The second model we apply is dual-beta CAPM which allows investors to differentiate downside risk (risk of loss) from upside risk (gain), whereas regular beta cannot distinguish between such potentials for loss and gain. The dual-beta model does not assume that upside beta and downside betas are the same but actually calculates what the values are for the two betas, thus allowing investors to make better-informed investing decisions. The dual-beta CAPM model can thus be expressed as:

,

where D is a dummy variable, which takes the value of 1 when the market index return is positive and zero if negative.

Finally, we form 3 hypotheses to test:

H1: Momentum effect exists in 1 and 3 month perspective, and following the strategy can bring abnormal returns;

H2: Value effect exists in 1 and 3 month perspective, and following the strategy can bring abnormal returns;

H3: Combined portfolio can bring abnormal returns in 1 and 3 month perspective.

These hypotheses will be tested for each constructed portfolio. If any profitable momentum, value or combined strategies would are found via applying sign test for significance of difference (explained later), they would be further tested whether the findings could be explained by differences in risk using CAPM and dual-beta.

CHAPTER 3. RESULTS OF EMPIRICAL ANALYSIS

3.1 Dealing with non-normal distributions

To begin with, let us look at the Table 1: Descriptive statistics of portfolio returns. The marked values of skewness and kurtosis are too large. It is clearly seen that not all portfolio returns are distributed normally. Usually, distribution is considered to be normal if it is symmetric, that is skewness is 0, and kurtosis is equal to 3. Thus, we cannot apply standard t-test as it is constructed for normally distributed data and in our case it would be invalid.

There are various methods to deal with non-normal data. One of the reasons for non-normal portfolio returns might be too many extreme values in a data set, in particular outliers. Let us look at the histogram of momentum winner portfolio with 1 month holding period (MOMW1).

It is clearly seen that distribution is skewed to the right due to outliers. However, we are not going to eliminate them, as those outliers can be identified as truly special causes of highly speculative stocks. Besides, we expected a little percentage of outliers. Moreover, according to Zephyr StatFacts “one would prefer positive skewness. However, in the real world few investments exhibit a positive skew". Therefore, one might seek investments with skew that is “less negative” than the alternatives”. All distributions of calculated portfolio returns, except vall3, are positively skewed. Thus, we are leaving the skewness unedited. Kurtosis measures the fatness of distribution tails. High kurtosis might imply higher probability that an event occurring is extreme in relation to portfolio returns distribution. Thus, the higher the kurtosis coefficient is above the normal level of 3, the more likely that future returns will be either extremely large or extremely small. In our case all distribution of portfolio returns are positive or called leptokurtic Investopedia explains: “If the past return data yields a leptokurtic distribution, the stock will have a relatively low amount of variance, because return values are usually close to the mean. Investors who wish to avoid large, erratic swings in portfolio returns may wish to structure their investments to produce a leptokurtic distribution.” All our investments except one follow leptokurtic distribution, which is a positive sign as we found out. Overall, we did not make any corrections of portfolio distributions.

3.2 Testing the median returns for significance

Nevertheless, in order to test the significance of monthly mean returns, t-test is invalid and a different test should be performed. One can apply a one-sample sign test. It is a nonparametric alternative of the one-sample t-test because it does not require the data to come from a normally distributed population, as the t-test does. Using this test we can determine whether the median of a group differs from a specified value, which is equal to 0 in our case.

The median monthly period returns for all portfolios are represented in Table 2. It can be observed that profitability of portfolios hold for 3 months is higher than 1 month profitability. All pure portfolio median monthly returns are significant except for MWML3 portfolio and “loser” value portfolio for both holding periods. It should be noted that returns of momentum winners and losers for both holding period are much closer to each other than for value winners and loser portfolios. The reason for such difference may be that value effect is stronger than momentum effect if both are present at all. Besides, MWML1 is significant only at 10% level, which also provides us with information that zero-cost momentum strategies are unprofitable. We intend to test whether the findings can be explained by differences in risks. We cannot simply state that momentum effect is anomaly basing on poor significance of zero cost strategy. The thing is that loser momentum strategies can behave not as was expected due to the general upward trend prevailing in the market. A figure 3 represents cumulative returns of market and momentum strategy with 3 month holding period over the studied period of 15 years. It is clearly seen that both winner and loser portfolios outperform the market on average and follows its movements. Here are the correlations between the compared strategies and market: MOML3,Rm=0.49; MOMW3,Rm=0.30; MOMW3,MOML3=0.56. As we stated above alpha coefficient indicates the abnormal rate of return of our portfolio in excess of predicted returns by CAPM and dual-bets CAPM. Thus, we would still test momentum portfolios on the presence of abnormal return.

