Table 8 OCIO asset allocation... | Emerald Publishing

Table 8

OCIO asset allocation capabilities' impact on performance

Variavles	Return		Vol		Sharpe
Variavles	(1–1)	(1–2)	(1–3)	(1–4)	(1–5)	(1–6)
intercept	4.9312^*	7.2272^**	2.8431^**	2.7238^*	1.4823	2.3666^*
intercept	(1.92)	(2.40)	(2.09)	(1.69)	(1.38)	(1.89)
ocio	0.4488	1.4637^*	0.1097	0.0555	0.2934	0.6969^**
ocio	(1.04)	(1.77)	(0.47)	(0.12)	(1.61)	(2.00)
ocio × sf_wt		−0.0279		0.0015		−0.0111
ocio × sf_wt		(−1.44)		(0.14)		(−1.35)
ln(tot_amt)	−0.0151	−0.1116	0.0341	0.0394	−0.0271	−0.0666
ln(tot_amt)	(−0.15)	(−0.91)	(0.61)	(0.58)	(−0.62)	(−1.27)
long_wt	0.0016	0.0031	−0.0060	−0.0060	−0.0016	−0.0009
long_wt	(0.15)	(0.28)	(−0.99)	(−1.00)	(−0.33)	(−0.19)
sf_wt	0.0320^***	0.0473^***	0.0165^**	0.0157^*	0.0038	0.0097
sf_wt	(3.16)	(3.23)	(2.61)	(1.84)	(0.91)	(1.61)
Dependent variable (t−1)	0.0474	0.0251	0.8110^***	0.8117^***	0.0376	0.0402
Dependent variable (t−1)	(0.38)	(0.20)	(4.94)	(4.91)	(0.52)	(0.56)
adj R²	0.7450	0.7519	0.8389	0.8390	0.6975	0.7047
Fixed year	Yes	Yes	Yes	Yes	Yes	Yes

Variavles	Return		Vol		Sharpe
Variavles	(1–1)	(1–2)	(1–3)	(1–4)	(1–5)	(1–6)
intercept	4.9312^*	7.2272^**	2.8431^**	2.7238^*	1.4823	2.3666^*
intercept	(1.92)	(2.40)	(2.09)	(1.69)	(1.38)	(1.89)
ocio	0.4488	1.4637^*	0.1097	0.0555	0.2934	0.6969^**
ocio	(1.04)	(1.77)	(0.47)	(0.12)	(1.61)	(2.00)
ocio × sf_wt		−0.0279		0.0015		−0.0111
ocio × sf_wt		(−1.44)		(0.14)		(−1.35)
ln(tot_amt)	−0.0151	−0.1116	0.0341	0.0394	−0.0271	−0.0666
ln(tot_amt)	(−0.15)	(−0.91)	(0.61)	(0.58)	(−0.62)	(−1.27)
long_wt	0.0016	0.0031	−0.0060	−0.0060	−0.0016	−0.0009
long_wt	(0.15)	(0.28)	(−0.99)	(−1.00)	(−0.33)	(−0.19)
sf_wt	0.0320^***	0.0473^***	0.0165^**	0.0157^*	0.0038	0.0097
sf_wt	(3.16)	(3.23)	(2.61)	(1.84)	(0.91)	(1.61)
Dependent variable (t−1)	0.0474	0.0251	0.8110^***	0.8117^***	0.0376	0.0402
Dependent variable (t−1)	(0.38)	(0.20)	(4.94)	(4.91)	(0.52)	(0.56)
adj R²	0.7450	0.7519	0.8389	0.8390	0.6975	0.7047
Fixed year	Yes	Yes	Yes	Yes	Yes	Yes

Source(s): Author's work [Using the data in Tables 2 and 4, we performed the analysis (statistics, correlation and regression analysis)]