Table 2 Performance results Portfolio...

Table 2

Performance results

Portfolio code		Panel 1 Regression analysis				Panel 2 Calculations of Jensen’s alpha and Treynor ratio
		Beta	Bull	Bear	R²	Ave portfolio	Bull Jensen’s alpha	Bear Jensen’s alpha	Normal Jensen’s alpha	Treynor ratio
Active portfolio	P1	0.570***	0.008*	−0.032**	0.577	0.007	−0.005	0.035	0.004	0.013
	P2	0.646***	0.008*	−0.006*	0.578	0.007	−0.005	0.009	0.004	0.012
	P3	0.551***	0.004**	0.033**	0.452	0.006	−0.002	−0.031	0.002	0.011
	P4	0.616***	0.014*	−0.055***	0.590	0.005	−0.012	0.056	0.002	0.009
	P5	0.638***	−0.019*	0.021*	0.264	0.013	0.029	−0.011	0.010	0.021
	P6	0.123***	0.000**	0.041***	0.110	0.000	0.000	−0.040	0.000	0.007
	P7	0.671***	0.012*	−0.028*	0.630	0.007	−0.009	0.031	0.003	0.011
	P8	0.571***	0.020*	0.055***	0.441	0.009	−0.014	−0.049	0.006	0.017
	P9	0.571***	0.019**	0.087***	0.443	0.007	−0.015	−0.083	0.004	0.014
	P10	0.586***	0.008**	0.010*	0.592	0.007	−0.004	−0.007	0.003	0.012
Passive portfolio	PP1	1.052***	−0.001*	0.013***	0.968	0.006	0.001	−0.013	−0.001	0.006
	PP2	0.968***	0.001**	−0.039***	0.836	0.005	−0.002	0.038	0.000	0.006
	PP3	0.935***	−0.037*	0.045*	0.392	0.011	0.043	−0.039	0.006	0.013
	PP4	0.647***	−0.031*	0.051*	0.008	0.008	0.035	−0.047	0.004	0.013
	PP5	0.938***	−0.002*	0.011**	0.934	0.006	0.002	−0.011	0.001	0.007
	PP6	1.038***	−0.002*	0.027***	0.950	0.006	0.002	−0.027	0.000	0.007
	PP7	1.228***	−0.001*	−0.037**	0.721	0.001	−0.006	0.030	−0.007	0.001
	PP8	0.93***	0.000**	0.005*	0.863	0.006	0.000	−0.005	0.000	0.007
	PP9	0.139***	0.003**	−0.004*	0.073	0.003	−0.001	0.007	0.003	0.025
	PP10	0.887***	−0.010*	0.010*	0.852	0.006	0.011	−0.009	0.001	0.007

Portfolio code		Panel 1Regression analysis				Panel 2Calculations of Jensen’s alpha and Treynor ratio
		Beta	Bull	Bear	R²	Ave portfolio	Bull Jensen’s alpha	Bear Jensen’s alpha	Normal Jensen’s alpha	Treynor ratio
Active portfolio	P1	0.570***	0.008*	−0.032**	0.577	0.007	−0.005	0.035	0.004	0.013
	P2	0.646***	0.008*	−0.006*	0.578	0.007	−0.005	0.009	0.004	0.012
	P3	0.551***	0.004**	0.033**	0.452	0.006	−0.002	−0.031	0.002	0.011
	P4	0.616***	0.014*	−0.055***	0.590	0.005	−0.012	0.056	0.002	0.009
	P5	0.638***	−0.019*	0.021*	0.264	0.013	0.029	−0.011	0.010	0.021
	P6	0.123***	0.000**	0.041***	0.110	0.000	0.000	−0.040	0.000	0.007
	P7	0.671***	0.012*	−0.028*	0.630	0.007	−0.009	0.031	0.003	0.011
	P8	0.571***	0.020*	0.055***	0.441	0.009	−0.014	−0.049	0.006	0.017
	P9	0.571***	0.019**	0.087***	0.443	0.007	−0.015	−0.083	0.004	0.014
	P10	0.586***	0.008**	0.010*	0.592	0.007	−0.004	−0.007	0.003	0.012
Passive portfolio	PP1	1.052***	−0.001*	0.013***	0.968	0.006	0.001	−0.013	−0.001	0.006
	PP2	0.968***	0.001**	−0.039***	0.836	0.005	−0.002	0.038	0.000	0.006
	PP3	0.935***	−0.037*	0.045*	0.392	0.011	0.043	−0.039	0.006	0.013
	PP4	0.647***	−0.031*	0.051*	0.008	0.008	0.035	−0.047	0.004	0.013
	PP5	0.938***	−0.002*	0.011**	0.934	0.006	0.002	−0.011	0.001	0.007
	PP6	1.038***	−0.002*	0.027***	0.950	0.006	0.002	−0.027	0.000	0.007
	PP7	1.228***	−0.001*	−0.037**	0.721	0.001	−0.006	0.030	−0.007	0.001
	PP8	0.93***	0.000**	0.005*	0.863	0.006	0.000	−0.005	0.000	0.007
	PP9	0.139***	0.003**	−0.004*	0.073	0.003	−0.001	0.007	0.003	0.025
	PP10	0.887***	−0.010*	0.010*	0.852	0.006	0.011	−0.009	0.001	0.007

Note(s): The first panel presents the regression analysis, and panel 2 shows the computations for Jensen’s alpha and Treynor ratio. Beta is the regression coefficient for portfolios to benchmark index (Johannesburg Stock Exchange Allshare Index). Bull and bear are coefficients of dummy variables for bull and bear market conditions, respectively. R² is the R-squared regression output. Jensen’s alpha is calculated using equation (1), and Treynor ratio is calculated using equation (4)

Statistical significance at *** 1%, **5%, *10%

Source(s): Authors' computations

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