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