As the for profitability of combinations, all of medians are significantly different from 0. It is obvious, that median and mean returns of combo strategy will be within the interval form momentum returns to value returns, as we can observe that value outperforms momentum. Nevertheless, we cannot conclude yet whether value is better than momentum, or combination is outperforms both, until we calculate some widely used portfolio performance measures. Once we analyze the performance of our portfolios, then we will start the regression analysis of time series returns in order to estimate portfolio betas, alphas, check them for significance and finally conclude on solvency of tested hypotheses.

3.3 Performance measurement of constructed portfolios

There are several performance measure ratios which are commonly applied in modern portfolio management practice. These are Sharpe ratio, Treynor ratio, Jensen ratio (alpha) and information ratio. We would also estimate downside beta to capture the risk associated with potential for loss.

To begin with, it should be mentioned that performance is compared on an annualized basis. Therefore, we need to calculate annual returns of portfolios from monthly data using the following procedure. First, we found monthly arithmetic average for each year. Then, all values are multiplied by 12 to get annualized portfolio returns. To get average yearly returns for 15 years period we again simply take an arithmetic average. The obtained values for each strategy are represented in Table 3: Performance measure statistics.

The first performance ratio to be calculated is known as Sharpe ratio which measures performance in terms of both systematic and idiosyncratic risk. SR of portfolio is calculated as the excess return on investment divided by standard deviation of portfolio. To calculate the denominator, first we have to find standard deviation of returns for each year. To annualize standard deviation, we calculate standard deviations of each year from monthly values multiplied by the square root of 12. Then, the obtained figures are raised to the power of 2 in order to get yearly variances which are further summed and divided by 14 (15 years minus 1). The resulting values of variances for a sample of 15 years are raised to the power of Ѕ to get standard deviations.

Table 3 also represents these values for each strategy as well corresponding Sharpe ratios. The average value of 180 days-1year MIBOR (11.47%) is used for the studied period as a risk-free rate. The maximum SR (1.83) is attained by zero-cost value portfolio with 3-month holding return period, the minimum one (-0.3) is attained by loser value portfolio of the same holding period. The highest and lowest figures among combinations are 1.78 for 10/90 3-month period and -0.09 for 90/10 3-month period respectively, where the first weight stays for momentum strategy, the second for value strategy. It is clearly seen form the Table 3 that combined portfolios outperform pure zero-cost momentum but underperform pure zero-cost value portfolios if compare on the SR basis. However, we need to calculate some other ratios in order to make justified judgement on portfolios performance.

One more widely used ratio is Treynor ratio which measures the performance only in terms of systematic risk. TR is calculated as the portfolio excess return divided by portfolio beta. Again, we used yearly returns and calculated yearly betas as well simply as covariance of yearly returns of a certain portfolio and market divided by annualized market variance for the 15-year period. Also we have computed Jensen ratio and Modigliani risk-adjusted measure. The former is also known as alpha as we discussed previously, showing the abnormal return on investment, where the last is measured in units of per cent return and cab be calculated as the difference between Sharpe ratio of active and market portfolio multiplied by standard deviation of market return. All figures can be observed in Table 3.

The tendency is still the same: combo portfolios tend to outperform momentum portfolios but underperform value portfolios. There are negative betas for some portfolios meaning investment tend to decline when market rises, while increases when market falls. Only two portfolios have betas bigger than 1 (valw3 and valw1), while the rest have betas lower than 1. The lowest positive betas are 0.03 for 50/50-1 and 0.02 for 90/10-3, implying these portfolios are very defensive. However 90/10-3 has negative SR, which is not impressive. Overall, the strategies 30/70-1, 30/70-3, 50/50-1, 70/30-1, 70/30-3, can be considered as the most conservative strategies, due to they have relatively low betas, and thus are less exposed to market fluctuations.

We do not intend testing whether alphas and betas are significant or not, as 15 observations are not sufficient to explain the robustness of the model. Nevertheless, these figures provide us with some basic information about performance on annualized basis.

