Descriptive statistics of short hedged put excess PNL | ||||
| B & S | OH-B & S | OH-GM4 | OH-HMM4 |
Mean | 1.37 | 0.69 | 0.70 | 1.96 |
Volatility | 3.46 | 3.80 | 3.82 | 2.57 |
Skewness | −2.16 | −3.17 | −3.18 | −0.64 |
Kurtosis | 13.35 | 20.89 | 21.08 | 7.69 |
Median | 0.23 | 0.23 | 0.22 | 0.21 |
Max. drawdown | 6.52 | 9.04 | 9.19 | 4.63 |
VaR 99% | 4.11 | 4.63 | 4.74 | 2.57 |
Sharpe ratio | 0.11 | 0.05 | 0.05 | 0.22 |
Omega ratio | 0.67 | 0.57 | 0.57 | 0.89 |