| Funds | Variables | CSI 300 LETFs | S&P 500 LETFs | Difference test | |||||
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | ||
| Mean | SD | Median | Mean | SD | Median | Mean | Median | ||
| Panel A: 1 trading day | |||||||||
| R_index | 0.058 | 1.737 | 0.092 | 0.033 | 1.283 | 0.069 | 0.025 | 0.023 | |
| Panel B: 5 trading days | |||||||||
| R_index | 0.303 | 4.083 | 0.597 | 0.161 | 2.574 | 0.440 | 0.142* | 0.157** | |
| 2× | R_target | 0.619 | 8.171 | 1.117 | 0.304 | 5.142 | 0.847 | 0.315* | 0.270** |
| R_expected | 0.606 | 8.166 | 1.194 | 0.322 | 5.147 | 0.881 | 0.285* | 0.313** | |
| Deviation | 0.013 | 0.255 | −0.007 | −0.017 | 0.204 | −0.003 | 0.030*** | −0.004*** | |
| Multiple | 2.000 | 0.150 | 2.002 | 1.997 | 0.360 | 2.002 | 0.003 | 0.000 | |
| 3× | R_target | 0.949 | 12.274 | 1.554 | 0.432 | 7.709 | 1.239 | 0.516** | 0.315 |
| R_expected | 0.909 | 12.250 | 1.791 | 0.482 | 7.721 | 1.321 | 0.427* | 0.470** | |
| Deviation | 0.039 | 0.765 | −0.021 | −0.050 | 0.600 | −0.011 | 0.089*** | −0.01*** | |
| Multiple | 2.999 | 0.455 | 3.005 | 2.991 | 1.071 | 3.006 | 0.008 | −0.001 | |
| −1× | R_target | −0.290 | 4.089 | −0.676 | −0.179 | 2.585 | −0.476 | −0.111 | −0.200*** |
| R_expected | −0.303 | 4.083 | −0.597 | −0.161 | 2.574 | −0.440 | −0.142* | −0.157** | |
| Deviation | 0.013 | 0.258 | −0.007 | −0.018 | 0.217 | −0.004 | 0.031*** | −0.003*** | |
| Multiple | −0.999 | 0.146 | −0.998 | −1.002 | 0.363 | −0.998 | 0.003 | 0.000 | |
| −2× | R_target | −0.569 | 8.193 | −1.408 | −0.378 | 5.189 | −0.981 | −0.19 | −0.427*** |
| R_expected | −0.606 | 8.166 | −1.194 | −0.322 | 5.147 | −0.881 | −0.285* | −0.313** | |
| Deviation | 0.037 | 0.777 | −0.021 | −0.057 | 0.667 | −0.011 | 0.094*** | −0.010*** | |
| Multiple | −1.994 | 0.433 | −1.992 | −2.005 | 1.089 | −1.993 | 0.011 | 0.001 | |
| −3× | R_target | −0.835 | 12.325 | −2.245 | −0.598 | 7.825 | −1.523 | −0.237 | −0.722*** |
| R_expected | −0.909 | 12.250 | −1.791 | −0.482 | 7.721 | −1.321 | −0.427* | −0.470** | |
| Deviation | 0.074 | 1.562 | −0.041 | −0.116 | 1.365 | −0.022 | 0.190*** | −0.019*** | |
| Multiple | −2.986 | 0.859 | −2.983 | −3.009 | 2.174 | −2.986 | 0.023 | 0.003 | |
| Panel C: 22 trading days | |||||||||
| R_index | 1.376 | 9.452 | 1.569 | 0.701 | 5.058 | 1.582 | 0.675*** | −0.013 | |
| 2× | R_target | 2.982 | 19.356 | 2.719 | 1.322 | 10.068 | 3.067 | 1.659*** | −0.348 |
| R_expected | 2.752 | 18.903 | 3.139 | 1.402 | 10.116 | 3.163 | 1.350*** | −0.024 | |
| Deviation | 0.229 | 1.373 | −0.059 | −0.080 | 0.633 | −0.047 | 0.309*** | −0.012* | |
| Multiple | 2.000 | 0.337 | 2.004 | 1.988 | 0.305 | 2.002 | 0.012 | 0.002 | |
| 3× | R_target | 4.847 | 29.867 | 3.462 | 1.887 | 14.977 | 4.391 | 2.960*** | −0.929** |
| R_expected | 4.128 | 28.355 | 4.708 | 2.103 | 15.174 | 4.745 | 2.026*** | −0.037 | |
| Deviation | 0.719 | 4.215 | −0.174 | −0.215 | 1.854 | −0.137 | 0.934*** | −0.037** | |
| Multiple | 2.991 | 1.013 | 3.004 | 2.957 | 0.901 | 3.003 | 0.034 | 0.001 | |
| −1× | R_target | −1.184 | 9.126 | −1.923 | −0.807 | 5.032 | −1.701 | −0.376** | −0.222 |
