Funds

Variables

Mean

SD

Min

p25

Median

p75

Max

N

N > 0 (%)

Panel A: 1 trading days

R_index

0.053

1.719

−9.240

−0.707

0.090

0.877

9.342

3700

53.5

Panel B: 5 trading days

R_index

0.285

4.042

−22.142

−2.011

0.582

2.642

17.275

3512

55.4

R_target

0.583

8.089

−40.493

−4.108

1.079

5.248

35.607

3512

55.4

R_expected

0.570

8.085

−44.283

−4.023

1.163

5.284

34.551

3512

55.4

Deviation

0.013

0.250

−1.238

−0.052

−0.007

0.048

3.790

3512

44.4

Multiple

2.000

0.149

−1.180

1.977

2.002

2.025

3.836

3512

99.9

R_target

0.893

12.149

−55.505

−6.235

1.522

7.823

54.838

3512

55.3

R_expected

0.855

12.127

−66.425

−6.034

1.745

7.926

51.826

3512

55.4

Deviation

0.039

0.749

−3.720

−0.155

−0.021

0.145

10.919

3512

44.4

Multiple

2.999

0.450

−6.863

2.929

3.004

3.073

8.409

3512

99.9

−1×

R_target

−0.272

4.048

−16.089

−2.655

−0.645

1.915

26.413

3512

44.4

R_expected

−0.285

4.042

−17.275

−2.642

−0.582

2.011

22.142

3512

44.6

Deviation

0.012

0.252

−1.420

−0.052

−0.007

0.048

4.272

3512

44.5

Multiple

−0.999

0.144

−3.977

−1.022

−0.998

−0.975

0.936

3512

0.2

−2×

R_target

−0.533

8.112

−30.887

−5.328

−1.355

3.771

57.612

3512

44.1

R_expected

−0.570

8.085

−34.551

−5.284

−1.163

4.023

44.283

3512

44.6

Deviation

0.037

0.761

−4.408

−0.157

−0.021

0.144

13.329

3512

44.6

Multiple

−1.995

0.429

−10.715

−2.066

−1.993

−1.925

3.911

3512

0.5

−3×

R_target

−0.782

12.203

−44.315

−8.019

−2.169

5.568

94.141

3512

43.9

R_expected

−0.855

12.127

−51.826

−7.926

−1.745

6.034

66.425

3512

44.6

Deviation

0.073

1.529

−9.074

−0.316

−0.041

0.287

27.717

3512

44.5

Multiple

−2.988

0.851

−19.983

−3.130

−2.983

−2.849

9.030

3512

0.7

Panel C: 22 trading days

R_index

1.350

9.344

−29.968

−4.236

1.541

6.067

33.794

3496

56.9

R_target

2.925

19.127

−52.727

−8.917

2.679

11.893

76.932

3496

56.5

R_expected

2.701

18.688

−59.937

−8.472

3.082

12.133

67.587

3496

56.9

Deviation

0.225

1.346

−3.196

−0.305

−0.058

0.317

9.344

3496

42.4

Multiple

1.999

0.337

−3.148

1.937

2.004

2.075

4.952

3496

99.6

R_target

4.754

29.499

−69.350

−13.818

3.401

17.606

131.344

3496

55.8

R_expected

4.051

28.033

−89.905

−12.708

4.624

18.200

101.381

3496

56.9

Deviation

0.703

4.131

−9.681

−0.912

−0.169

0.962

29.963

3496

42.4

Multiple

2.989

1.009

−12.744

2.803

3.004

3.216

11.835

3496

98.9

−1×

R_target

−1.161

9.029

−26.157

−6.240

−1.877

3.926

37.999

3496

42.0

R_expected

−1.350

9.344

−33.794

−6.067

−1.541

4.236

29.968

3496

43.1

Deviation

0.189

1.264

−3.451

−0.312

−0.062

0.317

8.601

3496

42.2

Multiple

−0.991

0.327

−5.618

−1.053

−0.990

−0.917

1.811

3496

1.1

−2×

R_target

−2.174

17.840

−46.157

−12.547

−4.128

7.553

85.378

3496

41.2

R_expected

−2.701

18.688

−67.587

−12.133

−3.082

8.472

59.937

3496

43.1

Deviation

0.527

3.723

−10.601

−0.925

−0.196

0.934

27.799

3496

41.9

Multiple

−1.963

0.963

−15.163

−2.147

−1.962

−1.746

6.159

3496

2.0

−3×

R_target

−3.084

26.502

−61.272

−18.906

−6.600

10.737

144.275

3496

40.1

R_expected

−4.051

28.033

−101.381

−18.200

−4.624

12.708

89.905

3496

43.1

Deviation

0.967

7.318

−21.382

−1.878

−0.386

1.822

59.888

3496

41.8

Multiple

−2.907

1.882

−27.843

−3.277

−2.913

−2.486

12.671

3496

3.0

Panel D: 250 trading days

R_index

24.278

66.747

−70.535

−14.362

6.237

36.899

324.576

3279

56.0

R_target

82.438

239.174

−93.032

−31.364

7.632

70.654

1485.898

3279

54.3

R_expected

48.556

133.494

−141.070

−28.724

12.474

73.798

649.153

3279

56.0

Deviation

33.882

114.719

−19.048

−4.006

−0.577

9.706

836.745

3279

46.6

Multiple

2.154

0.882

−5.531

1.822

2.061

2.447

10.752

3279

98.3

R_target

213.832

694.151

−98.690

−48.081

2.357

92.072

5089.649

3279

50.9

R_expected

72.833

200.241

−211.606

−43.086

18.710

110.697

973.729

3279

56.0

Deviation

140.999

518.837

−58.233

−11.527

−0.958

26.651

4115.920

3279

48.4

Multiple

3.541

2.926

−16.734

2.360

3.096

4.261

25.036

3279

94.9

−1×

R_target

−9.362

36.924

−79.234

−33.029

−10.023

9.305

173.641

3279

36.9

R_expected

−24.278

66.747

−324.576

−36.899

−6.237

14.362

70.535

3279

44.0

Deviation

14.916

42.754

−18.083

−4.276

−0.739

9.767

245.343

3279

44.6

Multiple

−0.831

0.759

−7.920

−1.061

−0.847

−0.513

8.069

3279

7.1

−2×

R_target

−12.760

71.597

−96.196

−58.836

−22.559

12.032

504.045

3279

32.1

R_expected

−48.556

133.494

−649.153

−73.798

−12.474

28.724

141.070

3279

44.0

Deviation

35.796

102.818

−56.914

−12.419

−2.718

27.680

552.957

3279

44.0

Multiple

−1.446

2.082

−19.224

−2.063

−1.468

−0.626

21.502

3279

12.0

−3×

R_target

−15.423

106.446

−99.386

−77.508

−36.696

5.639

971.458

3279

27.7

R_expected

−72.833

200.241

−973.729

−110.697

−18.710

43.086

211.606

3279

44.0

Deviation

57.410

170.537

−112.130

−23.993

−6.516

51.788

874.343

3279

43.9

Multiple

−1.808

3.697

−29.879

−2.910

−1.825

−0.552

35.196

3279

16.3