3.4 Regression analysis (CAPM)

Now we are going to run regression analysis in order to test the significance of constants (alpha), betas (measure of systematic risk) on monthly data, check the overall robustness of the models and finally conclude on significance of the studied strategies.

First, we applied standard CAPM model. We have performed regressions both with and without risk-free rate. Moreover, autocorrelation was examined in order to satisfy Gauss-Markov conditions. If Durbin-Watson (D-W) statistics is close to zero, then positive autocorrelation is present in the model. It can be eliminated by autoregressive transformation, adding new variable AR(1) into the regression equation. If D-W is still smaller than 2, then add AR(2). Once the D-W statistics is close to 2, we may claim that the problem of autocorrelation is solved.

Table 6 represents estimation output of regression analysis. To simplify our analysis we use only one macroeconomic factor represented by the rate of return of MICEX index. As the aim of our work is to detect the abnormal return (alpha) of studied strategies, there is no need to use a lot factors that may influence our portfolio returns. Since alpha is a measure of risk-adjusted return to a market index and shows the under- or outperformance compared to market, it is sufficient to use only one factor. Nevertheless, we may face the problem of poor R², meaning that market return is bad proxy for predicting returns. Let us discuss the main findings of regression analysis.

As can be seen from the Table 6, there is no evidence of abnormal returns of all momentum strategies applied, as the constants of each constructed momentum portfolios are insignificantly different from zero. Moreover, momentum strategies yield almost the same results for 1 and 3 month holding period. Figure 4 shows average annual returns of each portfolio over the studied period. It is clearly observed that portfolio mom12X3 and mom12x1 have similar pattern in returns. Figure 3 represents the cumulative returns over 15 years. Zero-cost momentum strategies are deeply below the market return. Thus, we can finally conclude, that momentum and contrarian affects are absent in Russian stock market as no abnormal return can be attained. Nevertheless, we can still compare results of winner and loser momentum portfolios with market return. As we can see from Figure 3, momentum winner and loser separately tend to outperform cumulative market return., If an investor had followed a strategy of taking a long position of winner momentum stocks starting in 2001, he would have gained more than simply copying the market over 15 years. In other words, we cannot claim that this strategy is unjustifiable only due to it does not produce abnormal return besides market premium. So, the performance of the strategy must be explained not only by alpha but also by premium for risk. The difference between portfolio return and the market return is known as arithmetic attribution. A table 7 represents the attributions for all constructed portfolios and corresponding alphas. It is clearly observed that attribution for winner momentum portfolios is larger than estimated alphas. Even though we found no evidence of momentum effect, we managed to construct portfolios momw1 and momw3 that outperform the market on average.

As for value portfolios, the results are more satisfactory. Table 6 reports that all alphas, except vall1, are significant, meaning that there is a value effect in Russian stock market. The largest alphas are achieved by valw3 (4.24%) and valw1 (3.22%). Zero-cost value strategies produce 3.86% and 3.21%. Looking at the Figure 3, zero-cost value cumulative returns are appreciably above the market and momentum zero-cost portfolio returns. Moreover, there are observed different from momentum portfolios patterns of average yearly value returns across 1 and 3 month holding period. Figure 4 shows that returns of 1 and 3 month value portfolios were declining from 2001 to 2003, then rising up to 2006. Value performs slightly better than momentum in 2008, bur worse in 2012. Both value zero-cost strategies benefit from diversification, as a result the average annualizes standard deviations obtained are 26.34% of vwml3 portfolio and 29.03% of vwml1, which are lower the market risk of 31.11%.

The combined portfolios were formed from weighting zero-cost value and momentum portfolios. Since we provided an argument for insignificance of momentum strategy, there is no rationale behind combining significant and insignificant strategies. But we are still interested whether such a combination can yield a higher risk-adjusted return than each separately. We also run a CAPM for combo portfolios and check their significance. Table 6 also represents the regression output for each combined portfolio. Portfolios 50/50(1), 50/50(3), 70/30(1), 30/70(1), 10/90(1), 10/90(3), 20/80(1), 20/80(3), 40/60(1), 40/60(3) and 60/40(3) produce positive significant alphas, meaning that combined strategies can bring abnormal return. These alphas are greater than momentum portfolio alphas, whereas lower than value portfolio alphas. Relating to Table 4, none of the combined portfolios outperform the value component separately analyzing different measures of performance. The potential of combined strategies to outperform value and momentum is solid diversification. As we can see form the Table 5, momentum and value strategies are negatively correlated implying that both strategies can offset each other during market disturbances. Thus, a combination of value and momentum portfolios can be considered as a hedging strategy.

