| Panel E. April 2010 to March 2015 | |||||||
|
| Mkt | Small- Low INV | Small- Middle INV | Small- High INV | Big- Low INV | Big- Middle INV | Big- High INV |
| Return | 7.85 | 13.68 | 9.66 | 13.57 | 9.31 | 6.83 | 5.74 |
| SD | 13.21 | 16.66 | 12.68 | 14.97 | 14.64 | 13.03 | 13.46 |
| Risk premia | 7.81 | 13.64 | 9.62 | 13.53 | 9.27 | 6.79 | 5.70 |
| Sharpe ratio | 0.59 | 0.82 | 0.76 | 0.90 | 0.63 | 0.52 | 0.42 |
| Return premia | 0.00 | 5.83 | 1.81 | 5.72 | 1.46 | −1.02 | −2.10 |
| Panel F. April 2015 to March 2020 | |||||||
|
| Mkt | Small- Low INV | Small- Middle INV | Small- High INV | Big- Low INV | Big- Middle INV | Big- High INV |
| Return | 3.86 | 5.51 | 7.05 | 7.96 | 4.21 | 2.68 | 4.81 |
| SD | 12.88 | 13.83 | 13.71 | 16.24 | 12.61 | 12.88 | 14.05 |
| Risk premia | 2.81 | 4.45 | 5.99 | 6.90 | 3.15 | 1.63 | 3.75 |
| Sharpe ratio | 0.22 | 0.32 | 0.44 | 0.42 | 0.25 | 0.13 | 0.27 |
| Return premia | 0.00 | 1.64 | 3.18 | 4.09 | 0.34 | −1.18 | 0.95 |
| Panel G. January 2020 to October 2020 | |||||||
|
| Mkt | Small- Low INV | Small- Middle INV | Small- High INV | Big- Low INV | Big- Middle INV | Big- High INV |
| Return | 0.18 | −5.42 | −3.82 | 9.30 | −3.78 | −2.38 | 9.76 |
| SD | 18.98 | 23.65 | 22.29 | 29.60 | 18.40 | 19.91 | 19.82 |
| Risk premia | −0.34 | −5.94 | −4.33 | 8.78 | −4.30 | −2.89 | 9.24 |
| Sharpe ratio | −0.02 | −0.25 | −0.19 | 0.30 | −0.23 | −0.15 | 0.47 |
| Return premia | 0.00 | −5.60 | −4.00 | 9.12 | −3.96 | −2.56 | 9.58 |