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)