| Funds | 2008 financial crisis | 2015 Chinese market crash | 2020 COVID-19 pandemic | ||||||
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | |
| 1 day | 5 days | 22 days | 1 day | 5 days | 22 days | 1 day | 5 days | 22 days | |
| Panel A: based on rolling observations | |||||||||
| 2× | −1.048 | −1.100 | −1.302 | −1.421 | −1.582 | −1.900 | 0.493 | 0.944 | 0.194 |
| 3× | −1.038 | −1.090 | −1.289 | −1.413 | −1.596 | −1.935 | 0.502 | 0.959 | 0.199 |
| −1× | 0.962 | 1.009 | 1.155 | 1.349 | 1.423 | 1.619 | −0.573 | −1.006 | −0.323 |
| −2× | 0.990 | 1.034 | 1.143 | 1.373 | 1.413 | 1.556 | −0.546 | −0.965 | −0.316 |
| −3× | 1.000 | 1.038 | 1.100 | 1.381 | 1.382 | 1.463 | −0.537 | −0.942 | −0.335 |
| Panel B: based on non-rolling observations | |||||||||
| 2× | −1.048 | −1.116 | −0.633 | −1.108 | −1.319 | −1.808 | 0.493 | 0.484 | 0.500 |
| 3× | −1.038 | −1.147 | −0.546 | −1.102 | −1.356 | −1.882 | 0.502 | 0.456 | 0.427 |
| −1× | 0.962 | 0.919 | 0.767 | 1.052 | 1.123 | 1.315 | −0.573 | −0.677 | −0.846 |
| −2× | 0.990 | 0.918 | 0.841 | 1.071 | 1.111 | 1.175 | −0.546 | −0.678 | −0.890 |
| −3× | 1.000 | 0.900 | 0.886 | 1.077 | 1.085 | 0.971 | −0.537 | −0.697 | −0.961 |