Table 6. Open in new tab Tradable risk...

Panel A: Retail investors
SMB _trad	−1.64	1.00	0.80	0.17	1.14
t-stat	[−1.43]
HML_trad	−1.05	0.59***	0.52	−0.03	1.88
t-stat	[−0.83]
MOM_trad	−0.42	0.45***	0.38	−0.02	3.77
t-stat	[−0.16]
RMW_trad	−0.76	0.71***	0.31	0.17	1.71
t-stat	[−0.50]
CMA_trad	−1.35	1.14	0.56	0.06	1.49
t-stat	[−0.98]

Panel A: Retail investors

α (% p.a.)

R²

ΔSR

σ (Δ r)

(%)

SMB _trad

−1.64

1.00

0.80

0.17

1.14

t-stat

[−1.43]

HML_trad

−1.05

0.59***

0.52

−0.03

1.88

t-stat

[−0.83]

MOM_trad

−0.42

0.45***

0.38

−0.02

3.77

t-stat

[−0.16]

RMW_trad

−0.76

0.71***

0.31

0.17

1.71

t-stat

[−0.50]

CMA_trad

−1.35

1.14

0.56

0.06

1.49

t-stat

[−0.98]

Panel A: Retail investors
SMB _trad	−1.64	1.00	0.80	0.17	1.14
t-stat	[−1.43]
HML_trad	−1.05	0.59***	0.52	−0.03	1.88
t-stat	[−0.83]
MOM_trad	−0.42	0.45***	0.38	−0.02	3.77
t-stat	[−0.16]
RMW_trad	−0.76	0.71***	0.31	0.17	1.71
t-stat	[−0.50]
CMA_trad	−1.35	1.14	0.56	0.06	1.49
t-stat	[−0.98]

Panel B: Institutional investors
SMB_trad	−0.38	1.09*	0.83	0.03	1.13
t-stat	[−0.30]
HML_trad	−1.15	0.71***	0.67	0.03	1.54
t-stat	[−0.94]
MOM_trad	−1.83	0.38***	0.32	0.11	3.94
t-stat	[−0.70]
RMW_trad	−1.55	0.74***	0.30	0.27	1.80
t-stat	[−1.01]
CMA_trad	−1.21	1.09	0.54	0.04	1.47
t-stat	[−0.89]

Panel B: Institutional investors

α (% p.a.)

R²

ΔSR

σ (Δ r)

(%)

SMB_trad

−0.38

1.09*

0.83

0.03

1.13

t-stat

[−0.30]

HML_trad

−1.15

0.71***

0.67

0.03

1.54

t-stat

[−0.94]

MOM_trad

−1.83

0.38***

0.32

0.11

3.94

t-stat

[−0.70]

RMW_trad

−1.55

0.74***

0.30

0.27

1.80

t-stat

[−1.01]

CMA_trad

−1.21

1.09

0.54

0.04

1.47

t-stat

[−0.89]

Panel B: Institutional investors
SMB_trad	−0.38	1.09*	0.83	0.03	1.13
t-stat	[−0.30]
HML_trad	−1.15	0.71***	0.67	0.03	1.54
t-stat	[−0.94]
MOM_trad	−1.83	0.38***	0.32	0.11	3.94
t-stat	[−0.70]
RMW_trad	−1.55	0.74***	0.30	0.27	1.80
t-stat	[−1.01]
CMA_trad	−1.21	1.09	0.54	0.04	1.47
t-stat	[−0.89]

Table 6.

Open in new tab

Tradable risk factors performance versus “on-paper” factors adjusted for both shorting and transaction costs.

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

r_{tra d_{L S}, t} = α + β r_{F F_{L S - t c - s c}, t} + ε_{t}

accounting for both the transaction costs (denoted tc) of the Fama and French factors as in Detzel et al. (2023), and the shorting costs (denoted sc). 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_{F F} - 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	−1.64	1.00	0.80	0.17	1.14
t-stat	[−1.43]
HML_trad	−1.05	0.59***	0.52	−0.03	1.88
t-stat	[−0.83]
MOM_trad	−0.42	0.45***	0.38	−0.02	3.77
t-stat	[−0.16]
RMW_trad	−0.76	0.71***	0.31	0.17	1.71
t-stat	[−0.50]
CMA_trad	−1.35	1.14	0.56	0.06	1.49
t-stat	[−0.98]

Panel A: Retail investors
	α (% p.a.)	β	R²	ΔSR	$σ (Δ r)$ (%)
SMB _trad	−1.64	1.00	0.80	0.17	1.14
t-stat	[−1.43]
HML_trad	−1.05	0.59***	0.52	−0.03	1.88
t-stat	[−0.83]
MOM_trad	−0.42	0.45***	0.38	−0.02	3.77
t-stat	[−0.16]
RMW_trad	−0.76	0.71***	0.31	0.17	1.71
t-stat	[−0.50]
CMA_trad	−1.35	1.14	0.56	0.06	1.49
t-stat	[−0.98]

Panel B: Institutional investors
	α (% p.a.)	β	R²	ΔSR	$σ (Δ r)$ (%)
SMB_trad	−0.38	1.09*	0.83	0.03	1.13
t-stat	[−0.30]
HML_trad	−1.15	0.71***	0.67	0.03	1.54
t-stat	[−0.94]
MOM_trad	−1.83	0.38***	0.32	0.11	3.94
t-stat	[−0.70]
RMW_trad	−1.55	0.74***	0.30	0.27	1.80
t-stat	[−1.01]
CMA_trad	−1.21	1.09	0.54	0.04	1.47
t-stat	[−0.89]

Panel B: Institutional investors
	α (% p.a.)	β	R²	ΔSR	$σ (Δ r)$ (%)
SMB_trad	−0.38	1.09*	0.83	0.03	1.13
t-stat	[−0.30]
HML_trad	−1.15	0.71***	0.67	0.03	1.54
t-stat	[−0.94]
MOM_trad	−1.83	0.38***	0.32	0.11	3.94
t-stat	[−0.70]
RMW_trad	−1.55	0.74***	0.30	0.27	1.80
t-stat	[−1.01]
CMA_trad	−1.21	1.09	0.54	0.04	1.47
t-stat	[−0.89]

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