Table 2.
Performance metrics of top portfolios 1991–2019 (pure and mixed).
| 1Y Libor | Benchmark | PER | GPA | MOM | EVEBITDA | EVEBITDA_ROC_Green | PER_MOM | |
|---|---|---|---|---|---|---|---|---|
| Annualized Compounded Return (Final) | 3.56% | 9.15% | 12.06% | 11.73% | 11.71% | 12.00% | 12.17% | 12.54% |
| Annualized Compounded Return (Average) | 2.51% | 9.61% | 13.52% | 12.43% | 15.18% | 12.96% | 14.95% | 14.43% |
| Annualized Compounded Return Volatility | 4.80% | 14.84% | 15.19% | 15.31% | 20.90% | 15.05% | 16.68% | 19.61% |
| Sharpe Ratio | 0.62 | 0.79 | 0.77 | 0.56 | 0.80 | 0.74 | 0.66 | |
| CAPM Beta | 87.62% | 92.64% | 118.78% | 88.24% | 96.22% | 111.12% | ||
| CAPM Beta (Std. Dev.) | 0.04 | 0.03 | 0.06 | 0.03 | 0.04 | 0.05 | ||
| Jensen's Alpha | 3.97% | 3.26% | 2.20% | 3.84% | 3.66% | 3.42% | ||
| T-statistic | 8.91 | 8.48 | 3.62 | 9.11 | 7.91 | 6.66 | ||
| Alpha (FF3) | 0.93% | 4.23% | 1.54% | 1.10% | 4.51% | 2.05% | ||
| T-stat (FF3) | 1.95 | 10.88 | 2.62 | 2.30 | 9.52 | 3.95 |
This exhibit presents performance metrics for best performing portfolios within each Pure and Mixed category over the 1991–2019 period. Categories are Pure Value, Pure Profitability, Pure Momentum, Mixed Value_Profitability and Mixed Value_Momentum. Company accounting data and Absolute Returns from the FactSet database. Fama and French factors are European Factors downloaded from Kenneth French website: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html. The dollar value of the portfolio is converted into Euros using the conversion factor specified in Appendix A.