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 | |
2× | 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 | |
3× | 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 | |
2× | 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 | |
3× | 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 | |
2× | 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 | |
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 |