Funds

Variables

2008 financial crisis

2015 Chinese market crash

2020 COVID-19 pandemic

Mean

SD

Median

Mean

SD

Median

Mean

SD

Median

Panel A: 1 trading day

Index return

−0.181

2.816

−0.114

−0.246

2.801

0.018

0.051

1.575

0.180

Panel B: 5 trading days

R_index

−0.999

6.463

−1.978

−1.357

6.158

−0.287

0.447

3.196

1.115

2×

R_target

−1.965

12.856

−4.416

−2.698

12.093

−0.614

0.896

6.341

2.216

R_expected

−1.997

12.926

−3.956

−2.713

12.316

−0.573

0.893

6.393

2.230

Deviation

0.032

0.466

−0.025

0.015

0.555

−0.037

0.003

0.168

−0.003

Multiple

2.011

0.163

2.000

1.973

0.136

1.994

1.999

0.070

2.002

3×

R_target

−2.901

19.197

−7.095

−4.018

17.827

−0.980

1.348

9.441

3.303

R_expected

−2.996

19.390

−5.934

−4.070

18.474

−0.860

1.340

9.589

3.345

Deviation

0.095

1.390

−0.075

0.052

1.638

−0.111

0.008

0.504

−0.010

Multiple

3.028

0.486

2.992

2.916

0.409

2.981

2.997

0.212

3.005

−1×

R_target

1.030

6.553

1.701

1.366

6.404

0.245

−0.442

3.255

−1.174

R_expected

0.999

6.463

1.978

1.357

6.158

0.287

−0.447

3.196

−1.115

Deviation

0.032

0.476

−0.034

0.009

0.586

−0.041

0.005

0.168

−0.003

Multiple

−0.986

0.164

−0.997

−1.023

0.136

−1.005

−1.000

0.069

−0.998

−2×

R_target

2.092

13.216

3.001

2.733

13.080

0.401

−0.878

6.577

−2.369

R_expected

1.997

12.926

3.956

2.713

12.316

0.573

−0.893

6.393

−2.230

Deviation

0.095

1.441

−0.098

0.020

1.792

−0.129

0.015

0.506

−0.008

Multiple

−1.953

0.494

−1.988

−2.066

0.407

−2.013

−2.000

0.208

−1.994

−3×

R_target

3.186

20.011

3.968

4.094

20.058

0.249

−1.307

9.971

−3.590

R_expected

2.996

19.390

5.934

4.070

18.474

0.860

−1.340

9.589

−3.345

Deviation

0.191

2.908

−0.188

0.024

3.661

−0.280

0.033

1.015

−0.014

Multiple

−2.900

0.991

−2.969

−3.123

0.814

−3.025

−2.998

0.414

−2.986

R_index

−4.942

12.877

−6.251

−6.312

11.463

−6.617

0.464

6.449

2.485

Panel C: 22 trading days

R_index

−4.942

12.877

−6.251

−4.226

7.291

−4.060

−0.716

−2.191**

−4.226

2×

R_target

−9.599

25.117

−13.613

−12.409

21.978

−14.499

0.906

12.865

4.736

R_expected

−9.885

25.754

−12.502

−12.623

22.925

−13.233

0.928

12.898

4.969

Deviation

0.286

2.073

−0.061

0.214

1.749

−0.262

−0.022

0.376

−0.047

Multiple

1.954

0.450

1.953

1.986

0.346

1.968

1.972

0.111

1.989

3×

R_target

−13.899

36.865

−22.405

−18.122

31.525

−22.428

1.344

19.208

6.740

R_expected

−14.827

38.631

−18.754

−18.935

34.388

−19.850

1.391

19.347

7.454

Deviation

0.928

6.160

0.117

0.812

5.175

−0.725

−0.048

1.143

−0.155

Multiple

2.837

1.329

2.836

2.931

1.035

2.883

2.906

0.336

2.956

−1×

R_target

5.126

13.626

5.033

6.304

12.332

5.632

−0.508

6.436

−2.779

R_expected

4.942

12.877

6.251

6.312

11.463

6.617

−0.464

6.449

−2.485

Deviation

0.184

2.139

−0.392

−0.007

1.787

−0.345

−0.044

0.364

−0.090

Multiple

−1.016

0.452

−1.022

−0.987

0.339

−1.010

−1.019

0.106

−1.006

−2×

R_target

10.301

28.083

8.207

12.338

25.395

10.421

−1.085

12.808

−5.679

R_expected

9.885

25.754

12.502

12.623

22.925

13.233

−0.928

12.898

−4.969

Deviation

0.416

6.490

−1.475

−0.285

5.366

−1.191

−0.158

1.086

−0.277

Multiple

−2.015

1.337

−2.033

−1.932

0.998

−1.996

−2.049

0.315

−2.008

−3×

R_target

15.354

43.423

10.147

17.812

38.998

13.875

−1.760

19.060

−8.687

R_expected

14.827

38.631

18.754

18.935

34.388

19.850

−1.391

19.347

−7.454

Deviation

0.527

13.121

−3.124

−1.123

10.709

−2.538

−0.369

2.162

−0.495

Multiple

−2.962

2.623

−3.008

−2.809

1.949

−2.937

−3.080

0.623

−2.987