C. Subsamples
C.1 Bull-‐ and bear markets
Table A1 reports the descriptive statistics for all trading strategies for subsamples for bull-‐ and bear markets for private investors. Table
A2 reports descriptive statistics for all trading strategies for the same subsamples for institutional investors.
Table A1
Descriptive statistics for subsamples for bull-‐ and bear markets for private investors
Descriptive statistics of each trading strategy is divided in subsamples for bull-‐ and bear markets. Panel A, B, C, D, E and F show the results for Brazil, China, India, Russia, the Netherlands and the United States respectively. Buy-‐and-‐Hold represents the return statistics for the Buy-‐and-‐Hold strategy, MACD for the Moving Average Convergence Divergence Indicator, Momentum for the momentum indicator, RSI for the Relative Strength Index, and the Stochastic for the stochastic oscillator. The mean, standard deviation and Sharpe ratio and Sortino ratio are annualized. The maximum and minimum are the maximum and minimum daily returns observed in the sample. Numbers between brackets are negative values. The last row in each panel shows whether hypothesis 3 and 4 are accepted or rejected, a blank indicates that there is no significant evidence to reject the null hypothesis.
Buy-‐and-‐Hold MACD Momentum RSI Stochastic
Bull Bear Bull Bear Bull Bear Bull Bear Bull Bear
Panel A: Brazil
Sharpe Ratio 1.50 (0.86) 0.05 (1.77) 0.31 (2.82) 2.86 (0.49) 1.30 (1.06) Sortino Ratio 2.94 (1.97) 0.12 (5.27) 0.67 (9.21) 15.52 (1.28) 4.78 (3.14)
Hypothesis -‐ -‐ Reject Reject Accept Accept
Skewness 0.58 (0.45) (0.17) (0.35) 0.73 (0.55) 0.39 (0.36) 0.35 (0.38) Sharpe Ratio 1.70 (1.08) 0.00 (1.32) 0.20 (2.37) 2.37 (0.95) 1.54 (1.43) Sortino Ratio 3.34 (2.46) 0.01 (4.14) 0.44 (7.92) 8.79 (2.30) 5.99 (4.20)
Hypothesis -‐ -‐ Reject Reject
Panel D: Russia Maximum 0.16 0.20 0.16 0.16 0.16 0.11 0.10 0.20 0.16 0.20 Minimum (0.18) (0.21) (0.18) (0.22) (0.19) (0.16) (0.08) (0.21) (0.12) (0.21) Mean 0.56 (0.72) 0.47 (0.80) 0.43 (0.72) 0.94* (0.73) 0.54 (0.83) Standard Deviation 0.32 0.51 0.32 0.49 0.31 0.44 0.29 0.52 0.34 0.54 Kurtosis 9.20 9.15 10.23 8.62 10.22 6.87 5.31 8.56 8.40 8.65 Skewness 0.02 (0.38) (0.06) (0.24) (0.07) (0.36) 0.05 (0.28) 0.39 (0.17) Sharpe Ratio 1.75 (1.41) 1.46 (1.62) 1.35 (1.64) 3.23 (1.41) 1.57 (1.55) Sortino Ratio 3.46 (3.02) 3.85 (4.90) 3.17 (5.70) 13.70 (3.26) 5.63 (4.08) Hypothesis -‐ -‐ Accept
Panel E: The Netherlands
Kurtosis 5.68 6.08 4.85 4.84 4.85 4.97 4.32 6.14 5.83 6.16 Skewness (0.09) 0.06 (0.22) 0.01 (0.34) 0.01 0.14 0.07 0.12 0.06 Sharpe Ratio 1.56 (1.24) 0.85 (1.01) 0.63 (1.38) 2.84 (0.99) 2.01 (1.59) Sortino Ratio 2.89 (2.99) 2.09 (3.53) 1.33 (5.37) 10.46 (2.52) 7.47 (4.78)
Hypothesis -‐ -‐ Reject Reject Accept
Panel F: The United States
Maximum 0.05 0.11 0.05 0.07 0.05 0.07 0.03 0.11 0.05 0.11 Minimum (0.07) (0.09) (0.04) (0.09) (0.04) (0.05) (0.03) (0.09) (0.04) (0.09) Mean 0.21 (0.31) 0.03*** (0.42) 0.01*** (0.46) 0.57*** (0.15) 0.31 (0.36) Standard Deviation 0.13 0.27 0.12 0.25 0.12 0.23 0.14 0.28 0.14 0.30 Kurtosis 6.13 7.49 5.66 5.86 5.36 5.06 4.08 7.45 4.83 7.49 Skewness (0.15) (0.01) (0.05) (0.17) (0.20) 0.03 0.22 (0.01) (0.01) 0.02 Sharpe Ratio 1.63 (1.14) 0.23 (1.68) 0.12 (2.05) 4.02 (0.53) 2.22 (1.21) Sortino Ratio 2.92 (3.04) 0.55 (6.42) 0.23 (8.52) 21.34 (1.60) 8.05 (4.16)
Hypothesis -‐ -‐ Reject Reject Accept
*, **, and *** indicate significant results at the 10%, 5% and 1% significance level of a two-‐sided t-‐test, when testing for equality of means.
