Comparison of the statistics of returns for the zero-cost trading strategy by time period
| Before 2016 | After 2106 | |||||
|---|---|---|---|---|---|---|
| Daytime (%) | Overnight (%) | Low beta strategy (%) | Daytime (%) | Overnight (%) | Low beta strategy (%) | |
| Average | 4.04 | 3.13 | 0.32 | 2.73 | 2.68 | −0.15 |
| Standard deviation | 6.52 | 5.75 | 8.41 | 3.50 | 3.40 | 3.87 |
| Average/standard deviation | 0.620 | 0.545 | 0.039 | 0.780 | 0.786 | −0.040 |
| Probability of a positive value | 77.65 | 75.42 | 56.98 | 76.09 | 78.26 | 45.65 |
| Before 2016 | After 2106 | |||||
|---|---|---|---|---|---|---|
| Daytime (%) | Overnight (%) | Low beta strategy (%) | Daytime (%) | Overnight (%) | Low beta strategy (%) | |
| Average | 4.04 | 3.13 | 0.32 | 2.73 | 2.68 | −0.15 |
| Standard deviation | 6.52 | 5.75 | 8.41 | 3.50 | 3.40 | 3.87 |
| Average/standard deviation | 0.620 | 0.545 | 0.039 | 0.780 | 0.786 | −0.040 |
| Probability of a positive value | 77.65 | 75.42 | 56.98 | 76.09 | 78.26 | 45.65 |
Notes: Below is the comparison of the monthly return statistics of the zero-cost trading strategy conducted by the decile portfolio constructed using the beta computed from the overnight return before and after 2016. The next month’s portfolio return is in the equal-weight criterion. The low-beta method’s return is calculated by buying the portfolio with the lowest beta value at the end of every month and shorting the portfolio with the highest beta value and holding for the next month
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