Table 2 Portfolios time–frequency risk characteristics
From: Stock profiling using time–frequency-varying systematic risk measure
2012–2019 | OLS beta | Tstat1 | Sharpe | Treynor | SD | %Beta < 1 | %Beta = 1 | %Beta > 1 | %Beta < 0 | %Beta = 0 |
|---|---|---|---|---|---|---|---|---|---|---|
Pf1 | 0.60 | 30.86 | − 108.10 | − 1.61 | 0.12 | 100 | 0 | 0 | 0 | 0 |
Pf1 D1 | 0.59 | 32.41 | 0.00 | 0.00 | 0.13 | 100 | 0 | 0 | 0 | 0 |
Pf1 D6 | 0.56 | 36.46 | − 0.04 | 0.00 | 0.20 | 99.88 | 0 | 0 | 0 | 0.12 |
Pf2 | 0.99 | 0.70 | − 67.62 | − 0.96 | 0.18 | 43.48 | 16.51 | 40.01 | 0 | 0 |
Pf2 D1 | 0.99 | 0.64 | 0.01 | 0.00 | 0.19 | 43.78 | 20.63 | 35.59 | 0 | 0 |
Pf2 D6 | 1.15 | 7.49 | − 0.04 | 0.00 | 0.35 | 34.45 | 11.84 | 53.71 | 0 | 0 |
Pf3 | 1.30 | 15.84 | − 57.15 | − 0.74 | 0.16 | 0 | 9.57 | 90.43 | 0 | 0 |
Pf3 D1 | 1.24 | 13.00 | 0.02 | 0.00 | 0.15 | 0 | 16.87 | 83.13 | 0 | 0 |
Pf3 D6 | 1.36 | 15.08 | 0.00 | 0.00 | 0.37 | 9.09 | 7.54 | 83.37 | 0 | 0 |