Table A2
Descriptive statistics for subsamples for bull-‐ and bear markets for institutional investors
Average Convergence Divergence Indicator, Momentum for the momentum indicator, RSI for the Relative Strength Index, and the Stochastic for the stochastic oscillator. The mean, standard deviation and Sharpe ratio and Sortino ratio are annualized. The maximum and minimum are the maximum and minimum daily returns observed in the sample. Numbers between brackets are negative values. The last row in each panel shows whether hypothesis 3 and 4 are accepted or rejected, a blank indicates that there is no significant evidence to reject the null hypothesis.
Buy-‐and-‐Hold MACD Momentum RSI Stochastic
Bull Bear Bull Bear Bull Bear Bull Bear Bull Bear
Panel A: Brazil
Maximum 0.09 0.29 0.09 0.17 0.08 0.17 0.09 0.29 0.09 0.29 Minimum (0.09) (0.17) (0.09) (0.29) (0.10) (0.29) (0.09) (0.17) (0.08) (0.17) Mean 0.41 (0.37) (0.21)*** (0.13) (0.09)*** (0.17) (0.08)*** 0.03* (0.13)*** (0.20) Standard Deviation 0.27 0.43 0.28 0.44 0.28 0.44 0.28 0.43 0.28 0.43 Kurtosis 5.24 15.71 5.11 14.88 5.21 14.61 5.11 15.42 5.08 15.57 Skewness (0.02) 0.75 (0.12) (0.76) (0.21) (0.70) 0.36 0.91 0.17 1.07 Sharpe Ratio 1.50 (0.86) (0.73) (0.30) (0.31) (0.39) (0.30) 0.06 (0.47) (0.46) Sortino Ratio 2.94 (1.97) (1.29) (0.65) (0.56) (0.87) (0.57) 0.15 (0.86) (1.11)
Hypothesis -‐ -‐ Reject Reject Reject Reject Reject
Kurtosis 18.14 32.77 17.53 30.06 17.26 30.16 18.27 31.81 17.98 31.62 Skewness 0.56 1.91 0.69 0.60 0.33 (0.78) 0.64 2.07 0.84 1.79 Sharpe Ratio 1.38 (1.08) 0.24 0.16 0.19 0.25 (0.60) (0.13) (0.58) (0.42) Sortino Ratio 2.98 (2.25) 0.51 0.35 0.38 0.50 (1.23) (0.30) (1.18) (0.90)
Hypothesis -‐ -‐ Reject Reject Reject Reject Reject Reject Reject
Panel C: India Maximum 0.16 0.08 0.08 0.12 0.16 0.12 0.08 0.12 0.09 0.08 Minimum (0.08) (0.12) (0.16) (0.08) (0.08) (0.08) (0.16) (0.12) (0.16) (0.12) Mean 0.37 (0.32) (0.19)*** 0.11** (0.10)*** 0.03** (0.06)*** (0.14) (0.13)*** (0.18) Standard Deviation 0.22 0.30 0.22 0.30 0.23 0.31 0.22 0.30 0.22 0.30 Kurtosis 12.23 6.51 11.16 6.30 11.24 6.33 12.05 6.55 12.01 6.41 Skewness 0.58 (0.45) (0.61) 0.23 0.46 0.26 (0.40) (0.13) (0.34) (0.32) Sharpe Ratio 1.70 (1.08) (0.84) 0.36 (0.44) 0.09 (0.28) (0.47) (0.60) (0.59) Sortino Ratio 3.34 (2.46) (1.40) 0.93 (0.78) 0.23 (0.49) (1.12) (1.04) (1.39)
Hypothesis -‐ -‐ Reject Reject Reject Reject Reject Reject
Panel D: Russia
Maximum 0.16 0.20 0.16 0.21 0.16 0.21 0.18 0.21 0.18 0.21
