Table 4.
Descriptive statistics of the FT ratio during the period December 2019 - April 20,214 This table provides information on the descriptive statistics of the FT ratio of the different ETFs for the Financial, Healthcare and Pharmaceutical Sectors (Panels A, B and C, respectively). Panel D reports on the test for equality of means (t-Test), test for equality of variances (F-test) and test for equality of medians (W-test) between the Pharmaceutical portfolio and the Healthcare and Financial portfolios. Note that the p-values relative to such test are presented in parentheses. *, ** and *** reveal statistical significance at the 10%, 5% and 1% levels, respectively. The Student's t-test is a parametric approach that analyzes the mean of related samples and determines whether there is a difference between them, while the non-parametric Wilcoxon test (W-test) does the same for medians. The F-test for equality of variances is a parametric test for the null hypothesis that two normal series exhibit the same variance.
| Defensive profile |
Moderate Profile |
Aggressive Profile |
|||||||
|---|---|---|---|---|---|---|---|---|---|
| Mean | Std. dev. | Median | Mean | Std. dev. | Median | Mean | Std. dev. | Median | |
| Panel A: financial sector | |||||||||
| XLF | 5.0763 | 1.5421 | 5.3241 | 0.9012 | 0.3077 | 0.9228 | 1.8779 | 0.5727 | 1.9642 |
| VFH | 5.0387 | 4.5143 | 5.2558 | 0.897 | 0.3062 | 0.9209 | 1.8555 | 0.5705 | 1.9395 |
| KRE | 4.3793 | 1.4937 | 4.3439 | 0.868 | 0.3071 | 0.8949 | 1.7583 | 0.6005 | 1.8028 |
| KBE | 4.3226 | 1.4015 | 4.4375 | 0.8487 | 0.2847 | 0.8904 | 1.7196 | 0.5549 | 1.7967 |
| FAS | 5.1697 | 1.5157 | 5.5755 | 0.8558 | 0.3087 | 0.8579 | 1.71 | 0.5145 | 1.7837 |
| KBWB | 4.5335 | 1.4812 | 4.6413 | 0.8567 | 0.2984 | 0.8918 | 1.7755 | 0.5861 | 1.8357 |
| IYF | 5.5802 | 1.6231 | 5.9687 | 0.918 | 0.3136 | 0.9352 | 1.9017 | 0.5549 | 2.0103 |
| Panel B: healthcare sector | |||||||||
| XLV | 6.3428 | 1.7155 | 6.6511 | 1.047 | 0.3348 | 1.0738 | 2.2013 | 0.5962 | 2.3127 |
| VHT | 6.3438 | 1.7539 | 6.7078 | 1.0528 | 0.3259 | 1.0884 | 2.169 | 0.5843 | 2.2942 |
| IBB | 5.0237 | 1.4044 | 5.4483 | 1.0171 | 0.2299 | 1.0954 | 1.9127 | 0.4744 | 2.0796 |
| ARKG | 6.2957 | 1.8254 | 6.9239 | 1.1674 | 0.294 | 1.2837 | 1.9746 | 0.5204 | 2.1912 |
| XBI | 4.9542 | 1.3628 | 5.451 | 1.0291 | 0.2493 | 1.1141 | 1.8224 | 0.4579 | 1.9816 |
| IHI | 5.8392 | 1.6759 | 6.5172 | 1.0276 | 0.3079 | 1.1101 | 2.0187 | 0.5613 | 2.2197 |
| IXJ | 6.7613 | 1.9563 | 7.0094 | 1.0615 | 0.3581 | 1.0817 | 2.195 | 0.603 | 2.3082 |
| Panel C: pharmaceutical sector | |||||||||
| PJP | 5.3246 | 1.4484 | 5.7688 | 0.9816 | 0.2629 | 1.0366 | 2.0221 | 0.5239 | 2.1719 |
| IHE | 6.4512 | 2.5789 | 6.3226 | 1.1296 | 0.5151 | 1.0879 | 2.1957 | 0.7419 | 2.2156 |
| XPH | 5.6176 | 1.614 | 5.5682 | 1.1608 | 0.3862 | 1.0877 | 2.0679 | 0.5391 | 2.0539 |
| PPH | 5.6824 | 1.6076 | 5.9897 | 1.0121 | 0.3314 | 1.0336 | 2.0589 | 0.5761 | 2.1683 |
| KURE | 5.5631 | 1.5064 | 5.9315 | 1.1303 | 0.2987 | 1.2152 | 1.8812 | 0.4988 | 2.0307 |
| CHIH | 5.8257 | 1.5632 | 6.1375 | 1.14 | 0.302 | 1.2154 | 1.946 | 0.5275 | 2.0514 |
| FTXH | 5.7673 | 1.4844 | 6.016 | 1.034 | 0.2607 | 1.061 | 2.0274 | 0.4636 | 2.1309 |
| Panel D: portfolio comparison | |||||||||
| Financial portfolio | 4.7436 | 1.4333 | 4.9512 | 0.8706 | 0.3018 | 0.891 | 1.7702 | 0.5537 | 1.8427 |
| t, F, W tests | −2.0333 | 0.7421 | 46.5 | −2.0379 | 0.8102 | 59.5 | −1.1965 | 1.0014 | 65.5 |
| (0.05057)* | (0.5577) | (0.0008)*** | (0.04999)** | (0.6788) | (0.0036)*** | (0.2403)** | (0.9978) | (0.0069)*** | |
| Healthcare portfolio | 5.7154 | 1.6384 | 6.297 | 1.0564 | 0.2963 | 1.1386 | 1.9873 | 0.5405 | 2.1518 |
| t, F, W tests | −0.1963 | 0.9696 | 133.5 | −0.3429 | 0.781 | 148.5 | −0.0535 | 0.9541 | 162.5 |
| (0.8456) | (0.9515) | (0.7176) | (0.7339) | (0.6209) | (0.904) | (0.9577) | (0.9263) | (0.5466) | |
| Pharmaceutical portfolio | 5.8266 | 1.6639 | 6.3748 | 1.0936 | 0.3353 | 1.1366 | 1.9973 | 0.5534 | 2.1158 |