Table 2. Verified portfolio’s statistics...

Table 2.

Verified portfolio’s statistics

Portfolio	P1	P2	P3	P4	P5	P6	P7	P8	P9	P10
A. Based on portfolio daily beta
beta	0.30	0.52	0.65	0.74	0.84	0.94	1.03	1.14	1.29	1.60
Market cap (in 100 mn won)	15,675	15,746	16,369	17,522	20,247	21,522	21,540	27,978	30,592	38,730
B/P	0.91	1.00	1.02	1.02	1.00	1.01	0.97	0.91	0.90	0.96
Momentum (%)	32.4	26.4	23.2	22.0	21.7	21.4	22.8	20.5	18.3	16.8
Volatility (%)	36.0	36.1	37.2	38.3	39.0	40.6	41.1	42.5	45.0	48.3
Number of data points	33.3	32.8	33.0	32.9	32.7	33.0	33.0	32.8	33.0	33.4
B. Based on portfolio daytime beta
beta	0.28	0.53	0.66	0.78	0.87	0.98	1.10	1.12	1.38	1.71
Market cap (in 100 mn won)	16,684	18,134	19,773	20.977	23,933	21,399	22,211	24,602	29,716	28,499
B/P	0.92	1.00	1.01	1.01	1.04	1.04	0.96	0.93	0.89	0.89
Momentum (%)	28.8	25.0	22.6	20.9	22.1	19.8	20.4	21.1	21.4	24.2
Volatility (%)	35.7	36.1	37.1	37.9	38.6	40.3	41.2	42.7	44.7	49.8
Number of data points	33.3	32.8	33.0	32.9	32.7	33.0	33.0	32.8	33.0	33.4
C. Based on portfolio overnight beta
beta	0.29	0.51	0.64	0.74	0.83	0.93	1.02	1.12	1.27	1.59
Market cap (in 100 mn won)	15,695	15,338	15,361	16,098	20,953	21,769	22,331	25,635	31,760	40,961
B/P	0.99	1.05	1.04	1.07	1.03	0.97	0.91	0.87	0.85	0.90
Momentum (%)	24.5	24.6	23.1	21.9	21.3	20.2	21.6	25.3	21.9	21.1
Volatility (%)	33.7	36.1	37.6	38.6	39.2	40.2	41.7	43.1	45.1	48.9
Number of data points	33.3	32.8	33.0	32.9	32.7	33.0	33.0	32.8	33.0	33.4

Portfolio	P1	P2	P3	P4	P5	P6	P7	P8	P9	P10
A. Based on portfolio daily beta
beta	0.30	0.52	0.65	0.74	0.84	0.94	1.03	1.14	1.29	1.60
Market cap (in 100 mn won)	15,675	15,746	16,369	17,522	20,247	21,522	21,540	27,978	30,592	38,730
B/P	0.91	1.00	1.02	1.02	1.00	1.01	0.97	0.91	0.90	0.96
Momentum (%)	32.4	26.4	23.2	22.0	21.7	21.4	22.8	20.5	18.3	16.8
Volatility (%)	36.0	36.1	37.2	38.3	39.0	40.6	41.1	42.5	45.0	48.3
Number of data points	33.3	32.8	33.0	32.9	32.7	33.0	33.0	32.8	33.0	33.4
B. Based on portfolio daytime beta
beta	0.28	0.53	0.66	0.78	0.87	0.98	1.10	1.12	1.38	1.71
Market cap (in 100 mn won)	16,684	18,134	19,773	20.977	23,933	21,399	22,211	24,602	29,716	28,499
B/P	0.92	1.00	1.01	1.01	1.04	1.04	0.96	0.93	0.89	0.89
Momentum (%)	28.8	25.0	22.6	20.9	22.1	19.8	20.4	21.1	21.4	24.2
Volatility (%)	35.7	36.1	37.1	37.9	38.6	40.3	41.2	42.7	44.7	49.8
Number of data points	33.3	32.8	33.0	32.9	32.7	33.0	33.0	32.8	33.0	33.4
C. Based on portfolio overnight beta
beta	0.29	0.51	0.64	0.74	0.83	0.93	1.02	1.12	1.27	1.59
Market cap (in 100 mn won)	15,695	15,338	15,361	16,098	20,953	21,769	22,331	25,635	31,760	40,961
B/P	0.99	1.05	1.04	1.07	1.03	0.97	0.91	0.87	0.85	0.90
Momentum (%)	24.5	24.6	23.1	21.9	21.3	20.2	21.6	25.3	21.9	21.1
Volatility (%)	33.7	36.1	37.6	38.6	39.2	40.2	41.7	43.1	45.1	48.9
Number of data points	33.3	32.8	33.0	32.9	32.7	33.0	33.0	32.8	33.0	33.4

Note:

The portfolio’s indicated values are calculated by averaging the 226 data collected on the reference date (end of each month) from January 2001 to October 2019

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