Minimum (0.18) (0.21) (0.18) (0.22) (0.19) (0.20) (0.16) (0.21) (0.15) (0.21)
Mean 0.56 (0.72) 0.10*** 0.08*** 0.21*** 0.38*** (0.06)*** (0.52) (0.17)*** (0.34)
Deviation Kurtosis 9.20 9.15 8.83 9.09 9.07 8.95 9.02 9.16 9.03 9.14 Skewness 0.02 (0.38) (0.04) 0.20 (0.06) 0.25 (0.03) (0.14) 0.33 0.07 Sharpe Ratio 1.75 (1.41) 0.31 0.16 0.63 0.74 (0.17) (1.03) (0.53) (0.66) Sortino Ratio 3.46 (3.02) 0.59 0.39 1.18 1.83 (0.31) (2.26) (0.96) (1.51)
Hypothesis -‐ -‐ Reject Reject Reject Reject Reject Reject
Panel E: The Netherlands
Maximum 0.07 0.10 0.05 0.10 0.05 0.10 0.05 0.10 0.07 0.10 Minimum (0.05) (0.10) (0.07) (0.10) (0.07) (0.10) (0.07) (0.10) (0.05) (0.10) Mean 0.25 (0.39) (0.18)*** 0.06*** (0.20)*** 0.03*** 0.00*** (0.19) (0.08)*** (0.30) Standard Deviation 0.16 0.32 0.17 0.32 0.17 0.32 0.16 0.32 0.16 0.32 Kurtosis 5.68 6.08 5.30 5.79 5.19 5.75 5.51 6.02 5.50 5.75 Skewness (0.09) 0.06 (0.17) (0.04) (0.33) (0.03) 0.10 0.06 0.19 (0.04) Sharpe Ratio 1.56 (1.24) (1.06) 0.19 (1.16) 0.09 0.01 (0.61) (0.51) (0.94) Sortino Ratio 2.89 (2.99) (1.74) 0.49 (1.86) 0.23 0.02 (1.51) (0.88) (2.27)
Hypothesis -‐ -‐ Reject Reject Reject Reject Reject Reject
Panel F: The United States
Maximum 0.05 0.11 0.07 0.09 0.07 0.09 0.07 0.11 0.07 0.11
Minimum (0.07) (0.09) (0.05) (0.11) (0.05) (0.11) (0.05) (0.09) (0.05) (0.09)
Standard Deviation 0.13 0.27 0.14 0.28 0.14 0.28 0.13 0.27 0.13 0.28 Kurtosis 6.13 7.49 5.67 7.08 5.56 7.03 5.95 7.44 5.79 7.29 Skewness (0.15) (0.01) (0.02) (0.08) (0.21) 0.07 0.28 (0.02) 0.19 (0.04) Sharpe Ratio 1.63 (1.14) (1.76) (0.40) (1.94) (0.36) (0.23) 0.22 (0.44) (0.47) Sortino Ratio 2.92 (3.04) (2.69) (1.09) (2.88) (1.01) (0.40) 0.62 (0.73) (1.29)
Hypothesis -‐ -‐ Reject Reject Reject Reject Reject
*, **, and *** indicate significant results at the 10%, 5% and 1% significance level of a two-‐sided t-‐test, when testing for equality of means.
C.2 (Non) recession sample
Table A3 reports the descriptive statistics for all trading strategies for subsamples for (non)recession periods for private investors and
table A4 reports the descriptive statistics for all trading strategies for the same subsamples for institutional investors.
Table A3
Descriptive statistics for subsamples of (non) recession periods for private investors
daily returns observed in the sample. Numbers between brackets are negative values. The last row in each panel shows whether hypothesis 5 and 6 are accepted or rejected, a blank indicates that there is no significant evidence to reject the null hypothesis.
