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