Skip to main content

Table 3 Portfolios time–frequency risk characteristics in the crisis period

From: Stock profiling using time–frequency-varying systematic risk measure

2020–2022

OLS beta

Tstat1

Sharpe

Treynor

SD

%Beta < 1

%Beta = 1

%Beta

 > 1

%Beta < 0

%Beta = 0

Pf1

0.77

13.59

− 2.30

− 0.04

0.05

100

0

0

0

0

Pf1 D1

0.75

15.36

0.13

0.00

0.05

100

0

0

0

0

Pf1 D6

0.84

8.16

− 0.06

0.00

0.22

94.43

3.98

1.59

0

0

Pf2

1.30

10.98

− 0.46

− 0.01

0.06

0

0

100

0

0

Pf2 D1

1.29

11.70

0.07

0.00

0.05

0

0.16

99.84

0

0

Pf2 D6

1.43

19.17

− 0.04

0.00

0.40

14.01

7.48

78.50

0

0

Pf3

1.40

15.60

− 1.37

− 0.02

0.09

0

0

100

0

0

Pf3 D1

1.39

15.81

0.08

0.00

0.11

0

0

100

0

0

Pf3 D6

1.59

23.93

− 0.12

0.00

0.32

2.55

1.11

96.34

0

0