Table 1: Sampled Stocks Market Capitalization as a % of Total Market Capitalization

(Page 9)

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Population 55 56 61 58 62 63 65 63 61 58

Sample 27 27 29 30 30 32 32 33 32 32

% of total
94.99 95.73 95.09 96.17 95.77 96.59 97.10 97.84 98.04 98.07
market cap

Table 2: Annualized Risk-Adjusted Stock Returns from Factor Portfolios (Page 12)

Value Factor Momentum Factor

NASI Value Growth Value Winning Losing Momentum
Portfolio Portfolio Premiu Portfolio Portfolio Premium
m
Mean % 1.49 -8.05 2.90 -10.95 4.52 -3.69 8.21
(t-stat) 1 (0.32 (-1.38) (0.64) (-2.3) (0.95) (-0.70) (2.01)
)
Std Dev % 15.85 20.21 15.64 16.30 16.47 18.35 14.16
Sharpe 0.09 -0.4 0.19 -0.67 0.28 -0.20 0.58

Table 3: Annualized Risk-Adjusted Stock Returns from Combined Factor Portfolios (Page
12)

Value Factor Momentum Factor 50/50

Combination
NASI Value Value Winning Momentum Long- Long-
Portfolio Premium Portfolio Premium Short Only
Mean % 1.49 -8.05 -10.95 4.52 8.21 -1.37 -1.77
(t-stat) 2 (0.32 (-1.38) (-2.3) (0.95) (2.01) (-0.66) (-0.34)
)
Std Dev % 15.85 20.21 16.30 16.47 14.16 7.22 16.64
Sharpe 0.09 -0.40 -0.67 0.28 0.58 -0.19 -0.11

1
critical t-value of 1.96 at α = 0.05
2
critical t-value of 1.96 at α = 0.05
 Correlation -0.56 0.65
(Val,
Mom)

Table 4: Value and Momentum Factor Drawdown Measures and Duration to Previous
Peak (Page 13)

Value Factor Momentum Factor

NASI Value Growth Value Winning Losing Momentum
Portfoli Portfolio Premium Portfolio Portfolio Premium
o
MDD % -43.45 -77.65 -40.21 -75.84 -42.83 -67.18 -30.83
ADD% -23.52 -48.29 -18.72 -45.31 -19.04 -35.66 -13.88
Max time 4.83 9.25 4.75 9.25 4.75 9.17 4.17
to peak
(in years)

Table 5: Combined Factor Portfolio Drawdown Measures and Duration to Previous Peak
(Page 14)

NASI Long- Value Momentu Long- Value Winning

Short Premium m Only Portfoli Portfolio
Premium o
MDD % -43.45 -24.90 -75.84 -30.83 -51.39 -77.65 -42.83
ADD% -23.52 -13.35 -45.31 -13.88 -28.60 -48.29 -19.04
Max time 4.83 9.75 9.25 4.17 9.17 9.25 4.75
to peak
(in years)

Table 6: Annualized Returns, Standard Deviation, Sharpe Ratio, and Maximum

Drawdown (Page 14)

Value Factor Momentum Factor

Statisti Perio NASI Value Growth Value Winning Losing Momentum
c d Premiu Premium
m
Return 1 33.90 21.83 35.47 -10.95 44.39 21.42 18.53
% 2 -17.10 -26.90 -8.97 -19.66 -8.24 -26.24 22.39
3 44.08 40.88 43.93 -2.86 48.07 38.79 4.32

Std 1 12.11 17.34 13.27 15.98 14.23 13.49 12.60

 Dev 2 13.99 15.89 13.47 10.62 14.18 16.32 12.59
% 3 13.19 18.07 14.67 18.07 13.19 23.04 20.49

Sharpe 1 1.99 0.69 1.93 -1.30 2.43 0.86 0.69

2 -1.89 -2.28 -1.36 -2.73 -1.24 -2.18 1.04
3 2.76 1.84 2.47 -0.58 3.07 1.35 -0.16

MDD 1 -8.27 -8.60 -8.15 -37.60 -7.99 -7.15 -10.18

% 2 -30.20 -45.15 -17.73 -35.43 -20.17 -44.20 -5.84
3 -4.24 -5.41 -3.60 -9.98 -2.57 -8.34 -14.22

Table 7: Annualized returns, standard deviation, Sharpe ratio, and maximum drawdown
(Page 15)

Statistic Period NASI Long-short portfolio Long-only portfolio

Return 1 33.90 3.58 32.97
% 2 -17.10 -0.14 -17.93
3 44.08 1.26 44.70

Std Dev 1 12.11 7.48 14.14

% 2 13.99 4.64 13.93
3 13.19 10.39 13.24

Sharpe 1 1.99 -0.84 1.64

2 -1.89 -2.04 -1.96
3 2.76 -0.61 2.80

MDD 1 -8.27 -10.42 -6.83

% 2 -30.20 -7.43 -31.52
3 -4.24 -7.35 -3.99

Table 8: Alpha, Beta Coefficients, T-Statistics and R2 For Value and Momentum Factor
(Page 15)

Value Factor Momentum Factor

Value Growth Value Winning Losing Momentum
Portfolio Portfolio Premium Portfolio Portfolio Premium
Alpha -0.0068 0.0004 -0.0073 0.0019 -0.0037 0.0056
(t-stat)3 (-1.95) (0.31) (-1.69) (1.44) (-1.40) (1.50)
β NASI 1.0169 0.8919 0.1249 0.9597 0.9944 -0.0346
(t-stat) (12.50) (29.22) (1.26) (30.98) (15.95) (-0.40)
3
critical t-value of 1.96 at α = 0.05
 β SMB 0.1366 -0.1101 0.2467 -0.0794 0.0676 -0.1470
(t-stat) (1.67) (-3.59) (2.47) (-2.55) (1.08) (-1.67)
R2 0.5860 0.9026 0.0507 0.9096 0.7050 0.0237

Table 9: Alpha, Beta Coefficients, T-Statistics and R 2 for the Combined Factor Portfolio
(Page 16)

Long-short portfolio Long-only portfolio

Alpha -0.0007 -0.0024
(t-stat)4 (-0.41) (-1.51)
β NASI 0.0451 0.9883
(t-stat) (1.01) (26.08)
β SMB 0.0498 0.0286
(t-stat) (1.10) (0.75)
R2 0.0138 0.8676

4
critical t-value of 1.96 at α = 0.05