Panel F

BETA VW1-Large Low Grade Bond Weight in Market Portfolio

Low Beta

1.08%

1.12%

1.16%

1.18%

1.22%

1.31%

1.26%

1.26%

2

1.12%

1.19%

1.21%

1.23%

1.22%

1.36%

1.33%

1.33%

3

1.23%

1.19%

1.21%

1.20%

1.25%

1.36%

1.35%

1.30%

4

1.14%

1.17%

1.17%

1.23%

1.22%

1.34%

1.34%

1.31%

5

1.16%

1.20%

1.20%

1.24%

1.26%

1.41%

1.41%

1.37%

6

1.20%

1.22%

1.24%

1.27%

1.37%

1.40%

1.40%

1.39%

7

1.16%

1.16%

1.17%

1.27%

1.34%

1.39%

1.40%

1.37%

8

1.15%

1.14%

1.14%

1.18%

1.25%

1.33%

1.31%

1.31%

9

1.18%

1.23%

1.26%

1.24%

1.36%

1.30%

1.34%

1.27%

High Beta

1.21%

1.25%

1.29%

1.48%

1.61%

1.18%

1.23%

1.23%

High-Low

0.13%

0.13%

0.13%

0.30%

0.40%

−0.14%

−0.03%

−0.02%