Panel A: Small winners portfolios versus small losers portfolios | |||||||||||
T | SW (%) | SW S.D (%) | SW Sharpe ratio (×100) | SL (%) | SL S.D (%) | SL Sharpe ratio (×100) | Difference in S.D (%) | (%) | Difference in Sharpe ratio of SW and SL (×100) | ||
1 | 3.90 | 8.60 | 0.42 | 2.26 | 7.82 | 0.25 | 0.78 | 1.64 | (0.41) | 0.17 | (0.342) |
2 | 1.79 | 7.49 | 0.20 | 1.59 | 9.20 | 0.14 | −1.71 | 0.21 | (0.057) | 0.06 | (0.142) |
3 | 4.03 | 12.59 | 0.30 | 4.53 | 10.22 | 0.41 | 2.38 | −0.50 | (−0.116) | −0.12 | (−0.3028) |
4 | 7.28 | 12.49 | 0.56 | 5.10 | 9.56 | 0.50 | 2.93 | 2.18 | (0.435) | 0.06 | (0.1248) |
5 | 5.62 | 10.11 | 0.53 | 5.37 | 10.24 | 0.50 | −0.12 | 0.25 | (0.059) | 0.03 | (0.0744) |
6 | 3.61 | 7.62 | 0.43 | 6.23 | 9.25 | 0.64 | −1.63 | −2.62 | (−0.719) | −0.21 | (−0.4875) |
7 | 2.19 | 6.77 | 0.28 | 7.72 | 11.40 | 0.65 | −4.63 | −5.54 | (−1.53)* | −0.37 | (−0.9872) |
8 | 2.49 | 7.06 | 0.31 | 7.17 | 13.10 | 0.52 | −6.05 | −4.68 | (−1.183) | −0.21 | (−0.5631) |
9 | 0.19 | 5.96 | −0.02 | 3.12 | 15.83 | 0.18 | −9.87 | −2.92 | (−0.684) | −0.20 | (−0.5115) |
10 | 1.21 | 6.23 | 0.14 | 3.14 | 16.80 | 0.17 | −10.57 | −1.93 | (−0.396) | −0.02 | (−0.0599) |
11 | 0.54 | 6.64 | 0.03 | 0.96 | 9.36 | 0.07 | −2.72 | −0.42 | (−0.129) | −0.03 | (−0.0871) |
12 | 1.09 | 7.61 | 0.10 | 2.10 | 9.28 | 0.19 | −1.67 | −1.02 | (−0.294) | −0.09 | (−0.2234) |
13 | 0.68 | 6.68 | 0.06 | 0.92 | 9.91 | 0.06 | −3.24 | −0.24 | (−0.077) | −0.01 | (−0.01729) |
14 | 1.49 | 6.01 | 0.20 | 2.70 | 12.94 | 0.19 | −6.92 | −1.22 | (−0.318) | 0.01 | (0.0288) |
15 | 0.89 | 7.34 | 0.08 | 1.89 | 12.20 | 0.13 | −4.86 | −1.00 | (−0.265) | −0.05 | (−0.1299) |
16 | 0.75 | 7.20 | 0.06 | −0.12 | 13.23 | −0.03 | −6.04 | 0.87 | (0.229) | 0.09 | (0.2527) |
17 | 0.29 | 7.05 | 0.00 | −1.40 | 9.19 | −0.19 | −2.14 | 1.70 | (0.483) | 0.18 | (0.4367) |
18 | 0.81 | 8.67 | 0.06 | −0.94 | 8.66 | −0.14 | 0.01 | 1.75 | (0.467) | 0.20 | (0.4666) |
19 | 1.20 | 8.83 | 0.10 | −0.91 | 9.46 | −0.13 | −0.63 | 2.11 | (0.558) | 0.23 | (0.5582) |
20 | 1.73 | 7.89 | 0.18 | −0.76 | 10.20 | −0.10 | −2.31 | 2.49 | (0.634) | 0.29 | (0.6601) |
21 | 2.52 | 7.94 | 0.28 | −0.16 | 8.57 | −0.05 | −0.63 | 2.68 | (0.743) | 0.33 | (0.7619) |
22 | 3.15 | 3.70 | 0.77 | 2.64 | 6.87 | 0.34 | −3.17 | 0.51 | (0.209) | 0.43 | (0.9146) |
23 | 6.64 | 5.69 | 1.11 | 3.07 | 8.68 | 0.32 | −2.98 | 3.56 | (1.05) | 0.79 | (1.6688)** |
24 | 6.00 | 4.00 | 1.42 | 6.15 | 8.45 | 0.69 | −4.45 | −0.15 | (−0.049) | 0.73 | (1.512)* |
25 | 7.73 | 5.49 | 1.35 | 9.41 | 9.55 | 0.95 | −4.06 | −1.68 | (−0.431) | 0.40 | (0.7979) |
26 | 6.82 | 5.94 | 1.10 | 11.83 | 11.39 | 1.01 | −5.45 | −5.02 | (−0.943) | 0.08 | (0.1527) |
27 | 5.73 | 6.14 | 0.88 | 14.17 | 11.35 | 1.22 | −5.22 | −8.44 | (−1.65)* | −0.34 | (−0.6383) |
28 | 8.67 | 8.40 | 1.00 | 15.38 | 13.30 | 1.13 | −4.90 | −6.72 | (−1.278) | −0.14 | (−0.2815) |
29 | 6.05 | 7.52 | 0.77 | 14.52 | 13.77 | 1.03 | −6.25 | −8.47 | (−1.83)** | −0.27 | (−0.7029) |
30 | 5.98 | 8.01 | 0.71 | 14.61 | 10.96 | 1.31 | −2.95 | −8.63 | (−2.229)** | −0.60 | (−1.604)* |
31 | 4.47 | 12.77 | 0.33 | 9.13 | 16.24 | 0.54 | −3.48 | −4.66 | (−0.812) | −0.22 | (−0.5658) |
32 | 2.47 | 10.24 | 0.21 | 6.41 | 16.89 | 0.36 | −6.65 | −3.94 | (−0.705) | −0.15 | (−0.3842) |
33 | 5.28 | 14.06 | 0.35 | 4.75 | 18.01 | 0.25 | −3.95 | 0.53 | (0.078) | 0.11 | (0.2555) |
34 | 4.63 | 11.45 | 0.38 | 5.77 | 16.77 | 0.33 | −5.32 | −1.14 | (−0.19) | 0.05 | (0.1242) |
35 | 4.56 | 12.47 | 0.34 | 7.12 | 17.83 | 0.38 | −5.35 | −2.55 | (−0.404) | −0.04 | (−0.101) |
36 | 5.03 | 15.96 | 0.30 | 2.18 | 14.39 | 0.13 | 1.57 | 2.86 | (0.443) | 0.17 | (0.3911) |
37 | 2.00 | 13.24 | 0.13 | 3.44 | 12.36 | 0.25 | 0.88 | −1.44 | (−0.265) | −0.13 | (−0.294) |
38 | 0.29 | 12.51 | 0.00 | 1.23 | 7.88 | 0.12 | 4.63 | −0.95 | (−0.225) | −0.12 | (−0.286) |
39 | 0.60 | 11.59 | 0.02 | 1.54 | 7.64 | 0.16 | 3.94 | −0.94 | (−0.228) | −0.13 | (−0.321) |
Average 1 - 39 | 3.329 | 8.61 | 0.40 | 4.78 | 11.6 | 0.37 | −2.89 | −1.37 | (−1.897)** | 0.03 | (0.359) |