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

Table 6

Parameter estimate of Robustness function (t-statistic with its significance in parenthesis).

	Model 1	Model 2	Model 3
Variable	Robustness	Robustness	Robustness
(−49.17)	(−10.51)	(−8.75)
(7.00)	(−10.36)	(−7.19)
		−0.0000600	−0.000223
	(−2.79)	(−0.38)	(−1.21)
	(−22.32)	(−10.92)
	(−9.99)	(−2.10)
			0.0000680
		(2.01)	(1.57)
		(−3.72)
			2.064
			(1.06)
			0.00000493
			(1.03)
Constant
	(53.04)	(52.99)	(52.95)
	16632	16632	16632
	0.57	0.80	0.80

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