Table 4 Performance evaluation-dynamic...

Table 4

Performance evaluation-dynamic approach

	Refit days	ES	VaR	Drawdown	Omega	Sortino	Sharpe
Panel A
MVP-ADCC	120	−0.014	−0.011	0.357	1.080	0.028	0.019
MVP-DCC		−0.014	−0.011	0.371	1.122	0.043	0.028
ERC-ADCC		−0.052	−0.041	0.724	1.198	0.068	0.051
ERC-DCC		−0.063	−0.050	0.871	1.145	0.051	0.038
MDP-ADCC		−0.061	−0.049	0.978	1.217	0.098	0.066
MDP-DCC		−0.061	−0.049	0.959	1.213	0.096	0.065
MVP-ADCC	150	−0.014	−0.011	0.456	1.091	0.032	0.021
MVP-DCC		−0.015	−0.012	0.377	1.140	0.050	0.031
ERC-ADCC		−0.064	−0.051	0.783	1.109	0.039	0.029
ERC-DCC		−0.067	−0.053	0.853	1.141	0.052	0.038
MDP-ADCC		−0.061	−0.048	0.942	1.203	0.092	0.062
MDP-DCC		−0.062	−0.049	0.927	1.206	0.093	0.063
MVP-ADCC	180	−0.015	−0.012	0.326	1.150	0.051	0.033
MVP-DCC		−0.013	−0.011	0.374	1.174	0.062	0.039
ERC-ADCC		−0.061	−0.048	0.684	1.240	0.087	0.062
ERC-DCC		−0.066	−0.053	0.775	1.174	0.064	0.047
MDP-ADCC		−0.062	−0.049	0.975	1.214	0.097	0.065
MDP-DCC		−0.061	−0.048	0.988	1.211	0.096	0.065
Panel B
MVP-ADCC	120	−0.027	−0.022	0.864	0.662	−0.108	−0.079
MVP-DCC		−0.027	−0.022	0.877	0.644	−0.115	−0.085
ERC-ADCC		−0.050	−0.040	0.894	0.953	−0.018	−0.013
ERC-DCC		−0.057	−0.046	0.944	0.956	−0.017	−0.012
MDP-ADCC		−0.048	−0.038	0.895	1.000	0.000	0.000
MDP-DCC		−0.048	−0.038	0.886	1.004	0.002	0.001
MVP-ADCC	150	−0.026	−0.021	0.871	0.638	−0.115	−0.085
MVP-DCC		−0.027	−0.022	0.865	0.658	−0.110	−0.110
ERC-ADCC		−0.058	−0.047	0.966	0.880	−0.048	−0.036
ERC-DCC		−0.061	−0.049	0.964	0.940	−0.024	−0.018
MDP-ADCC		−0.049	−0.039	0.892	1.004	0.002	0.001
MDP-DCC		−0.049	−0.039	0.889	1.008	0.003	0.002
MVP-ADCC	180	−0.026	−0.021	0.887	0.619	−0.120	−0.091
MVP-DCC		−0.026	−0.021	0.894	0.604	−0.126	−0.126
ERC-ADCC		−0.056	−0.044	0.903	1.002	0.001	0.000
ERC-DCC		−0.060	−0.048	0.944	0.982	−0.007	−0.005
MDP-ADCC		−0.050	−0.040	0.889	1.022	0.010	0.006
MDP-DCC		−0.051	−0.041	0.884	1.029	0.012	0.008

	Refit days	ES	VaR	Drawdown	Omega	Sortino	Sharpe
Panel A
MVP-ADCC	120	−0.014	−0.011	0.357	1.080	0.028	0.019
MVP-DCC		−0.014	−0.011	0.371	1.122	0.043	0.028
ERC-ADCC		−0.052	−0.041	0.724	1.198	0.068	0.051
ERC-DCC		−0.063	−0.050	0.871	1.145	0.051	0.038
MDP-ADCC		−0.061	−0.049	0.978	1.217	0.098	0.066
MDP-DCC		−0.061	−0.049	0.959	1.213	0.096	0.065
MVP-ADCC	150	−0.014	−0.011	0.456	1.091	0.032	0.021
MVP-DCC		−0.015	−0.012	0.377	1.140	0.050	0.031
ERC-ADCC		−0.064	−0.051	0.783	1.109	0.039	0.029
ERC-DCC		−0.067	−0.053	0.853	1.141	0.052	0.038
MDP-ADCC		−0.061	−0.048	0.942	1.203	0.092	0.062
MDP-DCC		−0.062	−0.049	0.927	1.206	0.093	0.063
MVP-ADCC	180	−0.015	−0.012	0.326	1.150	0.051	0.033
MVP-DCC		−0.013	−0.011	0.374	1.174	0.062	0.039
ERC-ADCC		−0.061	−0.048	0.684	1.240	0.087	0.062
ERC-DCC		−0.066	−0.053	0.775	1.174	0.064	0.047
MDP-ADCC		−0.062	−0.049	0.975	1.214	0.097	0.065
MDP-DCC		−0.061	−0.048	0.988	1.211	0.096	0.065
Panel B
MVP-ADCC	120	−0.027	−0.022	0.864	0.662	−0.108	−0.079
MVP-DCC		−0.027	−0.022	0.877	0.644	−0.115	−0.085
ERC-ADCC		−0.050	−0.040	0.894	0.953	−0.018	−0.013
ERC-DCC		−0.057	−0.046	0.944	0.956	−0.017	−0.012
MDP-ADCC		−0.048	−0.038	0.895	1.000	0.000	0.000
MDP-DCC		−0.048	−0.038	0.886	1.004	0.002	0.001
MVP-ADCC	150	−0.026	−0.021	0.871	0.638	−0.115	−0.085
MVP-DCC		−0.027	−0.022	0.865	0.658	−0.110	−0.110
ERC-ADCC		−0.058	−0.047	0.966	0.880	−0.048	−0.036
ERC-DCC		−0.061	−0.049	0.964	0.940	−0.024	−0.018
MDP-ADCC		−0.049	−0.039	0.892	1.004	0.002	0.001
MDP-DCC		−0.049	−0.039	0.889	1.008	0.003	0.002
MVP-ADCC	180	−0.026	−0.021	0.887	0.619	−0.120	−0.091
MVP-DCC		−0.026	−0.021	0.894	0.604	−0.126	−0.126
ERC-ADCC		−0.056	−0.044	0.903	1.002	0.001	0.000
ERC-DCC		−0.060	−0.048	0.944	0.982	−0.007	−0.005
MDP-ADCC		−0.050	−0.040	0.889	1.022	0.010	0.006
MDP-DCC		−0.051	−0.041	0.884	1.029	0.012	0.008

Note(s): This table exhibits performance measurement of dynamic MVP, ERC and MDP portfolio with different number of GARCH refits (120, 150 and 180 days). Panel A shows the performance without transaction cost, while Panel B indicates the performance with transaction cost (10 basis points). The time-varying covariances were obtained from DCC-GARCH (1,1) and ADCC-GARCH (1,1) with multivariate Student's t-distribution. Rolling windows method with 1,750 days of forecast length was employed. The risk-free rate was assumed to be zero for the calculation of Sharpe and minimum acceptance return (MAR) of Sortino. A target threshold of zero was also used in omega ratio

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