This table reports the main results of univariate analysis including the table reports 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 the beta calculated using past three-year monthly returns.

P1 (LB)

P2

P3

P4

P5

P6

P7

P8

P9

P10 (HB)

(LB-HB)

EWI (Universe)

Excess return (Annualized %)

5.04

5.20

5.1

1.38

2.32

−0.19

−2.50

−6.42

−14.39

0.04

5.0

11.41

Standard Deviation %

19.91

27.87

30.27

32.54

34.37

36.99

39.91

42.92

48.83

33.12

0.00

33.97

Sharpe ratio

0.25

0.19

0.17

0.04

0.07

−0.01

−0.06

−0.15

−0.29

0.00

−0.03

(t-value for difference over Universe)

7.64

8.46

8.31

2.83

5.04

−0.43

−5.10

−7.08

−10.30

0.00

Beta

0.56

0.74

0.82

0.90

0.97

1.03

1.10

1.19

1.26

1.43

−0.87

−0.06

Alpha (%)

4.80

5.01

5.17

5.08

1.34

2.28

−0.23

−2.55

−6.47

−14.44

19.24

0.95

(t-value)

2.05

2.51

2.87

2.79

0.83

1.53

−0.12

−1.55

−2.28

−3.86

3.49

Max drawdown

−51.59

−64.79

−65.37

−70.02

−69.17

−74.97

−76.35

−78.93

−77.96

−81.20

−72.07