Table 3. Open in new tab Tradable risk...

Panel A: Retail investors
SMB_trad	−2.95**	1.00	0.80	0.34***	1.15
t-stat	[−2.48]
HML_trad	−2.55**	0.59***	0.51	0.24	1.90
t-stat	[−2.07]
MOM_trad	−1.79	0.46***	0.38	0.17	3.75
t-stat	[−0.66]
RMW_trad	−2.59*	0.72***	0.32	0.64**	1.70
t-stat	[−1.82]
CMA_trad	−3.81***	1.14	0.56	0.49**	1.50
t-stat	[−2.81]

Panel A: Retail investors

α (% p.a.)

R²

ΔSR

σ (Δ r)

(%)

SMB_trad

−2.95**

1.00

0.80

0.34***

1.15

t-stat

[−2.48]

HML_trad

−2.55**

0.59***

0.51

0.24

1.90

t-stat

[−2.07]

MOM_trad

−1.79

0.46***

0.38

0.17

3.75

t-stat

[−0.66]

RMW_trad

−2.59*

0.72***

0.32

0.64**

1.70

t-stat

[−1.82]

CMA_trad

−3.81***

1.14

0.56

0.49**

1.50

t-stat

[−2.81]

Panel A: Retail investors
SMB_trad	−2.95**	1.00	0.80	0.34***	1.15
t-stat	[−2.48]
HML_trad	−2.55**	0.59***	0.51	0.24	1.90
t-stat	[−2.07]
MOM_trad	−1.79	0.46***	0.38	0.17	3.75
t-stat	[−0.66]
RMW_trad	−2.59*	0.72***	0.32	0.64**	1.70
t-stat	[−1.82]
CMA_trad	−3.81***	1.14	0.56	0.49**	1.50
t-stat	[−2.81]

Panel B: Institutional investors
SMB_trad	−1.81	1.08*	0.83	0.20*	1.14
t-stat	[−1.37]
HML_trad	−2.92**	0.70***	0.66	0.30*	1.56
t-stat	[−2.41]
MOM_trad	−2.98	0.38***	0.32	0.29	3.91
t-stat	[−1.07]
RMW_trad	−3.45**	0.74***	0.30	0.74**	1.80
t-stat	[−2.30]
CMA_trad	−3.56***	1.08	0.54	0.47**	1.47
t-stat	[−2.68]

Panel B: Institutional investors

α (% p.a.)

R²

ΔSR

σ (Δ r)

(%)

SMB_trad

−1.81

1.08*

0.83

0.20*

1.14

t-stat

[−1.37]

HML_trad

−2.92**

0.70***

0.66

0.30*

1.56

t-stat

[−2.41]

MOM_trad

−2.98

0.38***

0.32

0.29

3.91

t-stat

[−1.07]

RMW_trad

−3.45**

0.74***

0.30

0.74**

1.80

t-stat

[−2.30]

CMA_trad

−3.56***

1.08

0.54

0.47**

1.47

t-stat

[−2.68]

Panel B: Institutional investors
SMB_trad	−1.81	1.08*	0.83	0.20*	1.14
t-stat	[−1.37]
HML_trad	−2.92**	0.70***	0.66	0.30*	1.56
t-stat	[−2.41]
MOM_trad	−2.98	0.38***	0.32	0.29	3.91
t-stat	[−1.07]
RMW_trad	−3.45**	0.74***	0.30	0.74**	1.80
t-stat	[−2.30]
CMA_trad	−3.56***	1.08	0.54	0.47**	1.47
t-stat	[−2.68]

Table 3.

Open in new tab

Tradable risk factors performance versus “on-paper” factors.

Notes: This table reports the performance of long–short tradable factors from the regressions

r e t_{tra d_{L S}, t} = α + β r e t_{F F_{L S}, t} + ε_{t}

accounting for ETF shorting costs. Panel A (Panel B) reports results for retail (institutional) investors using mutual funds and ETFs on the long leg, and ETFs on the short leg. The tests on the coefficients are H₀:

α_{i} = 0

and H₀:

β_{i} = 1

⁠. ΔSR is the Sharpe ratio test of the bootstrapped difference ΔSR = SR(on paper) − SR(tradable) of Ledoit and Wolf (2008).

σ (Δ r)

σ (r_{onpaper} - r_{trad})

is the tracking error in percentage. Newey-West standard errors. Monthly data, sample period from January 2007 to December 2019. *P < .1; **P < .05; ***P < .01.

Panel A: Retail investors
	α (% p.a.)	β	R²	ΔSR	$σ (Δ r)$ (%)
SMB_trad	−2.95**	1.00	0.80	0.34***	1.15
t-stat	[−2.48]
HML_trad	−2.55**	0.59***	0.51	0.24	1.90
t-stat	[−2.07]
MOM_trad	−1.79	0.46***	0.38	0.17	3.75
t-stat	[−0.66]
RMW_trad	−2.59*	0.72***	0.32	0.64**	1.70
t-stat	[−1.82]
CMA_trad	−3.81***	1.14	0.56	0.49**	1.50
t-stat	[−2.81]

Panel A: Retail investors
	α (% p.a.)	β	R²	ΔSR	$σ (Δ r)$ (%)
SMB_trad	−2.95**	1.00	0.80	0.34***	1.15
t-stat	[−2.48]
HML_trad	−2.55**	0.59***	0.51	0.24	1.90
t-stat	[−2.07]
MOM_trad	−1.79	0.46***	0.38	0.17	3.75
t-stat	[−0.66]
RMW_trad	−2.59*	0.72***	0.32	0.64**	1.70
t-stat	[−1.82]
CMA_trad	−3.81***	1.14	0.56	0.49**	1.50
t-stat	[−2.81]

Panel B: Institutional investors
	α (% p.a.)	β	R²	ΔSR	$σ (Δ r)$ (%)
SMB_trad	−1.81	1.08*	0.83	0.20*	1.14
t-stat	[−1.37]
HML_trad	−2.92**	0.70***	0.66	0.30*	1.56
t-stat	[−2.41]
MOM_trad	−2.98	0.38***	0.32	0.29	3.91
t-stat	[−1.07]
RMW_trad	−3.45**	0.74***	0.30	0.74**	1.80
t-stat	[−2.30]
CMA_trad	−3.56***	1.08	0.54	0.47**	1.47
t-stat	[−2.68]

Panel B: Institutional investors
	α (% p.a.)	β	R²	ΔSR	$σ (Δ r)$ (%)
SMB_trad	−1.81	1.08*	0.83	0.20*	1.14
t-stat	[−1.37]
HML_trad	−2.92**	0.70***	0.66	0.30*	1.56
t-stat	[−2.41]
MOM_trad	−2.98	0.38***	0.32	0.29	3.91
t-stat	[−1.07]
RMW_trad	−3.45**	0.74***	0.30	0.74**	1.80
t-stat	[−2.30]
CMA_trad	−3.56***	1.08	0.54	0.47**	1.47
t-stat	[−2.68]

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