Econometric Modeling to Measure the Efficiency of Sharpe’s Ratio with Strong Autocorrelation Portfolios

Table 3

Descriptive statistics for 446 stocks for the periods of 2010/01–2013/12 and 2014/01–2016/12.

	2010/01–2013/12			2014/01–2016/12
	Mean	Median	Std. dev.	Mean	Median	Std. dev.
Mean value (%)	0.0698	0.0676	1.7710	0.0426	0.0648	1.5468
Std. deviation (%)	0.0414	0.0464	0.5376	0.0416	0.0541	0.4677
Skewness	0.3582	−0.1290	0.8239	−0.1080	−0.4541	1.6005
Kurtosis	4.6015	4.6747	3.8367	5.9437	4.6547	6.7675