Table 2 Statistical description of different filters for SCL factors in different term structures.
From: A factor pricing model based on double moving average strategy
Term structures | (1,3) | (1,6) | (1,9) | (1,12) | (1,18) | (1,24) |
|---|---|---|---|---|---|---|
Panel A. No filters | ||||||
Avg. | 1.173 | 1.144 | 0.965 | 0.920 | 0.912 | 0.901 |
Std | 4.232 | 4.524 | 4.553 | 4.528 | 4.493 | 4.611 |
T value | 4.129 | 3.768 | 3.158 | 3.026 | 3.024 | 2.910 |
Sharp ratio | 0.277 | 0.253 | 0.212 | 0.203 | 0.203 | 0.195 |
Skewness | 0.535 | 0.544 | 0.543 | 0.494 | 0.457 | 0.441 |
Kurtosis | 5.804 | 5.200 | 4.563 | 4.034 | 3.796 | 3.564 |
Panel B. Size filter | ||||||
Avg. | 0.975 | 0.807 | 0.718 | 0.592 | 0.612 | 0.639 |
Std | 4.284 | 4.596 | 4.670 | 4.651 | 4.570 | 4.574 |
T value | 3.391 | 2.616 | 2.290 | 1.897 | 1.995 | 2.080 |
Sharp ratio | 0.228 | 0.176 | 0.154 | 0.127 | 0.134 | 0.140 |
Skewness | 0.270 | 0.321 | 0.428 | 0.398 | 0.344 | 0.328 |
Kurtosis | 5.560 | 4.983 | 4.235 | 3.933 | 3.646 | 3.341 |
Panel C. Price filter | ||||||
Avg. | 0.869 | 0.680 | 0.537 | 0.385 | 0.464 | 0.409 |
Std | 5.728 | 6.025 | 5.976 | 5.894 | 5.812 | 5.799 |
T value | 2.251 | 1.667 | 1.328 | 0.964 | 1.185 | 1.046 |
Sharp ratio | 0.152 | 0.113 | 0.090 | 0.065 | 0.080 | 0.070 |
Skewness | −1.741 | −1.409 | −1.354 | −1.281 | −1.262 | −1.114 |
Kurtosis | 15.764 | 12.598 | 11.951 | 10.678 | 9.951 | 8.978 |
