FULL PERIOD | MKT (Xs) | HML | SMB | Intercept |
---|---|---|---|---|
Most-Diversified Portfolio | 0.71 | 0.03 | 0.21 | 0.50% |
(tstat) | (31.37) | (0.75) | (4.63) | (4.14) |
Minimum-Variance Portfolio | 0.68 | 0.14 | 0.13 | 0.43% |
(tstat) | (29.46) | (3.23) | (2.81) | (3.51) |
Equal-Weight Portfolio | 1.01 | 0.11 | 0.24 | 0.05% |
(tstat) | (115.85) | (6.48) | (14.05) | (1.16) |
1992–2000 | MKT (Xs) | HML | SMB | Intercept |
Most-Diversified Portfolio | 0.81 | -0.06 | 0.42 | 0.37% |
(tstat) | (25.11) | (-1.15) | (6.87) | (2.25) |
Minimum-Variance Portfolio | 0.76 | 0.08 | 0.31 | 0.40% |
(tstat) | (23.71) | (1.51) | (5.24) | (2.47) |
Equal-Weight Portfolio | 1.01 | 0.11 | 0.23 | 0.03% |
(tstat) | (64.88) | (4.31) | (7.86) | (0.40) |
2001–2008 | MKT (Xs) | HML | SMB | Intercept |
Most-Diversified Portfolio | 0.64 | 0.22 | 0.10 | 0.25% |
(tstat) | (22.16) | (3.20) | (1.50) | (1.56) |
Minimum-Variance Portfolio | 0.62 | 0.28 | 0.00 | 0.14% |
(tstat) | (19.55) | (3.65) | (-0.05) | (0.78) |
Equal-Weight Portfolio | 1.00 | 0.11 | 0.27 | 0.07% |
(tstat) | (111.09) | (5.15) | (13.49) | (1.38) |
Monthly data are used. MKT is the benchmark’s excess return over one-month LIBOR EUR; HML is the difference in monthly performance between Dow Jones Euro Stoxx Large Cap 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.