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