Predicting Stock Return with Economic Constraint: Can Interquartile Range Truncate the Outliers?

Table 8

Performance of multivariate strategies evaluated by .

	Original	CT	CDA	IQR	CDA&CT	CT&IQR	CDA&IQR
Mean	0.515	0.424	0.609	1.275	0.535	1.200	1.363
Median	0.396	0.396	0.397	1.143	0.397	1.143	1.152
Trimmed mean	0.474	0.436	0.509	1.235	0.503	1.201	1.260
DMSPE(0.9)	0.539	0.440	0.611	1.296	0.541	1.213	1.362
DMSPE(1)	0.503	0.413	0.608	1.262	0.535	1.189	1.361