Table 5 Calendar returns of the Overall PES leader and laggard portfolios.
From: Isolating the female agency-driven development factor in external sovereign emerging market debt
Average monthly log returns | Annual log returns | ||||||
|---|---|---|---|---|---|---|---|
Bottom quintile (%) | Benchmark (%) | Top quintile (%) | Bottom quintile | Benchmark | Top quintile | ||
2011 | 0.001 | 0.031 | 0.015 | 2011 | 0.855 | 7.761 | 4.672 |
2012 | 0.049 | 0.059 | 0.066 | 2012 | 12.984 | 15.522 | 17.350 |
2013 | -0.003 | − 0.026 | − 0.004 | 2013 | -0.690 | − 6.695 | − 0.973 |
2014 | 0.038 | 0.029 | 0.027 | 2014 | 9.742 | 7.384 | 6.821 |
2015 | 0.003 | − 0.001 | 0.016 | 2015 | 0.678 | − 0.270 | 4.163 |
2016 | 0.020 | 0.032 | 0.025 | 2016 | 5.484 | 8.600 | 6.743 |
2017 | 0.029 | 0.033 | 0.024 | 2017 | 6.845 | 7.873 | 5.650 |
2018 | − 0.005 | − 0.015 | 0.001 | 2018 | − 1.269 | − 3.811 | 0.262 |
2019 | 0.051 | 0.051 | 0.038 | 2019 | 12.939 | 12.998 | 9.549 |
2020 | 0.015 | 0.018 | 0.020 | 2020 | 3.740 | 4.657 | 5.174 |
YTD | 0.015 | 0.000 | 0.004 | YTD | 2.196 | − 0.117 | 0.414 |
Average | 0.0197 | 0.0202 | 0.0219 | Cumulative | 53.3545 | 54.5784 | 59.4088 |