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 |