Table 5 The average risk of the genetic algorithm for various portfolios.
Metrics | Sample without REIT | With REIT (no sampling) | Comparative difference | Inclusive of REIT (with replacement) | Comparative difference | Including real estate (w/o replacement) | Comparative difference |
|---|---|---|---|---|---|---|---|
Mean (%) | 0.93 | 0.89 | −4.27 | 0.89 | −4.42 | 0.89 | −4.44 |
Standard deviation (%) | 0.07 | 0.10 | 43.97 | 0.10 | 44.56 | 0.10 | 45.38 |
Downside deviation (%) | 0.06 | 0.09 | 45.48 | 0.09 | 45.35 | 0.09 | 46.01 |
Max drawdown | 0.2434 | 0.4249 | 74.57% | 0.3671 | 50.80% | 0.3683 | 51.30% |
Min−max range (%) | 0.25 | 0.47 | 88.11 | 0.39 | 54.49 | 0.39 | 54.11 |
Skewness | −1.1555 | −1.1738 | 1.59% | −1.1649 | 0.82% | −1.156 | 0.05% |
Kurtosis | 3.4051 | 3.3498 | −1.62% | 3.4161 | 0.32% | 3.3745 | −0.90% |
