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 |