Average monthly portfolios return (%)

BV

−0.28

−0.05

3.97

1.92

3.53

0.35

0.64

0.16

0.61

−5.34

8.58

3.42

1.28

2.92

−0.81

1.39

BN

2.23

−0.50

1.17

−0.75

7.02

1.29

0.06

−0.32

3.23

−5.94

4.54

3.26

1.77

1.27

−0.47

1.19

BG

1.25

−2.38

−0.51

0.17

6.57

1.72

1.08

−0.53

2.93

−3.96

3.28

2.26

2.96

3.37

−0.48

1.18

Standard Deviation of portfolios (%)

BV

19.10

14.66

9.85

7.60

7.43

4.39

4.59

5.77

6.07

12.38

9.28

5.57

6.62

4.45

2.97

8.05

BN

12.89

9.48

11.56

6.42

9.31

3.52

4.26

5.03

7.81

13.00

7.02

5.12

8.24

4.04

6.18

7.59

BV

14.36

11.59

9.54

4.86

8.31

5.98

6.57

4.19

6.69

11.93

5.96

4.38

5.67

5.78

6.85

7.51

Sharpe Ratio:

BV

−0.05

−0.04

0.35

0.20

0.43

−0.01

0.05

−0.05

0.04

−0.46

0.89

0.56

0.15

0.59

−0.38

0.15

BN

0.12

−0.10

0.06

−0.17

0.72

0.25

−0.09

−0.15

0.37

−0.49

0.60

0.58

0.18

0.24

−0.13

0.13

BG

0.04

−0.25

−0.10

−0.04

0.75

0.22

0.10

−0.23

0.38

−0.36

0.49

0.45

0.47

0.53

−0.12

0.16

Difference in S.D (%)

BV −BG

4.74

3.07

0.31

2.74

−0.87

−1.59

−1.99

1.58

−0.62

0.45

3.33

1.20

0.95

−1.33

−3.87

0.54

Difference in returns (WMG_B) (%)

−

−1.53

2.33

4.48

1.74

−3.04

−1.38

−0.43

0.69

−2.32

−1.38

5.30

1.16

−1.68

−0.45

−0.33

0.21

(−0.226)

(0.43)

(1.137)

(0.681)

(−0.902)

(−0.633)

(−0.186)

(0.338)

(−0.893)

(−0.283)

(1.653)^*

(0.567)

(−0.704)

(−0.282)

(−0.159)

(0.232)

Difference in Sharpe ratio (×100)

BV− BG

−0.09

0.21

0.46

0.24

−0.32

−0.23

−0.05

0.18

−0.34

−0.10

0.39

0.11

−0.32

0.06

−0.26

−0.004

(−0.226)

(0.515)

(1.129)

(0.62)

(−0.746)

(−0.566)

(−0.126)

(0.452)

(−0.843)

(−0.245)

(0.958)

(0.274)

(−0.831)

(0.179)

(−0.664)

(−0.04)