SUPPLEMENTARY DATA AND PORTFOLIO STATISTICS 191
Table C.4 Some descriptive statistics on the DJIA dataset
Stat. 1 2 345678
Cum 0.7085 0.5378 1.1414 1.1884 0.6870 0.7389 0.5449 1.1572
Mean 0.9997 0.9991 1.0004 1.0007 0.9996 0.9997 0.9993 1.0004
Std 0.0263 0.0260 0.0174 0.0269 0.0278 0.0256 0.0314 0.0161
Ac −0.0315 0.0094 0.0230 −0.0691 0.0270 −0.0961 −0.0479 −0.0895
9 10111213141516
Cum 0.5459 0.4287 0.7718 0.5806 0.6904 0.5323 0.5034 0.3608
Mean 0.9991 0.9988 0.9996 0.9992 0.9996 0.9992 0.9988 0.9990
Std 0.0256 0.0291 0.0166 0.0248 0.0268 0.0309 0.0198 0.0398
Ac 0.0597 0.0011 0.0280 −0.0360 −0.0066 −0.0033 0.0240 0.0041
17 18 19 20 21 22 23 24
Cum 1.0191 0.6048 1.0863 0.8560 0.9178 0.9361 0.9787 0.8797
Mean 1.0003 0.9996 1.0003 1.0001 1.0001 1.0002 1.0002 1.0000
Std 0.0223 0.0357 0.0180 0.0264 0.0212 0.0249 0.0208 0.0202
Ac −0.0506 0.0208 −0.0622 −0.0963 −0.0658 0.0257 −0.0330 −0.0578
25 26 27 28 29 30
Cum 0.5947 0.5197 0.6710 0.8309 0.9872 0.9311
Mean 0.9994 0.9995 0.9994 0.9998 1.0003 1.0001
Std 0.0281 0.0398 0.0197 0.0179 0.0238 0.0209
Ac 0.0426 −0.0154 0.0873 −0.0434 0.0335 0.0288
Note: The top five of each statistics are highlighted. Each column denotes the index of an asset.
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