3.5 Dual-beta CAPM

We performed dual-beta CAPM in order to check whether it has stronger explanatory power and estimate downside and upside betas. We report regression output only for zero-cost portfolios in Table 8 as the results obtained are not as expected. R² in most cases remained unchanged, but also decreased for some portfolios. The constants of momentum portfolios remain insignificant as well as under standard CAPM. Finally, estimated upside and downside betas are also insignificant.

3.6 Summary

On the grounds of conducted research, we may draw a conclusion of the strength of the raised hypotheses.

H1: Momentum effect exists in 1 and 3 month perspective, and following the strategy can bring abnormal returns.

The hypothesis is rejected as no evidence of momentum effect in Russian stock market found. However, the constructed winner portfolios with one and three month holding period, and based on the stock selection criteria of best past performance for previous 11 months skipping the recent month, has outperformed the market over the 15 year observation period. But still, the strategy failed to bring abnormal return.

H2: Value effect exists in 1 and 3 month perspective, and following the strategy can bring abnormal returns;

We do not reject the hypothesis, as there was found strong evidence of value effect in Russian stock market. The strategy generates significant positive alphas.

H3: Combined portfolio can bring abnormal returns in 1 and 3 month perspective.

Finally, we do not reject this hypothesis even though combined portfolios did not manage to outperform corresponding zero-cost value portfolios. Most of the combinations show significant abnormal return, outperforming market and separate momentum strategy.

CONCLUSION

The aim of this paper was to analyze the profitability of two distinct portfolio strategies and make a combination of them which would outperform both. We have investigated the Russian stock market for a period from Dec 2000 to May 2015 and have not found any evidence of momentum effect in Russian stock market. On the other hand, we have proved the presence of value effect, ability to generate abnormal profit taking long position in stocks with the lowest price-to-book ratio for the previous month and shorting stocks with the highest price-to-book ratio. Also, the combination of value and momentum strategies resulted in significant abnormal return but did not manage to outperform value strategy.

On the one hand, the results on momentum effect contradict to the previous research conducted on profitability of momentum strategies in Russian stock market by A. Maslovskaya for a period from January 1998 to April 2013, on the other hand, coincide with V. Ioffe's research for a period 1996-2009. We have not tried to explain such differences in results, probably, the transaction costs associated with frequent rebalancing that were took into account in Ioffe's research may born such discrepancy in results. Though, we did not consider the transaction costs at all, the findings are still indicating the absence of momentum effect in Russian stock market.

Further, we reported strong evidence of value effect. Following proposed value strategy based on sorting stocks by their price-to-book ratio, one can earn on average (over 15-year observation period) positive abnormal return in amount of 3.86% for zero-cost value strategy with 3 month holding period and 2.9% with 1 month holding period versus market return of 1.84% over the same period. Finally, 11 of 18 combinations managed to generate positive significant alphas and outperform the market over the studied period.

Further research of analyzed strategies may include the following issues. First, it would be reasonable to include brokerage commissions and income taxes, so the results may change. Secondly, the longer holding period for value strategy should be used, and value effect should be studied more deeply, as there are no enough researches on value strategy in Russia, while nowadays Russian stock market is considered very cheap and undervalued in comparison to developed markets. Thirdly, different techniques of screening stocks can be applied, for example, a 52-week highest price indicator for momentum and P/E ratio, current ratio, debt-to-equity ratio for value strategy. Moreover, it would be of particular interest to use a different style of forming combined portfolios. As we have mentioned before, the double ranking criteria may also be profitable strategy. In order to check it, a distinct research of momentum and value strategies should be done including all the recommendations above and then compare the resulting combination with the combination formed in our research. Finally, it is necessary to improve the CAPM specification, additional new factors, such as level of GDP, liquidity measures, or apply Fama-French three-factor model.

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APPENDIX

Figure 1: Number of companies

Figure 2: Monthly total returns

market

mwml1

mwml3

vwml1

vwml3

Figure 3: Cumulative returns over 15-year observation period

Figure 4: Annual returns of portfolios



Figure 5: Distribution of returns





Table 1: Descriptive statistics of portfolio returns.

