Table I Annualized Sharpe Ratios of each...

Table I

Annualized Sharpe Ratios of each eigenportfolios at different level of sparsity, using S&P 500 EOD returns, starting on February 26, 2016, ending on February 24, 2017

Sharpe ratio	EP 1	EP 2	EP 3	EP 4	EP 5	EP 6
Original	1.88	−0.77	0.93	1.3	1.29	−0.42
20% Sparsity	1.81	−0.78	0.94	1.27	1.29	−0.41
40% Sparsity	1.77	−0.78	0.96	1.36	1.4	−0.38
60% Sparsity	1.66	−0.74	0.88	1.44	1.57	−0.46
80% Sparsity	1.64	−0.37	0.93	1.48	1.48	−0.78

Sharpe ratio	EP 1	EP 2	EP 3	EP 4	EP 5	EP 6
Original	1.88	−0.77	0.93	1.3	1.29	−0.42
20% Sparsity	1.81	−0.78	0.94	1.27	1.29	−0.41
40% Sparsity	1.77	−0.78	0.96	1.36	1.4	−0.38
60% Sparsity	1.66	−0.74	0.88	1.44	1.57	−0.46
80% Sparsity	1.64	−0.37	0.93	1.48	1.48	−0.78

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