Descriptive statistics for cumulative tracking error
Mean
SD
Min
Max
Skew
Kurt
MC
−0.11%
1.79%
−4.98%
7.35%
0.16
0.69
Proposed
0.21%
0.37%
−0.37%
1.98%
1.39
2.43
Mean
SD
Min
Max
Skew
Kurt
MC
−0.11%
1.79%
−4.98%
7.35%
0.16
0.69
Proposed
0.21%
0.37%
−0.37%
1.98%
1.39
2.43
Note(s): It can be confirmed that the standard deviation of the cumulative error of the proposed model appears smaller than that of the MC. Skewness of the proposed model means that the tail appears long in the direction of profit with limited maximum loss, and kurtosis implies the possibility that the tail event appears higher than that of the normal distribution