Fig. 2.

The rolling window estimation procedure. The figure represents the rolling window method, whereby every 22 trading days a new ranking is carried out, considering the information contained in the previous 252 trading days. At the end of each rolling re-estimation, the Kappa indices and FT ratios are shown, and the subsequent first new component, ${\overline{\mathbf{Z}}}_{1,{\mathit{t}}_{\mathit{l}}}$, after applying the PCA method. $\mathit{k}$ refers to the 17 monthly performance assessments conducted throughout the studied period via the rolling window approach and ${\mathit{t}}_{\mathit{l}}$ goes from ${\mathit{t}}_1$ to ${\mathit{t}}_{\mathit{k}}$, thus indicating the ${\mathit{t}}_{\mathit{k}}=17$ dates of rolling re-estimation.