Table 9. Monthly return statistics of...

Table 9.

Monthly return statistics of the zero-cost trading strategy

	Beta calculation method
	Daily return				Daytime return			Overnight return
	Daytime (%)	Overnight (%)	Daytime + overnight (%)	Daytime (%)	Overnight (%)	Daytime + overnight (%)	Daytime (%)	Overnight (%)	Daytime + overnight (%)
A. Equal-weighted returns
Average	2.24	2.32	4.61	2.63	2.52	5.24	3.77	3.04	6.96
Standard deviation	6.22	4.94	8.11	6.08	4.91	8.35	6.04	5.35	8.79
Minimum value	−22.76	−12.54	−26.41	−26.24	−12.44	−29.46	−24.85	−12.35	−29.67
Maximum value	25.53	21.12	36.12	28.83	22.98	43.13	25.81	27.49	38.70
Probability of a positive value	67.56	75.56	78.67	68.89	72.00	79.56	77.33	76.00	81.33
B. Value-weighted returns
Average	2.29	2.42	4.81	3,26	3.15	6.54	3.68	3.03	6.90
Standard deviation	7.63	5.41	10.04	7,52	5.40	9.94	7.84	5.99	11.18
Minimum value	−19.00	−12.94	−28.61	−21.05	−13.13	−26.48	−19.48	−18.77	−30.91
Maximum value	34.19	24.81	49.49	38.04	24.07	56.20	40.61	25.89	62.40
Probability of a positive value	63.56	71.11	68.89	72.44	76.00	79.11	72.44	73.33	75.56

	Beta calculation method
	Daily return				Daytime return			Overnight return
	Daytime (%)	Overnight (%)	Daytime + overnight (%)	Daytime (%)	Overnight (%)	Daytime + overnight (%)	Daytime (%)	Overnight (%)	Daytime + overnight (%)
A. Equal-weighted returns
Average	2.24	2.32	4.61	2.63	2.52	5.24	3.77	3.04	6.96
Standard deviation	6.22	4.94	8.11	6.08	4.91	8.35	6.04	5.35	8.79
Minimum value	−22.76	−12.54	−26.41	−26.24	−12.44	−29.46	−24.85	−12.35	−29.67
Maximum value	25.53	21.12	36.12	28.83	22.98	43.13	25.81	27.49	38.70
Probability of a positive value	67.56	75.56	78.67	68.89	72.00	79.56	77.33	76.00	81.33
B. Value-weighted returns
Average	2.29	2.42	4.81	3,26	3.15	6.54	3.68	3.03	6.90
Standard deviation	7.63	5.41	10.04	7,52	5.40	9.94	7.84	5.99	11.18
Minimum value	−19.00	−12.94	−28.61	−21.05	−13.13	−26.48	−19.48	−18.77	−30.91
Maximum value	34.19	24.81	49.49	38.04	24.07	56.20	40.61	25.89	62.40
Probability of a positive value	63.56	71.11	68.89	72.44	76.00	79.11	72.44	73.33	75.56

Note:

A portfolio is calculated at the base date (end of each month) and used to construct the zero-cost portfolio. This table summarizes the statistics of the zero-cost portfolio’s next month’s returns based on the 226 data points collected from January 2001 to October 2019

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