Table 2 p -value results of t -tests...

Table 2

p-value results of t-tests showing statistically significant difference in cumulative wealth using a constant portfolio with weights as taken from year as shown in the first column across individual years and full-sample as shown in the first row

Statistically significant differences in wealth – daily returns
Constituents	Full-sample	2020	2019	2018	2017	2016	2015	2014	2013	2012	2011	2010	2009	2008	2007	2006	2005
2004	0	0	0	0	0	0	0	0	0	0	0.578	0	0	0	0	0.083	1
2005	0	0	0	0	0	0	0	0	0	0	0.139	0.504	0.067	0.328	0.396	1
2006	0.015	0	0	0	0	0	0	0	0.003	0	0	0	0.276	0.583	1
2007	0	0	0	0	0	0	0	0	0	0	0.004	0.001	0.766	1
2008	0	0	0	0	0	0	0	0	0	0.195	0.366	0.121	1
2009	0	0	0	0	0	0	0	0	0	0.350	0.113	1
2010	0.462	0.492	0	0	0.901	0.184	0.149	0.434	0.825	0.492	1
2011	0.040	0.009	0	0	0.096	0	0	0.002	0.784	1
2012	0.783	0.094	0.021	0.252	0.060	0.223	0.416	0.931	1.000
2013	0.325	0.038	0.205	0.570	0.001	0.014	0.820	1
2014	0.004	0.024	0.000	0.000	0.734	0.011	1
2015	0.067	0.359	0.000	0.000	0.790	1
2016	0.827	0.017	0.001	0.003	1
2017	0.000	0.000	0.987	1
2018	0.001	0.000	1
2019	1	1

Statistically significant differences in wealth – daily returns
Constituents	Full-sample	2020	2019	2018	2017	2016	2015	2014	2013	2012	2011	2010	2009	2008	2007	2006	2005
2004	0	0	0	0	0	0	0	0	0	0	0.578	0	0	0	0	0.083	1
2005	0	0	0	0	0	0	0	0	0	0	0.139	0.504	0.067	0.328	0.396	1
2006	0.015	0	0	0	0	0	0	0	0.003	0	0	0	0.276	0.583	1
2007	0	0	0	0	0	0	0	0	0	0	0.004	0.001	0.766	1
2008	0	0	0	0	0	0	0	0	0	0.195	0.366	0.121	1
2009	0	0	0	0	0	0	0	0	0	0.350	0.113	1
2010	0.462	0.492	0	0	0.901	0.184	0.149	0.434	0.825	0.492	1
2011	0.040	0.009	0	0	0.096	0	0	0.002	0.784	1
2012	0.783	0.094	0.021	0.252	0.060	0.223	0.416	0.931	1.000
2013	0.325	0.038	0.205	0.570	0.001	0.014	0.820	1
2014	0.004	0.024	0.000	0.000	0.734	0.011	1
2015	0.067	0.359	0.000	0.000	0.790	1
2016	0.827	0.017	0.001	0.003	1
2017	0.000	0.000	0.987	1
2018	0.001	0.000	1
2019	1	1

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