Names | Class | Before the DCT | After the DCT | ||||
Mean | Std dev | Sharpe | Mean | Std dev | Sharpe | ||
SSE Energy Index | HC | −0.0003 | 0.0139 | −0.0701 | 0.0011 | 0.0204*** | 0.1410 |
CNI Oil & Gas Index | HC | −0.0006 | 0.0125 | −0.1134 | 0.0010 | 0.0174*** | 0.1383 |
CSI All Share Electric Utilities Index | HC | −0.0004 | 0.0111 | −0.0811 | 0.0017 | 0.0267*** | 0.1533 |
CSI Coal & Consumable Fuels Index | HC | −0.0002 | 0.0181 | −0.0400 | 0.0011 | 0.0218*** | 0.1945 |
CSI Steel Index | HC | −0.0004 | 0.0166 | −0.0662 | 0.0011 | 0.0165*** | 0.1369 |
CSI China Mainland Low Carbon Economy Index | LC | 0.0001 | 0.0146 | −0.0007 | 0.0027* | 0.0219*** | 0.3378 |
CSI New Energy Index | LC | 4.00E−05 | 0.0171 | −0.0062 | 0.0031* | 0.0247*** | 0.3674 |
CNI ESG 300 Index | LC | 0.0003 | 0.0133 | 0.0272 | 0.0003 | 0.0122 | 0.0421 |
CSI Atmospheric Protection Index | LC | −0.0006 | 0.0178 | −0.0949 | 0.0003 | 0.0176* | 0.0267 |
CSI Environmental Protection Industry Index | LC | −0.0002 | 0.0157 | −0.0498 | 0.0024** | 0.0206*** | 0.3112 |