Table 5 Sharpe ratio of Bootstrap.

From: A factor pricing model based on double moving average strategy

  

Full sample

In sample

Out of sample

Sharp ratio

True value

Avg.

Medium

Avg.

Medium

Avg.

Medium

Three Factor

0.190

0.210

0.208

0.230

0.222

0.195

0.184

Four Factor

0.264

0.294

0.292

0.327

0.316

0.251

0.239

Six Factor

0.323

0.370

0.367

0.431

0.413

0.291

0.279

Six Factor - Four Factor

0.059

0.076

0.075

0.103

0.097

0.039

0.040

T value

 

58.584

 

10.483

 

35.836

 

Six Factor - Three Factor

0.133

0.160

0.159

0.201

0.191

0.096

0.095

T value

 

80.950

 

36.876

 

20.301

 
  1. In this table, full-sample, in-sample, and out-of-sample’s maximum square Sharpe ratio of three, four, and our six factors are displayed. This table also shows the difference between Liu et al.’s four-factors and our six-factors in maximum square Sharpe ratio to explore whether our six-factors outperform Liu et al.’s four-factors. The maximum square Sharpe ratio of the full-sample does not apply bootstrap method, while in-sample and out-of-sample data use bootstrap to simulate the performance of those factors. Samples are from Jan 2002 to June 2020.
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