Performance of top quintile sorted by gross (pre-fee) performance
| Horizon | Value added | Frequency | p-value | ||||
|---|---|---|---|---|---|---|---|
| Q1 | Median | Zero | Q1 | Median | Zero | ||
| Panel A: Gross value added | |||||||
| 1 year | 0.7529 | 53.76% | 64.73% | 64.99% | 2.09% | 0.00% | 0.00% |
| 3 years | 0.5965 | 66.92% | 73.97% | 74.12% | 0.00% | 0.00% | 0.00% |
| 5 years | 0.6283 | 76.32% | 83.42% | 83.61% | 0.00% | 0.00% | 0.00% |
| Panel B: Risk adjusted value added | |||||||
| 1 year | 2.2143 | 62.09% | 64.46% | 64.60% | 0.00% | 0.00% | 0.00% |
| 3 years | 1.8809 | 57.58% | 52.83% | 53.14% | 0.01% | 7.94% | 5.87% |
| 5 years | 1.7566 | 56.65% | 57.92% | 58.11% | 0.10% | 0.01% | 0.01% |
| Panel C: Gross alpha | |||||||
| 1 year | 0.8459 | 68.43% | 69.88% | 70.41% | 0.00% | 0.00% | 0.00% |
| 3 years | 0.6378 | 77.64% | 76.72% | 77.49% | 0.00% | 0.00% | 0.00% |
| 5 years | 0.6070 | 80.51% | 84.70% | 85.06% | 0.00% | 0.00% | 0.00% |
| Panel D: Risk adjusted alpha | |||||||
| 1 year | 1.6397 | 64.20% | 64.20% | 64.99% | 0.00% | 0.00% | 0.00% |
| 3 years | 1.5227 | 54.52% | 50.23% | 51.15% | 1.16% | 46.88% | 29.19% |
| 5 years | 1.4030 | 51.37% | 50.46% | 50.46% | 27.51% | 43.22% | 43.22% |
| Horizon | Value added | Frequency | |||||
|---|---|---|---|---|---|---|---|
| Q1 | Median | Zero | Q1 | Median | Zero | ||
| 1 year | 0.7529 | 53.76% | 64.73% | 64.99% | 2.09% | 0.00% | 0.00% |
| 3 years | 0.5965 | 66.92% | 73.97% | 74.12% | 0.00% | 0.00% | 0.00% |
| 5 years | 0.6283 | 76.32% | 83.42% | 83.61% | 0.00% | 0.00% | 0.00% |
| 1 year | 2.2143 | 62.09% | 64.46% | 64.60% | 0.00% | 0.00% | 0.00% |
| 3 years | 1.8809 | 57.58% | 52.83% | 53.14% | 0.01% | 7.94% | 5.87% |
| 5 years | 1.7566 | 56.65% | 57.92% | 58.11% | 0.10% | 0.01% | 0.01% |
| 1 year | 0.8459 | 68.43% | 69.88% | 70.41% | 0.00% | 0.00% | 0.00% |
| 3 years | 0.6378 | 77.64% | 76.72% | 77.49% | 0.00% | 0.00% | 0.00% |
| 5 years | 0.6070 | 80.51% | 84.70% | 85.06% | 0.00% | 0.00% | 0.00% |
| 1 year | 1.6397 | 64.20% | 64.20% | 64.99% | 0.00% | 0.00% | 0.00% |
| 3 years | 1.5227 | 54.52% | 50.23% | 51.15% | 1.16% | 46.88% | 29.19% |
| 5 years | 1.4030 | 51.37% | 50.46% | 50.46% | 27.51% | 43.22% | 43.22% |
Note(s): For each horizon, the table reports whether the top quintile's future value added exceeds (1) the bottom quintile, (2) the cross-sectional median, and (3) zero. Value added refers to the average weekly value created by top-quintile funds, measured in 100 million KRW units. Frequency denotes the proportion of observations in which the top-quintile average future performance exceeds each benchmark