The marked values seemed us suspicious at first sight. But most of the high kurtosis and skewness are caused by extreme outliers which are a normal case for a stock market, especially developing one, since there would also be outstanding leaders and deep laggards. So, we have not laid special emphasis to the portfolios with these high values. But we take into account for using a one-sample sign test instead of simple t-test.

Portfolio/Stat	Mean	Median	Maximum	Minimum	Std. Dev.	Skewness	Kurtosis
MOMW1	0.022558	0.01451	0.699104	-0.23991	0.0998	3.29354	23.5602
MOML1	0.015508	0.01056	0.327599	-0.335854	0.0867	0.18524	6.17784
MOMWML1	0.007049	0.00830	0.795	-0.293	0.0993	3.36115	30.6105
MOMW3	0.022941	0.01683	0.667823	-0.241709	0.0877	2.31887	19.1239
MOML3	0.016143	0.01115	0.201382	-0.182951	0.0634	0.00097	4.39190
MOMWML3	0.006798	0.00772	0.559859	-0.166918	0.0762	2.17890	18.3764
VALW1	0.048665	0.02570	0.799513	-0.324442	0.1260	2.368408	14.04695
VALL1	0.008034	0.00423	0.575468	-0.245828	0.0831	1.84746	15.1491
VALWML1	0.050137	0.02325	0.597344	-0.097205	0.0837	2.36840	14.04
VALW3	0.055510	0.02786	0.684458	-0.156722	0.1036	2.151915	11.4606
VALL3	0.017751	0.00324	0.435111	-0.516477	0.1502	-0.16093	4.46520
VALWML3	0.037765	0.03272	0.649039	-0.290817	0.1178	1.255273	8.36423
COM50/50(1)	0.028593	0.01578	0.900256	-0.161370	0.0908	5.793919	52.35898
COM50/50(3)	0.026352	0.02140	0.348761	-0.123961	0.0681	0.937620	6.79122
COM70/30(1)	0.030003	0.01743	0.915696	-0.220034	0.1029	4.791507	38.3114
COM70/30(3)	0.017053	0.014975	0.228649	-0.129946	0.0579	0.298802	4.57072
COM30/70(1)	0.030618	0.01911	0.413278	-0.108590	0.0630	1.98456	10.99423
COM30/70(3)	0.035671	0.02357	0.485401	-0.072657	0.0604	3.49	22.55012

Table 2: Sign test (normal approximation)

% return is median monthly return, as median is better suited for skewed distributions to derive at central tendency since it is much more robust and sensible.

Strategy/type	Winner	Loser	WML
	% return	value	% return	value	% return	value
MOM1	1.45%	2.28**	1.06%	2.45**	0.083%	1.67***
MOM3	1.68%	3.04*	1.11%	2.89*	0.077%	1.22
VAL1	2.57%	4.56*	0.042%	0.91	2.32%	4.41*
VAL3	2.78%	6.65*	0.032%	0.15	3.27%	3.98*
Combination	1 month	3 months
50mom/50val	1.57% (3.95*)	2.14% (4.43*)
70mom/30val	1.74% (3.95*)	1.49% (3.60*)
30mom/70val	1.90% (4.95*)	2.35% (7.74*)

*^{-1% significance level;} **^{-5% significance level;} ***^{-10% significance level.}

Table 3: Performance measure statistics (yearly)

Reported are the average returns, standard deviation of returns, Sharpe ratio (SR), beta of portfolio, Treynor ratio (TR), Jensen ratio (alpha), Modigliani risk-adjusted ratio (M²) for each constructed momentum, value and combined strategies in Russian stock market over a studied period 2001-2015. Each portfolio is sorted as W-winner, L-loser and WML as zero cost portfolio (winner minus loser). Statistics are computed from monthly return series but are reported as annualized numbers. Average 180 days-1year MIBOR of 11.47% is used in calculations of ratios.