| R_expected | −1.376 | 9.452 | −1.569 | −0.701 | 5.058 | −1.582 | −0.675*** | 0.013 | |
| Deviation | 0.193 | 1.289 | −0.065 | −0.106 | 0.677 | −0.045 | 0.299*** | −0.020*** | |
| Multiple | −0.990 | 0.326 | −0.989 | −1.004 | 0.299 | −0.995 | 0.014* | 0.006*** | |
| −2× | R_target | −2.217 | 18.023 | −4.160 | −1.749 | 9.950 | −3.537 | −0.468 | −0.623** |
| R_expected | −2.752 | 18.903 | −3.139 | −1.402 | 10.116 | −3.163 | −1.350*** | 0.024 | |
| Deviation | 0.535 | 3.795 | −0.201 | −0.347 | 2.070 | −0.138 | 0.883*** | −0.063*** | |
| Multiple | −1.960 | 0.958 | −1.962 | −2.005 | 0.872 | −1.982 | 0.045** | 0.020*** | |
| −3× | R_target | −3.147 | 26.764 | −6.634 | −2.852 | 14.663 | −5.525 | −0.296 | −1.109*** |
| R_expected | −4.128 | 28.355 | −4.708 | −2.103 | 15.174 | −4.745 | −2.026*** | 0.037 | |
| Deviation | 0.981 | 7.458 | −0.399 | −0.749 | 4.213 | −0.276 | 1.730*** | −0.123*** | |
| Multiple | −2.899 | 1.866 | −2.911 | −2.995 | 1.681 | −2.959 | 0.095** | 0.048*** | |
| Panel D: 250 trading days | |||||||||
| R_index | 21.958 | 67.539 | 3.865 | 8.085 | 16.203 | 11.777 | 13.872*** | −7.912*** | |
| 2× | R_target | 77.543 | 243.770 | 2.368 | 15.946 | 32.766 | 22.399 | 61.597*** | −20.031*** |
| R_expected | 43.915 | 135.078 | 7.730 | 16.171 | 32.405 | 23.553 | 27.744*** | −15.823*** | |
| Deviation | 33.628 | 117.438 | −1.003 | −0.225 | 4.406 | −0.473 | 33.852*** | −0.530*** | |
| Multiple | 2.135 | 0.918 | 2.037 | 1.888 | 0.728 | 1.997 | 0.247*** | 0.040*** | |
| 3× | R_target | 207.174 | 710.181 | −5.030 | 23.751 | 49.411 | 31.476 | 183.423*** | −36.506*** |
| R_expected | 65.873 | 202.617 | 11.595 | 24.256 | 48.608 | 35.330 | 41.617*** | −23.735*** | |
| Deviation | 141.301 | 531.563 | −2.347 | −0.505 | 13.194 | −1.800 | 141.806*** | −0.547 | |
| Multiple | 3.478 | 3.026 | 3.012 | 2.609 | 2.080 | 2.943 | 0.869*** | 0.069** | |
| −1× | R_target | −7.597 | 37.108 | −8.256 | −8.760 | 14.420 | −12.379 | 1.163* | 4.123*** |
| R_expected | −21.958 | 67.539 | −3.865 | −8.085 | 16.203 | −11.777 | −13.872*** | 7.912*** | |
| Deviation | 14.361 | 43.625 | −1.118 | −0.675 | 4.345 | −0.209 | 15.036*** | −0.909*** | |
| Multiple | −0.841 | 0.797 | −0.873 | −1.033 | 0.711 | −0.955 | 0.192*** | 0.082*** | |
| −2× | R_target | −9.785 | 72.384 | −20.220 | −18.643 | 25.121 | −24.616 | 8.857*** | 4.396*** |
| R_expected | −43.915 | 135.078 | −7.730 | −16.171 | 32.405 | −23.553 | −27.744*** | 15.823*** | |
| Deviation | 34.130 | 104.828 | −4.010 | −2.472 | 13.368 | −0.360 | 36.602*** | −3.650*** | |
| Multiple | −1.469 | 2.189 | −1.547 | −2.020 | 1.999 | −1.833 | 0.550*** | 0.286*** | |
| −3× | R_target | −11.761 | 108.171 | −34.379 | −29.682 | 30.968 | −36.794 | 17.921*** | 2.415*** |
| R_expected | −65.873 | 202.617 | −11.595 | −24.256 | 48.608 | −35.330 | −41.617*** | 23.735*** | |
| Deviation | 54.112 | 173.728 | −9.335 | −5.425 | 27.399 | −0.124 | 59.538*** | −9.211*** | |
| Multiple | −1.839 | 3.894 | −1.941 | −2.902 | 3.662 | −2.611 | 1.063*** | 0.670*** | |