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 |