Table 8 Open in new tab Performance of...

Table 8

Performance of the trading strategy with costs

No	$ζ$	$y_{t}$ (%)	$σ_{y_{t}}$ (%)	SR
1	0.0208	17.1	63.2	0.27
2	0.0280	57.0	81.5	0.70
3	0.0327	116.7	176.6	0.66
4	0.0369	44.3	71.8	0.62
5	0.0414	63.4	76.8	0.83
6	0.0470	58.3	58.4	1.00
7	0.0545	99.2	87.5	1.13
8	0.0653	67.6	60.7	1.11
9	0.0831	116.2	86.3	1.35
10	0.1388	84.8	52.3	1.62

No	$ζ$	$y_{t}$ (%)	$σ_{y_{t}}$ (%)	SR
1	0.0208	17.1	63.2	0.27
2	0.0280	57.0	81.5	0.70
3	0.0327	116.7	176.6	0.66
4	0.0369	44.3	71.8	0.62
5	0.0414	63.4	76.8	0.83
6	0.0470	58.3	58.4	1.00
7	0.0545	99.2	87.5	1.13
8	0.0653	67.6	60.7	1.11
9	0.0831	116.2	86.3	1.35
10	0.1388	84.8	52.3	1.62

Notes: This table presents the 10 stock portfolios’ equal-weighted returns, standard deviations and SRs of the trading strategy with transaction costs, including a fixed commission fee and liquidity costs represented by the bid–ask spreads.

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