A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion

Table 4

Statistical t-test of the performance achieved by MAMR.

Statistics	NYSE(O)	NYSE(N)	SP500	DJIA	TSE	MSCI
Size	5651	6431	1276	507	1259	1043
MER (MAMR)	0.0075	0.0038	0.0028	0.0024	0.0051	0.0029
MER (Market)	0.0005	0.0005	0.0003	−0.0004	0.0004	0.00003
Winning ratio (%)	56.73	53.90	53.33	54.72	54.01	59.06
Alpha	0.0069	0.0032	0.0024	0.0029	0.0045	0.0029
Beta	1.274	1.1556	1.258	1.251	1.6459	1.184
t-statistics	15.35	7.572	3.023	2.482	2.745	5.53
value	0.0000	0.0000	0.0000	0.0000	0.0031	0.0000

MER denotes “mean excess return.”