Table 3.
Performance metrics of top portfolios 2002–2019 (pure and mixed).
| Benchmark | PER | GPA | MOM | EVEBITDA_ ROC_Green |
PER_MOM | |
|---|---|---|---|---|---|---|
| Annualized Compounded Return (Final) | 16.19% | 21.02% | 15.23% | 20.48% | 18.70% | 21.96% |
| Annualized Compounded Return (Average) | 6.40% | 12.83% | 3.61% | 9.78% | 12.58% | 16.49% |
| Annualized Compounded Return Volatility | 14.68% | 17.35% | 14.70% | 19.61% | 15.39% | 18.48% |
| Sharpe Ratio | 0.58 | 0.64 | 0.55 | 0.55 | 0.61 | 0.60 |
| CAPM Beta | 105.79% | 92.72% | 115.11% | 93.54% | 102.87% | |
| CAPM Beta (Std. Dev.) | 0.039 | 0.03 | 0.064 | 0.035 | 0.047 | |
| Jensen's Alpha | 2.85% | 0.16% | 1.93% | 1.43% | 2.39% | |
| T-statistic | 5.12 | 3.97 | 2.77 | 7.2 | 10.22 | |
| Alpha (FF3) | 0.08% | 1.06% | 1.53% | 1.21% | 1.59% | |
| T-stat (FF3) | 0.16 | 2.65 | 2.26 | 2.77 | 3.78 |
This exhibit presents performance metrics for best performing portfolios within each Pure and Mixed category over the 2002–2019 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 the European Factors from Kenneth French website: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
The Euro value of the factors is obtained using the conversion factor in Appendix A.