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