| Consumer discretionary | Consumer staples | Financials | Health | Industrials | Materials | Real estate | Technology | Telecom | Utilities | Oil |
---|---|---|---|---|---|---|---|---|---|---|---|
Full data sample (8/01/2004 to 12/30/2020) | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â |
Mean | 0.040 | 0.028 | 0.006 | 0.033 | 0.028 | 0.024 | 0.013 | 0.054 | 0.022 | 0.022 | 0.040 |
Maximum | 12.316 | 11.534 | 25.090 | 10.244 | 10.061 | 11.207 | 19.487 | 9.542 | 26.304 | 12.367 | 12.316 |
Minimum |  − 14.565 |  − 11.673 |  − 19.660 |  − 13.705 |  − 14.255 |  − 20.510 |  − 16.546 |  − 11.364 |  − 14.585 |  − 10.746 |  − 14.565 |
Std. Dev | 1.462 | 1.000 | 2.019 | 1.150 | 1.414 | 1.582 | 1.897 | 1.329 | 1.399 | 1.194 | 1.462 |
Skewness |  − 0.603 |  − 1.057 | 0.303 |  − 0.685 |  − 0.575 |  − 0.934 |  − 0.200 |  − 0.671 | 1.024 |  − 0.497 |  − 0.603 |
Kurtosis | 17.637 | 24.383 | 22.990 | 15.522 | 13.682 | 17.431 | 20.136 | 10.602 | 45.652 | 16.146 | 17.637 |
Before COVID-19 (8/01/2004 to 12/31/2019) | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â |
Mean | 0.037 | 0.028 | 0.007 | 0.033 | 0.028 | 0.021 | 0.016 | 0.048 | 0.017 | 0.025 | 0.010 |
Maximum | 0.087 | 0.040 | 0.054 | 0.083 | 0.071 | 0.073 | 0.068 | 0.131 | 0.045 | 0.060 | 0.036 |
Minimum |  − 14.565 |  − 11.673 |  − 19.660 |  − 13.705 |  − 14.255 |  − 14.782 |  − 16.546 |  − 11.364 |  − 14.585 |  − 10.746 |  − 16.832 |
Std. Dev | 1.403 | 0.952 | 1.969 | 1.107 | 1.332 | 1.496 | 1.868 | 1.262 | 1.359 | 1.112 | 2.150 |
Skewness |  − 0.517 |  − 0.881 | 0.451 |  − 0.665 |  − 0.524 |  − 0.537 |  − 0.149 |  − 0.570 | 1.360 |  − 0.165 | 0.124 |
Kurtosis | 18.880 | 26.295 | 25.529 | 17.004 | 13.953 | 11.765 | 21.854 | 11.048 | 52.910 | 15.618 | 7.807 |
COVID-19 sample (1/2/2020 to 12/30/2020) | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â |
Mean | 0.100 | 0.027 |  − 0.021 | 0.042 | 0.030 | 0.063 |  − 0.038 | 0.159 | 0.101 |  − 0.018 | 0.100 |
Maximum | 8.923 | 5.148 | 8.774 | 4.795 | 8.319 | 10.899 | 7.942 | 6.055 | 6.238 | 6.594 | 8.923 |
Minimum |  − 10.963 |  − 9.144 |  − 12.379 |  − 7.824 |  − 11.780 |  − 20.510 |  − 10.911 |  − 9.031 |  − 9.296 |  − 10.511 |  − 10.963 |
Std. Dev | 2.181 | 1.567 | 2.679 | 1.676 | 2.338 | 2.571 | 2.314 | 2.104 | 1.911 | 2.081 | 2.181 |
Skewness |  − 0.914 |  − 1.470 |  − 0.616 |  − 0.689 |  − 0.599 |  − 1.976 |  − 0.585 |  − 0.979 |  − 1.012 |  − 1.111 |  − 0.914 |
Kurtosis | 8.782 | 11.278 | 6.967 | 6.572 | 7.403 | 20.422 | 6.547 | 5.831 | 6.926 | 9.015 | 8.782 |