θ è | 0.1 | 0.2 | 0.3 | 0.4 | 0.5 | 0.6 | 0.7 | 0.8 | 0.9 |
Skewness | 0.0823 | 0.0387 | 0.0270 | 0.0236 | 0.0231 | 0.0235 | 0.0240 | 0.0244 | 0.0245 |
Kurtosis | −0.0015 | −0.0115 | −0.0098 | −0.0054 | −0.0005 | 0.0044 | 0.0089 | 0.0131 | 0.0167 |
Sharpe Ratio | 0.0823 | 0.0758 | 0.0711 | 0.0673 | 0.0639 | 0.0607 | 0.0578 | 0.0550 | 0.0523 |
Alpha | 0.5411 | 0.4020 | 0.3560 | 0.3363 | 0.3257 | 0.3186 | 0.3124 | 0.3061 | 0.2995 |
Treynor’s ratio | 0.0493 | 0.0474 | 0.0440 | 0.0405 | 0.0372 | 0.0341 | 0.0312 | 0.0285 | 0.0261 |