Table 8 Summary statistics for Experiment 3 (1990–2024), averaged over 30 random S&P 500 universes
From: Quantum stochastic walks for portfolio optimization: theory and implementation on financial networks
Strategy | CAGR | Volatility | Sharpe | Calmar | Max DD | Turnover |
|---|---|---|---|---|---|---|
QSW | 23.3% ± 3.4% | 20.6% ± 1.9% | 0.979 ± 0.082 | 0.63 ± 0.20 | 38.0% ± 5.0% | 201.1% ± 11.2% |
MPT | 14.6% ± 2.4% | 25.8% ± 9.7% | 0.480 ± 0.114 | 0.28 ± 0.07 | 55.1% ± 9.7% | 333.1% ± 13.8% |
1/N | 17.2% ± 3.5% | 19.0% ± 2.2% | 0.742 ± 0.083 | 0.41 ± 0.19 | 43.8% ± 5.5% | 0.1% ± 0.1% |
S&P 500 | 8.3% ± 0.0% | 18.0% ± 0.0% | 0.368 ± 0.000 | 0.17 ± 0.00 | 47.7% ± 0.0% | N/A |
