Descriptive statistics of short hedged call excess PNL | ||||
| B & S | OH-B & S | OH-GM4 | OH-HMM4 |
Mean | 1.37 | 0.76 | 0.76 | 1.97 |
Volatility | 3.47 | 3.76 | 3.79 | 2.58 |
Skewness | −2.18 | −3.20 | −3.20 | −0.67 |
Kurtosis | 13.40 | 21.64 | 21.66 | 7.71 |
Median | 0.22 | 0.23 | 0.22 | 0.21 |
Max drawdown | 6.38 | 8.88 | 9.06 | 4.62 |
VaR 99% | 4.14 | 4.44 | 4.44 | 2.55 |
Sharpe ratio | 0.11 | 0.06 | 0.06 | 0.22 |
Omega ratio | 0.67 | 0.58 | 0.57 | 0.89 |