Buy-‐and-‐Hold MACD Momentum RSI Stochastic
Non Recession Recession Non Recession Recession Non Recession Recession Non Recession Recession Non Recession Recession
Panel A: Brazil
Maximum 0.23 0.29 0.11 0.10 0.13 0.08 0.23 0.29 0.23 0.29 Minimum (0.16) (0.17) (0.10) (0.12) (0.12) (0.10) (0.11) (0.17) (0.11) (0.17) Mean 0.23 0.08 (0.16)*** (0.29) 0.00** (0.49) 0.11 0.03 (0.05)** (0.42) Standard Deviation 0.33 0.52 0.30 0.43 0.31 0.41 0.37 0.59 0.35 0.64 Kurtosis 9.88 15.54 5.81 5.19 7.37 4.58 11.02 12.71 11.19 14.89 Skewness 0.19 1.12 (0.17) (0.13) 0.04 (0.20) 0.47 1.06 0.57 1.45 Sharpe Ratio 0.70 0.16 (0.54) (0.69) (0.01) (1.19) 0.29 0.06 (0.14) (0.67) Sortino Ratio 1.10 0.69 (1.06) (3.56) (0.02) (6.18) 0.73 0.30 (0.34) (4.42)
Hypothesis -‐ -‐ Reject Reject Reject
Skewness (0.28) (0.14) (0.04) (0.30) 0.00 (0.32) (0.19) (0.17) 0.12 (0.06) Sharpe Ratio 0.85 (1.25) 0.55 (0.75) 0.65 0.35 0.70 (2.18) 0.63 (2.45) Sortino Ratio 1.35 (3.98) 1.20 (3.28) 1.34 1.81 1.67 (7.91) 1.59 (9.16) Hypothesis -‐ -‐ Reject
Panel C: The Netherlands
Maximum 0.10 0.10 0.07 0.08 0.07 0.06 0.10 0.10 0.10 0.10 Minimum (0.08) (0.10) (0.07) (0.07) (0.07) (0.07) (0.08) (0.10) (0.08) (0.10) Mean 0.06 (0.02) 0.00 0.07 0.02 (0.06) 0.00 (0.01) (0.07) (0.49) Standard Deviation 0.20 0.33 0.18 0.29 0.16 0.26 0.23 0.37 0.25 0.47 Kurtosis 7.62 7.77 7.19 5.60 7.52 5.20 7.10 6.52 6.81 5.45 Skewness (0.17) (0.07) (0.26) (0.07) (0.28) (0.22) (0.07) (0.06) (0.05) (0.06) Sharpe Ratio 0.30 (0.06) 0.02 0.24 0.11 (0.22) (0.02) (0.02) (0.29) (1.04) Sortino Ratio 0.45 (0.25) 0.05 1.35 0.21 (1.17) (0.04) (0.10) (0.67) (7.83) Hypothesis -‐ -‐
Panel D: The United States
Kurtosis 6.77 6.50 6.16 5.60 5.61 4.81 5.05 6.14 5.52 4.69 Skewness (0.21) (0.12) (0.24) (0.36) (0.24) (0.08) 0.02 (0.11) 0.01 (0.03) Sharpe Ratio 0.47 (0.22) (0.60) (0.14) (0.45) (0.64) 0.68 (0.28) 0.34 (1.15) Sortino Ratio 0.69 (1.26) (1.17) (1.07) (0.80) (4.98) 1.82 (1.67) 0.84 (8.86)
Hypothesis -‐ -‐ Reject Reject
*, **, and *** indicate significant results at the 10%, 5% and 1% significance level of a two-‐sided t-‐test, when testing for equality of means.
Table A4.
Descriptive statistics for subsamples of (non) recession periods for institutional investors
Descriptive statistics of each trading strategy is divided in subsamples for non-‐recession and recession periods. Panel A, B, C, D, E and F show the results for Brazil, China, India, Russia, the Netherlands and the United States respectively. Buy-‐and-‐Hold represents the return statistics for the Buy-‐and-‐Hold strategy, MACD for the Moving Average Convergence Divergence Indicator, Momentum for the momentum indicator, RSI for the Relative Strength Index, and the Stochastic for the stochastic oscillator. The mean, standard deviation and Sharpe ratio and Sortino ratio are annualized. The maximum and minimum are the maximum and minimum daily returns observed in the sample. Numbers between brackets are negative values. The last row in each panel shows whether hypothesis 5 and 6 are accepted or rejected, a blank indicates that there is no significant evidence to reject the null hypothesis.
