This table reports the main results of univariate analysis including excess-monthly returns, annualized standard deviation, Sharpe ratio, t-statistics showing the significance of the difference of Sharpe ratio over the universe, Realised beta and one-factor CAPM style alpha and maximum drawdown for decile portfolios constructed by sorting stocks based on standard deviation calculated using past three-year monthly returns.

P1 (LV)

P2

P3

P4

P5

P6

P7

P8

P9

P10 (HV)

LV-HV

EWI (Universe)

Excess return (Annualized %)

10.62

7.34

5.66

2.89

4.30

1.73

−3.74

−2.58

−8.51

−17.35

27.97

0.04

Standard Deviation %

19.52

24.87

29.66

30.98

33.08

34.60

37.13

39.62

41.66

46.28

31.81

33.08

Sharpe ratio

0.54

0.30

0.19

0.09

0.13

0.05

−0.10

−0.07

−0.20

−0.37

0.87

−0.03

(t-value for difference over Universe)

11.43

10.59

8.97

6.30

7.89

3.98

−6.99

−4.68

−9.97

−11.58

Realised Beta

0.55

0.73

0.88

0.92

0.99

1.04

1.11

1.18

1.24

1.35

−0.80

1.00

Alpha (%)

10.60

7.31

5.63

2.86

4.27

1.69

−3.78

−2.63

−8.55

−17.43

28.00

0.00

(t-value)

4.71

4.02

3.08

1.93

2.56

1.15

−2.18

−1.38

−3.58

−4.75

5.3

Max drawdown

0.48

0.59

0.69

0.70

0.71

0.74

0.77

0.77

0.79

0.81

0.72