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

Table 7

Parameter estimate of robustness function for each performance measure (t-statistic with its significance in parenthesis).

	Model 4	Model 5	Model 6	Model 7	Model 8	Model 9
	Omega	Sortino	Kappa	Upside	Calmar	Sterling
(−6.18)	(−15.57)	(−7.64)	(−0.11)	(−17.52)	(−18.11)
				-0.0152
	(−7.23)	(−7.20)	(−3.51)	(−0.25)	(−10.78)	(−10.62)
				−0.000796	−0.000216	−0.000335
	(−2.11)	(−2.48)	(−2.80)	(−1.39)	(−0.90)	(−1.14)
(−15.85)	(−16.39)	(−15.29)	(4.53)	(−20.01)	(−18.83)
				2.704
	(3.97)	(4.76)	(8.01)	(1.46)	(−6.74)	(−6.02)
	−0.00000989	0.00000454	−0.00000925	0.000172
	(−1.48)	(0.99)	(−0.64)	(1.11)	(2.40)	(2.03)
				−4.455
	(−4.39)	(−5.64)	(−6.43)	(−1.32)	(−4.37)	(−3.52)
(6.93)	(7.14)	(9.59)	(3.53)	(−5.24)	(−4.35)
	−0.000000361		0.000000921	0.00000642		0.0000140
	(−0.47)	(2.05)	(0.57)	(0.30)	(2.07)	(1.80)
C
	(32659.04)	(38613.33)	(13124.76)	(876.80)	(2305.44)	(1753.71)
	2376	2376	2376	2376	2376	2376
	0.769	0.760	0.801	0.331	0.862	0.870

.