Table 4: Monthly performance (% mean returns)

A figure in parentheses is a holding period (1 and 3 months) Monthly Average MIBOR=0.96%



Table 5: Correlation matrix

Portfolio	MWML1	MWML3	VWML1	VWML3
MWML1	1	0,62949207	-0,34755314	-0,34345412
MWML3	0,62949207	1	0,107427772	-0,16572395
VWML1	-0,34755314	0,107427772	1	0,450595721
VWML3	-0,34345412	-0,16572395	0,450595721	1

Table 6: Regression analysis output (CAPM)

Strategy	CAPM	Constant	Beta	AR(1)	D-W	R-squared
MOMW3	without rf	0.012649**	0.560306*	-	1.180694	0.322291
	AR(1)	0.010195***	0.439452*	0.268388*	2.182692	0.444772
	with rf	0.008455	0.551265*	-	1.178916	0.365640
	AR(1)	0.004766	0.436557*	0.267726*	2.101160	0.436781
MOML3	without rf	0.011162*	0.271134*	-	1.215778	0.144521
	AR(1)	0.013920	0.061702	0.552734*	2.151370	0.348241
	with rf	0.004183	0.260341*	-	1.244288	0.222403
	AR(1)	0.004880	0.058080	0.547283*	2.146178	0.474981
MWML3	without rf	0.001486	0.289172*	-	1.365923	0.113763
	AR(1)	-0.001742	0.269384*	0.161103*	2.055748	0.142874
	with rf	-0.005351	0.282216*	-	1.365919	0.201251
	AR(1)	-0.008825	0.269084*	0.167465*	2.029286	0.356852
MOMW1	without rf	0.013101**	0.514780*	-	1.416102	0.210081
	AR(1)	0.010788	0.407820*	0.194646*	2.117832	0.255635
	with rf	0.008445	0.508257*	-	1.398901	0.267324
	AR(1)	0.005056	0.405458	0.260515*	2.078007	0.357976
MOML1	without rf	0.002882	0.687336*	-	1.872735	0.495530
	AR(1)	0.003146	0.670893*	0.071170	1.952093	0.494479
	with rf	-0.000104	0.680829*	-	1.897666	0.532205
	AR(1)	-	-	0.055307	-	-
MWML1	without rf	0.010222	-0.172557	-	1.640109	0.023851
	AR(1)	0.007610*	-0.231606	0.081723	1.994987	0.058175
	with rf	-0.001075	-0.181280**	-	1.624970	0.025618
	AR(1)	-0.004262	-0.235334*	0.094169	1.982615	0.060286
VALW3	without rf	0.047798*	0.426472*	-	1.235004	0.133106
	AR(1)	0.049901*	0.259964*	0.430859*	2.199058	0.277917
	with rf	0.042375*	0.417775*	-	1.255237	0.179773
	AR(1)	0.042899*	0.255923*	0.428797*	2.208918	0.324480
VALL3	without rf	0.001257	0.257468*	-	0.746178	0.207685
	AR(1)	0.003280	0.073548*	0.780646*	1.443651	0.648196
	AR(2)=-0.36480*	0.004294	0.062212*	1.065912*	2.064510	0.693092
	with rf	-0.005799***	0.250434*	-	0.861607	0.296955
	AR(2)=-0.324920*	-0.004547	0.059582*	1.067629*	2.000841	0.689915
VWML3	without rf	0.046540*	0.169004**	-	1.600268	0.033150
	AR(1)	0.046423*	0.151171*	0.199328*	2.109384	0.070775
	with rf	0.038661*	0.159057**	-	1.423006	0.091368
	AR(1)	0.038397*	0.144287**	0.196836*	2.195230	0.175175
VALW1	without rf	0.034276*	0.779697*	-	1.758044	0.302540
	AR(1)	0.036429*	0.681336*	0.163400*	1.954770	0.316979
	with rf	0.032198*	0.772937*	-	1.771553	0.319825
	AR(1)	0.033415*	0.674792*	0.148587**	1.951306	0.331602
VALL1	without rf	-0.002293	0.561726*	-	1.615361	0.360251
	AR(1)	-0.000821	0.475021*	0.244717*	1.982447	0.388050
	with rf	-0.006524	0.559458*	-	1.606646	0.436916
	AR(1)	-0.005842	0.471420*	0.248099*	2.025117	0.475113
VWML1	without rf	0.036569*	0.217971*	-	1.865272	0.054101
