| energy | agriculture | metals | S & P 500 | AVERAGE LOG RETURN | MINIMUM VARIANCE RETURN |
Mean | −0.002101 | −0.000255 | 0.001450 | 0.001303 | 9.93E−05 | 0.000919 |
Median | 0.000640 | −0.001626 | 0.001679 | 0.004153 | 0.001656 | 0.001250 |
Maximum | 0.138826 | 0.086635 | 0.119094 | 0.082683 | 0.071553 | 0.080197 |
Minimum | −0.263357 | −0.148017 | −0.136716 | −0.197368 | −0.115617 | −0.164595 |
Std. Dev. | 0.046400 | 0.025393 | 0.030054 | 0.023686 | 0.023774 | 0.019695 |
Skewness | −0.603973 | −0.193069 | −0.286449 | −1.721675 | −0.573003 | −1.299906 |
Kurtosis | 5.426908 | 6.274888 | 5.130094 | 14.47020 | 5.508171 | 14.09615 |
Jarque-Bera test | 160.1473 | 236.9625 | 106.0276 | 3125.405 | 165.7093 | 2830.380 |
Probability | (0.000000) | (0.000000) | (0.000000) | (0.000000) | (0.000000) | (0.000000) |
Sum | −1.098571 | −0.133614 | 0.758602 | 0.681237 | 0.051914 | 0.480417 |
Observations | 523 | 523 | 523 | 523 | 523 | 523 |
KPSS test | 0.038269 | 0.044544 | 0.077585 | 0.068780 | 0.045291 | 0.058032 |
t-test on the mean (2-tailed p-value) | −1.035275 (0.3010) | −0.230080 (0.8181) | 1.103723 (0.2702) | 1.257664 (0.2091) | 0.095482 (0.9240) | 1.066643 (0.2866) |
p-value of the maximum LR F-statistic | 0.2754 | 0.3580 | 0.0639 | 0.1104 | 0.2993 | 0.6098 |
Bai-Perron sequential break test @ 5% | No breaks | No breaks | No breaks | No breaks | No breaks | No breaks |