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

Table 4

Descriptive statistics for 446 stocks for the periods of 2017/01–2019/12 and 2020/01–2021/06.

	2017/01–2019/12			2020/01–2021/06
	Mean	Median	Std. dev.	Mean	Median	Std. dev.
Mean value (%)	0.0484	0.0985	1.5325	−0.1157	0.0022	4.1880
Std. deviation (%)	0.0515	0.0540	0.4307	0.2080	0.2503	1.3405
Skewness	−0.4499	−0.0680	1.1895	−0.5646	−0.6592	1.7932
Kurtosis	3.5612	4.3644	5.0714	3.6895	4.2623	7.6512