Panel B: Big winner portfolios versus big losers portfolios | |||||||||||
T | BW (%) | BW S.D (%) | BW Sharpe ratio (×100) | BL (%) | BL S.D (%) | BL Sharpe ratio (×100) | Difference in SD (%) | (%) | Difference in Sharpe ratio of BW and BL (×100) | ||
1 | 3.69 | 5.31 | 0.64 | 1.85 | 4.54 | 0.34 | 0.78 | 1.85 | (0.918) | 0.30 | (0.7294) |
2 | 3.21 | 6.17 | 0.47 | 1.82 | 3.75 | 0.41 | 2.42 | 1.39 | (0.671) | 0.06 | (0.1598) |
3 | 3.55 | 6.24 | 0.52 | 2.18 | 4.19 | 0.45 | 2.05 | 1.37 | (0.632) | 0.07 | (0.1756) |
4 | 2.67 | 5.34 | 0.45 | 2.00 | 3.49 | 0.49 | 1.85 | 0.67 | (0.358) | −0.04 | (−0.1042) |
5 | 3.29 | 5.83 | 0.51 | 2.68 | 2.72 | 0.88 | 3.11 | 0.61 | (0.324) | −0.36 | (−0.8851) |
6 | 3.22 | 5.67 | 0.52 | 2.76 | 2.97 | 0.83 | 2.70 | 0.46 | (0.249) | −0.31 | (−0.7602) |
7 | 2.19 | 5.74 | 0.33 | 2.25 | 3.32 | 0.59 | 2.42 | −0.06 | (−0.031) | −0.26 | (−0.63) |
8 | 1.79 | 5.34 | 0.28 | 2.48 | 3.75 | 0.58 | 1.60 | −0.69 | (−0.364) | −0.30 | (−0.7353) |
9 | 0.21 | 5.18 | −0.02 | 1.81 | 4.46 | 0.34 | 0.72 | −1.60 | (−0.813) | −0.36 | (−0.8747) |
10 | −1.05 | 6.79 | −0.20 | 0.25 | 6.44 | −0.01 | 0.35 | −1.30 | (−0.506) | −0.19 | (−0.4936) |
11 | −0.77 | 7.54 | −0.14 | 0.77 | 7.14 | 0.06 | 0.39 | −1.54 | (−0.547) | −0.21 | (−0.5431) |
12 | −0.27 | 7.08 | −0.08 | 0.75 | 6.07 | 0.07 | 1.02 | −1.02 | (−0.387) | −0.15 | (−0.3878) |
13 | −0.28 | 7.93 | −0.07 | 0.95 | 6.10 | 0.11 | 1.83 | −1.23 | (−0.433) | −0.18 | (−0.4501) |
14 | 1.32 | 6.72 | 0.15 | 2.33 | 5.41 | 0.37 | 1.30 | −1.01 | (−0.42) | −0.22 | (−0.5658) |
15 | 2.27 | 6.87 | 0.29 | 2.91 | 5.22 | 0.50 | 1.64 | −0.64 | (−0.26) | −0.21 | (−0.5291) |
16 | 2.00 | 7.16 | 0.24 | 3.45 | 4.51 | 0.70 | 2.66 | −1.45 | (−0.596) | −0.46 | (−1.1306) |
17 | 1.25 | 7.70 | 0.12 | 1.60 | 5.30 | 0.25 | 2.40 | −0.35 | (−0.129) | −0.12 | (−0.2999) |
18 | 0.87 | 7.77 | 0.07 | 1.34 | 5.71 | 0.18 | 2.06 | −0.46 | (−0.171) | −0.11 | (−0.2712) |
19 | 1.91 | 7.32 | 0.22 | 2.99 | 4.89 | 0.55 | 2.43 | −1.08 | (−0.435) | −0.33 | (−0.8234) |
20 | 0.06 | 8.50 | −0.03 | 0.64 | 6.67 | 0.05 | 1.83 | −0.57 | (−0.182) | −0.08 | (−0.1901) |
21 | 1.52 | 6.71 | 0.18 | 1.32 | 5.90 | 0.17 | 0.81 | 0.20 | (0.078) | 0.01 | (0.0219) |
22 | 3.48 | 4.37 | 0.73 | 2.45 | 5.04 | 0.43 | −0.67 | 1.03 | (0.543) | 0.30 | (0.7481) |
23 | 3.74 | 3.88 | 0.89 | 1.44 | 4.34 | 0.26 | −0.45 | 2.31 | (1.388)* | 0.62 | (1.5472)* |
24 | 3.28 | 3.66 | 0.82 | 1.72 | 5.36 | 0.27 | −1.71 | 1.56 | (0.827) | 0.55 | (1.3518)* |
25 | 2.93 | 5.70 | 0.46 | 1.59 | 5.54 | 0.23 | 0.16 | 1.34 | (0.583) | 0.23 | (0.5585) |
26 | 3.42 | 3.84 | 0.81 | 2.03 | 5.80 | 0.30 | −1.96 | 1.39 | (0.676) | 0.52 | (1.251) |
27 | 2.63 | 5.91 | 0.39 | 1.30 | 4.80 | 0.21 | 1.12 | 1.34 | (0.602) | 0.19 | (0.4496) |
28 | 2.12 | 5.36 | 0.34 | 1.17 | 5.84 | 0.15 | −0.47 | 0.95 | (0.407) | 0.19 | (0.4579) |
29 | 3.52 | 3.03 | 1.07 | 0.49 | 4.08 | 0.05 | −1.05 | 3.03 | (2.049)** | 1.02 | (2.469)*** |
30 | 3.87 | 2.21 | 1.62 | 2.29 | 3.17 | 0.63 | −0.96 | 1.58 | (1.488) | 0.99 | (2.5452)*** |
31 | 3.60 | 4.18 | 0.79 | 0.45 | 3.41 | 0.04 | 0.77 | 3.16 | (2.106)** | 0.75 | (1.9038)** |
32 | 3.16 | 3.95 | 0.73 | 1.13 | 4.32 | 0.19 | −0.36 | 2.04 | (1.262) | 0.53 | (1.3655)* |
33 | 0.81 | 6.01 | 0.08 | 0.18 | 3.36 | −0.03 | 2.64 | 0.62 | (0.32) | 0.12 | (0.3003) |
34 | 1.84 | 5.60 | 0.27 | −0.12 | 4.27 | −0.10 | 1.33 | 1.97 | (0.995) | 0.37 | (0.948) |
35 | 2.33 | 6.80 | 0.30 | 0.17 | 3.29 | −0.04 | 3.51 | 2.15 | (1.005) | 0.34 | (0.853) |
36 | 1.42 | 8.14 | 0.14 | 0.05 | 3.33 | −0.08 | 4.81 | 1.37 | (0.545) | 0.21 | (0.534) |
37 | 1.19 | 8.76 | 0.10 | −0.48 | 3.02 | −0.26 | 5.74 | 1.67 | (0.627) | 0.36 | (0.912) |
38 | −0.01 | 8.03 | −0.04 | −1.35 | 2.90 | −0.58 | 5.13 | 1.34 | (0.549) | 0.53 | (1.328)* |
39 | −0.44 | 8.29 | −0.09 | −1.14 | 3.21 | −0.45 | 5.08 | 0.70 | (0.275) | 0.36 | (0.9066) |
Average 1 - 39 | 1.89 | 6.09 | 0.35 | 1.33 | 4.56 | 0.23 | 1.5% | 0.59 | (1.674)** | 0.12 | (1.842)** |