Year | Average | |||||||||||||||
1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 1999-2013 | |
Average monthly portfolios return (%) | ||||||||||||||||
SV | 7.90 | 0.88 | 10.93 | 8.14 | 6.64 | -0.40 | 0.59 | 2.00 | 0.55 | −2.15 | 7.63 | 4.05 | 1.18 | 5.22 | 0.15 | 3.56 |
SN | 6.65 | 3.84 | 3.33 | 6.06 | 4.33 | −0.54 | 0.93 | 2.03 | 1.15 | −4.21 | 7.48 | 2.53 | 0.01 | 6.89 | 2.72 | 2.88 |
SG | 5.46 | 1.83 | 9.20 | 2.46 | 11.31 | 3.92 | −0.02 | −1.72 | 0.02 | −4.01 | 3.97 | 2.17 | 7.75 | 8.57 | −0.18 | 3.38 |
Standard Deviation of portfolios (%) | ||||||||||||||||
SV | 20.94 | 6.33 | 16.49 | 7.60 | 9.24 | 2.78 | 3.82 | 5.37 | 2.55 | 9.57 | 8.08 | 10.47 | 6.56 | 5.57 | 9.70 | 8.34 |
SN | 20.49 | 6.06 | 12.08 | 6.48 | 5.80 | 3.51 | 2.70 | 3.88 | 3.61 | 13.20 | 5.77 | 6.72 | 6.31 | 6.53 | 7.76 | 7.39 |
SG | 20.55 | 9.54 | 16.75 | 8.99 | 16.51 | 9.17 | 2.82 | 6.18 | 3.26 | 12.14 | 6.56 | 4.65 | 11.53 | 5.29 | 8.09 | 9.47 |
Sharpe Ratio: | ||||||||||||||||
SV | 0.35 | 0.06 | 0.63 | 1.02 | 0.69 | −0.29 | 0.04 | 0.29 | 0.07 | −0.26 | 0.90 | 0.36 | 0.13 | 0.88 | −0.02 | 0.32 |
SN | 0.29 | 0.55 | 0.24 | 0.88 | 0.69 | −0.27 | 0.19 | 0.41 | 0.21 | −0.35 | 1.24 | 0.33 | −0.05 | 1.01 | 0.31 | 0.38 |
SG | 0.23 | 0.14 | 0.52 | 0.23 | 0.67 | 0.38 | −0.16 | −0.35 | −0.11 | −0.36 | 0.55 | 0.40 | 0.65 | 1.56 | −0.06 | 0.29 |
Difference in S.D (%) | ||||||||||||||||
SV−SG | 0.39 | −3.21 | −0.27 | −1.39 | −7.26 | −6.39 | 1.00 | −0.81 | −0.72 | −2.57 | 1.53 | 5.83 | −4.97 | 0.29 | 1.61 | −1.13 |
Difference in returns (WMGS) (%) | ||||||||||||||||
− | 2.51 | −0.95 | 1.73 | 5.69 | −4.67 | −4.32 | 0.60 | 3.71 | 0.53 | 1.86 | 3.65 | 1.89 | −6.57 | −3.35 | 0.33 | 0.18 |
(0.283) | (−0.319) | (0.247) | (1.547)* | (−0.849) | (−0.76) | (0.426) | (1.555)* | (0.435) | (0.42) | (1.2) | (0.558) | (−1.673)* | (−1.21) | (0.093) | (0.149) | |
Difference in Sharpe ratio (×100) | ||||||||||||||||
SV − SG | 0.12 | −0.08 | 0.11 | 0.79 | 0.02 | −0.67 | 0.20 | 0.64 | 0.18 | 0.10 | 0.35 | −0.04 | −0.51 | −0.68 | 0.04 | 0.037 |
(0.27) | (−0.205) | (0.269) | (1.788)** | (0.044) | (−0.991) | (0.471) | (1.541)* | (0.426) | (0.239) | (0.84) | (−0.108) | (−1.228) | (−1.332)* | (0.113) | (0.309) |