Buy-‐and-‐Hold MACD Momentum RSI Stochastic
Non Recession Recession Non Recession Recession Non Recession Recession Non Recession Recession Non Recession Recession
Panel A: Brazil
Maximum 0.23 0.29 0.16 0.17 0.16 0.17 0.23 0.29 0.23 0.29
Minimum (0.16) (0.17) (0.23) (0.29) (0.23) (0.29) (0.13) (0.17) (0.13) (0.17)
Mean 0.23 0.08 (0.17)*** (0.24) (0.01)** (0.36) (0.11)*** (0.03) (0.19)*** (0.40)
Deviation Kurtosis 9.88 15.54 9.54 15.14 9.55 14.88 10.03 15.57 10.01 15.77 Skewness 0.19 1.12 (0.17) (1.14) (0.09) (1.13) 0.33 1.15 0.41 1.18 Sharpe Ratio 0.70 0.16 (0.52) (0.45) (0.02) (0.68) (0.33) (0.05) (0.58) (0.77) Sortino Ratio 1.10 0.69 (0.76) (1.73) (0.03) (2.59) (0.49) (0.22) (0.88) (3.25)
Hypothesis -‐ -‐ Reject Reject Reject Reject
Panel B: Russia Maximum 0.16 0.20 0.21 0.19 0.21 0.21 0.21 0.20 0.21 0.20 Minimum (0.21) (0.21) (0.18) (0.22) (0.19) (0.20) (0.16) (0.21) (0.15) (0.21) Mean 0.30 (0.79) 0.06* 0.38** 0.15*** 1.08*** (0.06)*** (1.24) (0.05)*** (1.27) Standard Deviation 0.35 0.63 0.35 0.63 0.35 0.63 0.35 0.63 0.35 0.63 Kurtosis 9.72 6.88 9.30 7.17 9.32 7.07 9.58 6.99 9.59 7.07 Skewness (0.28) (0.14) 0.26 (0.11) 0.29 (0.08) 0.12 (0.20) 0.43 0.00 Sharpe Ratio 0.85 (1.25) 0.18 0.60 0.42 1.72 (0.16) (1.98) (0.15) (2.03) Sortino Ratio 1.35 (3.98) 0.29 2.11 0.68 6.25 (0.25) (6.05) (0.25) (6.32)
Hypothesis -‐ -‐ Reject Reject Reject Reject Reject Reject
Panel C: The Netherlands
Maximum 0.10 0.10 0.08 0.10 0.08 0.10 0.10 0.10 0.10 0.10
Minimum (0.08) (0.10) (0.10) (0.10) (0.10) (0.10) (0.08) (0.10) (0.08) (0.10)
Standard Deviation 0.20 0.33 0.21 0.33 0.21 0.34 0.20 0.33 0.20 0.33 Kurtosis 7.62 7.77 7.08 7.43 6.98 7.30 7.55 7.71 7.50 7.56 Skewness (0.17) (0.07) (0.06) 0.01 (0.07) (0.05) 0.06 (0.07) 0.06 (0.20) Sharpe Ratio 0.30 (0.06) (0.53) 0.12 (0.53) (0.41) (0.34) 0.01 (0.68) (0.84) Sortino Ratio 0.45 (0.25) (0.77) 0.54 (0.77) (1.70) (0.51) 0.05 (0.99) (3.38)
Hypothesis -‐ -‐ Reject Reject Reject Reject
Panel D: The United States
Maximum 0.06 0.11 0.07 0.09 0.07 0.09 0.07 0.11 0.07 0.11 Minimum (0.07) (0.09) (0.06) (0.11) (0.06) (0.11) (0.07) (0.09) (0.07) (0.09) Mean 0.08 (0.08) (0.23)*** (0.01) (0.23)*** (0.19) 0.00* (0.13) (0.05)*** (0.45) Standard Deviation 0.16 0.38 0.17 0.39 0.17 0.39 0.16 0.38 0.16 0.38 Kurtosis 6.77 6.50 6.36 6.36 6.09 6.35 6.75 6.49 6.60 6.45 Skewness (0.21) (0.12) (0.03) (0.10) (0.03) 0.13 0.28 (0.11) 0.17 (0.08) Sharpe Ratio 0.47 (0.22) (1.35) (0.02) (1.36) (0.46) 0.00 (0.33) (0.33) (1.17) Sortino Ratio 0.69 (1.26) (1.84) (0.11) (1.84) (2.71) 0.00 (1.88) (0.48) (6.46)
Hypothesis -‐ -‐ Reject Reject Reject Reject
*, **, and *** indicate significant results at the 10%, 5% and 1% significance level of a two-‐sided t-‐test, when testing for equality of means.
