| Portfolio of top five illiquid stocks | Portfolio of top five liquid stocks | ||
RCT—5 most illiquid stocks | ILLIQ—five most illiquid stocks | RCT—five most liquid stocks | ILLIQ—five most liquid stocks | |
| KOEI | VLEN | KRAS | ARNT |
| MAIS | INGR | ADPL | ADPL |
| ATGR | DLKV | INGR | KRAS |
| ZABA | ATPL | DDJH | PODR |
| VLEN | MAIS | ERNT | ATGR |
Expected portfolio return | 0.00064 | 0.00019 | −0.00079 | 0.00008 |
Standard deviation of portfolio return | 0.01147 | 0.01456 | 0.01217 | 0.00808 |