Application of regularized covariance matrices in logistic regression and portfolio optimization
Evaluation index | Estimation methods | ||||
|---|---|---|---|---|---|
Sample covariance | Ledoit-Wolf | Aggregation | ASRM | Nonlinear-shrinkage | |
Total revenue | \(-9.3 \times 10^{-8}\) | \(8.3 \times 10^{-3}\) | \(7.7 \times 10^{-3}\) | \(7.5 \times 10^{-3}\) | \(-0.2 \times 10^{0}\) |
Portfolio risk (S.D.) | \(7.6 \times 10^{-9}\) | \(3.9 \times 10^{-4}\) | \(3.4 \times 10^{-4}\) | \(3.5 \times 10^{-4}\) | \(4.8 \times 10^{-9}\) |
Sharpe Ratio | \(-12.317\) | 21.321 | 1.739 | 21.183 | \(-41426330.161\) |
Max Drawdown | \(-1.203 \times 10^{-7}\) | \(-0.00435\) | \(-0.0146\) | \(-0.0179\) | \(-0.250\) |
