Strategy

No transaction costs

Transaction costs of 0.1%

Transaction costs of 0.5%

Buy and hold

10.7%

GARCH

11.5%/96.7%

11.3%/97.7%

11.1%/95.8%

GARCHX

11.9%/96.6%

11.5%/96%

11.4%/97.4%

ARX

11.1%/97.3%

11.1%/96.5%

11.2%/97%

GARCH (short)

12.3%/65.9%

13.1%/73.2%

14.2%/80.3%

GARCHX (short)

13%/72.7%

12.8%/69.9%

14.5%/82%

ARX (short)

11.5%/58.3%

11.8%/60.2%

13.5%/74.6%