	AR(1)	0.037191*	0.204203*	0.069898	1.946970	0.060453
	with rf	0.029099*	0.204771*		1.797107	0.103485
	AR(1)	0.029602*	0.194582*	0.061440*	1.966346	0.114003
10/90 (1)	without rf	0.024367*	0.101624***		1.631503	0.015918
	AR(1)	0.024335*	0.096121	0.183212*	1.933171	0.047975
	with rf	0.015788*	0.086206		1.457551	0.058372
	AR(1)	0.015720*	0.085532*	0.167976*	1.970811	0.130530
10/90 (3)	without rf	0.041753*	0.176629*		1.670549	0.044562
	AR(1)	0.041526*	0.165521*	0.162966**	2.092860	0.069160
	with rf	0.033940*	0.167458*		1.426722	0.115403
	AR(1)	0.033635*	0.158751*	0.161062*	2.210008	0.196674
20/80 (1)	without rf	0.022795*	0.071159		1.624497	0.009435
	AR(1)	0.022435*	0.059342	0.182002	1.965063	0.040480
	with rf	0.013914*	0.056486*		1.364594	0.056788
	AR(1)	0.013467*	0.049598	0.167471**	2.028094	0.161880
20/80 (3)	without rf	0.036966*	0.184254*		1.759579	0.059904
	AR(1)	0.036657*	0.178505*	0.117280	2.068270	0.071978
	with rf	0.029219*	0.175860*		1.425858	0.143721
	AR(1)	0.028887*	0.171844*	0.116458*	2.226773	0.223331
30/70 (1)	without rf	0.028665*	0.100813***		1.810280	0.020229
	AR(1)	0.028400*	0.068529	0.094346	2.028289	0.023974
	with rf	0.020047*	0.088956*		1.515502	0.088410
	AR(1)	0.019501*	0.060612	0.088889*	2.147123	0.168490
30/70 (3)	without rf	0.032178	0.191879		1.867764	0.079777
	AR(1)	0.031827*	0.189417*	0.062161	2.035578	0.082346
	with rf	0.024498	0.184262*		1.417631	0.175144
	AR(1)	0.024159*	0.182922*	0.063236	2.035359	0.075844
40/60 (1)	without rf	0.019652*	0.010230		1.614691	0.000234
	AR(1)	0.018663*	-0.013744	0.156801**	2.030948	0.026696
	with rf	0.010167*	-0.002956		1.207900	0.024896
	AR(1)	0.008986***	-0.022143	0.149451*	2.134339	0.042276
40/60 (3)	without rf	0.027391*	0.19958*		1.986735	0.103537
	AR(1)
	with rf	0.019777*	0.357357*		1.399167	0.206984
	AR(1)	0.019452*	0.191486*	0.345268*	0.005921	0.288626
50/50 (1)	without rf	0.029029*	0.022707	-	1.886821	0.001066
	AR(1)	0.022458*	-0.018730	0.102926	2.064254	0.011231
	with rf	0.014012*	-0.024529	-	1.323908	0.055960
	AR(1)	0.012710*	-0.026451	0.105926	2.187784	0.213432
50/50 (3)	without rf	0.022604	0.207128	-	2.091162	0.127886
	AR(1)	-	-	-	-	-
	with rf	0.015056*	0.201065*	-	2.076595	0.118605
	AR(1)	-	-	-	-	-
60/40 (1)	without rf	0.016509*	-0.050699	-	1.619490	0.004803
	AR(1)	0.014968	-0.086196**	0.115563***	2.054816	0.030281
	with rf	0.006420	-0.062397		1.620312	0.025463
	AR(1)	0.004564	-0.093361**	0.119274***	2.044991	0.044564
60/40 (3)	without rf	0.017816*	0.214753*	-	2.139896	0.146566
	AR(1)	-	-	-	-	-
	with rf	0.010336*	0.209466*	-	2.115826	0.255330
	AR(1)	-	-	-	-	-
70/30 (1)	without rf	0.020125*	-0.054746	-	1.618635	0.003995
	AR(1)	0.018329*	-0.096199	0.118628***	2.055103	0.029231
	with rf	0.010003***	-0.067191	-	1.621454	0.017560
	AR(1)	0.007833	-0.103579	0.120490***	2.088428	0.031737
70/30 (3)	without rf	0.013029*	0.222378*	-	2.103175	0.153580
	AR(1)	-	-	-	-	-
	with rf	0.005615	0.217868*	-	2.072319	0...

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