Advanced Portfolio Management by Paleologo Giuseppe A.;

Author:Paleologo, Giuseppe A.; [Paleologo, Giuseppe A.]
Language: eng
Format: epub
Publisher: John Wiley & Sons, Incorporated
Published: 2021-08-10T00:00:00+00:00

Figure 6.4 Realized Sharpe for the case of normally distributed signals.

Figure 6.5 Realized Sharpe for the case of buy/sell signals.

Table 6.5 Sharpe Ratio of unit-GMV and unit-dollar volatility scaling, with one-month-ahead forecasts and gaussian and buy-sell signal.

Buy/Sell

Gaussian

Sector GMV vol vol % gain GMV vol % vol gain

consumer 1.29 1.34 3.9 1.61 1.67 3.9

energy 1.35 1.38 2.4 1.63 1.68 2.8

financials 1.14 1.27 11.5 1.47 1.62 10.6

healthcare 1.32 1.36 2.7 1.60 1.64 2.2

industrials 1.26 1.32 4.3 1.60 1.68 5.3

TMT 1.17 1.30 10.3 1.51 1.62 6.9

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