FULL PERIOD | MKT (Xs) | HML | SMB | Intercept |
---|---|---|---|---|
Most-Diversified Portfolio | 0.64 | 0.18 | 0.44 | 0.26% |
(tstat) | (16.86) | (3.01) | (8.95) | (1.83) |
Minimum-Variance Portfolio | 0.51 | 0.30 | 0.15 | 0.19% |
(tstat) | (14.30) | (5.19) | (3.20) | (1.40) |
Equal-Weight Portfolio | 0.95 | 0.20 | 0.37 | 0.10% |
(tstat) | (82.32) | (10.91) | (25.14) | (2.27) |
1992–2000 | MKT (Xs) | HML | SMB | Intercept |
Most-Diversified Portfolio | 0.67 | 0.11 | 0.53 | 0.08% |
(tstat) | (13.94) | (1.57) | (7.71) | (0.45) |
Minimum-Variance Portfolio | 0.60 | 0.29 | 0.28 | 0.06% |
(tstat) | (12.70) | (4.43) | (4.23) | (0.33) |
Equal-Weight Portfolio | 0.96 | 0.22 | 0.38 | 0.10% |
(tstat) | (63.45) | (10.41) | (17.69) | (1.67) |
2001–2008 | MKT (Xs) | HML | SMB | Intercept |
Most-Diversified Portfolio | 0.65 | 0.36 | 0.34 | 0.50% |
(tstat) | (9.89) | (2.85) | (4.45) | (2.19) |
Minimum-Variance Portfolio | 0.46 | 0.19 | 0.07 | 0.35% |
(tstat) | (8.12) | (1.80) | (1.07) | (1.78) |
Equal-Weight Portfolio | 0.94 | 0.12 | 0.38 | 0.10% |
(tstat) | (49.41) | (3.38) | (16.86) | (1.53) |
Monthly data are used. MKT is the benchmark’s excess return over one-month LIBOR USD; HML is the difference in monthly performance between the S&P 500 Value and Growth Indices; SMB is the difference in monthly performance between the smallest 30% and the biggest 30% of stocks in the index (in terms of weights); and Intercept is a monthly excess return.