Table 5 SUMMARY STATISTICS OF SOVEREIGN RISK BASED FACTOR PORTFOLIOS
Related Figures (17)
TABLE 1: OVERVIEW OF ANALYZED FACTORS AND METHODOLOGY to the exposure to the stated factor. For example, the table shows the performance of the high momentum portfolio, while the GDP column shown here is the low GDP portfolio. This ratio is also used to calculate the Break-even Transaction Fees, for which we divide the excess return by the turnover ratio to determine the maximum fees we can pay for implementing a strategy before profits are consumed. TABLE 2: DESCRIPTIVE STATISTIC OF WGBI AND THE COUNTRY BOND INDICES Note: *** significant under confidence level of 99%, ** significant under confidence level of 95%, * significant under confidence level of 90%. TABLE 4: SUMMARY STATISTICS OF INFLATION BASED FACTOR PORTFOLIOS TABLE 6: SUMMARY STATISTICS OF REAL RATE BASED FACTOR PORTFOLIOS TABLE 7: SUMMARY STATISTICS OF OUTPUT GAP BASED FACTOR PORTFOLIOS TABLE 8: SUMMARY STATISTICS OF VALUE BASED FACTOR PORTFOLIOS TABLE 9: SUMMARY STATISTICS OF MOMENTUM BASED FACTOR PORTFOLIOS TABLE 10: SUMMARY STATISTICS OF TERM SPREAD BASED FACTOR PORTFOLIOS TABLE 11: SUMMARY STATISTICS OF COCHRANE PIAZZESI BASED FACTOR PORTFOLIOS TABLE 12: OVERVIEW OF FACTOR PORTFOLIOS BEST PERFORMANCE TABLE 14: CORRELATIONS AMONG BEST PERFORMANCE PORTFOLIOS TABLE 13: OVERVIEW OF LONG-SHORT PORTFOLIOS PERFORMANCE TABLE 15: CORRELATION AMONG LONG-SHORT PORTFOLIOS TABLE 16: DURATION RISK REGRESSION OVERVIEW — BEST PERFORMANCE PORTFOLIOS TABLE 17: CARRY TRADE RISK REGRESSION OVERVIEW — BEST PERFORMANCE PORTFOLIOS TABLE 18: DURATION AND CARRY TRADE RISK COMBINED REGRESSION OVERVIEW — BEST PERFORMANCE PORTFOLIOS
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