Stock Performance of Investors Owned Energy
Companies with high Emissions Record
Results
1
Table 3a. Annual returns for single-year holding periods (1-year returns, January to December) and average annual (January to
December) geometric returns for multiple-year holding periods (5-year returns) and bull and bear market periods from 2002 to 2014 for
the ranked energy stocks portfolio (with dividends) and for the price indexes of 1) global alternative energy (Wilder Hill New Energy
Global Innovation and FTSE ET50 2) global energy market (MSCI World Energy) and 3) global broad market (S&P Global 1200).
Portfolio with
Dividend
WilderHill New
Energy Global
Innovation Price
Index
Difference
2002
-1.45%
-20.87%
2003
38.41%
52.62%
2004
35.87%
2005
2006
Single Year
Period
t-Statistic
FTSE ET50
Price Index
Difference
t-Statistic
19.42%
0.634
-41.75%
40.30%
1.416*
-14.21%
-0.358
31.50%
6.91%
0.2220
18.66%
17.21%
0.744
12.57%
23.30%
0.9980
45.24%
19.41%
25.83%
0.784
10.27%
34.97%
20.18%
33.30%
-13.12%
-0.338
35.45%
-15.28%
2007
41.58%
57.91%
-16.33%
-0.476
71.30%
2008
-40.04%
-60.90%
20.86%
0.567
2009
44.49%
39.72%
4.78%
0.045
2010
13.92%
-14.56%
28.48%
2011
-8.11%
-40.20%
2012
-0.47%
2013
2014
MSCI World
Energy Price
Index
Difference
t-Statistic
S&P Global
1200 Price Index
Difference
t-Statistic
-8.38%
6.93%
0.281
-21.03%
19.59%
0.79
22.90%
15.52%
0.5
30.05%
8.36%
0.35
25.33%
10.54%
0.533
12.53%
23.34%
1.298
1.1120
26.20%
19.04%
0.49
7.69%
37.55%
1.378*
-0.3830
15.80%
4.38%
0.135
18.75%
1.43%
0.138
-29.72%
-0.8530
27.50%
14.08%
0.507
7.71%
33.87%
1.492*
-54.89%
14.85%
0.3510
-39.35%
-0.68%
-0.007
-41.91%
1.87%
0.133
27.84%
16.65%
0.3110
22.89%
21.60%
0.548
27.80%
16.70%
0.385
0.727
-6.26%
20.18%
0.4970
9.53%
4.39%
0.135
9.16%
4.76%
0.182
32.09%
0.980
-28.63%
20.52%
0.6720
-1.88%
-6.23%
-0.168
-7.67%
-0.44%
0.04
-5.54%
5.07%
0.148
4.54%
-5.00%
-0.1550
-0.54%
0.07%
0.027
13.57%
-14.04%
-0.505
10.93%
53.92%
-42.99%
-1.499*
43.02%
-32.10%
-1.518*
15.34%
-4.41%
-0.202
22.68%
-11.75%
-0.596
-14.95%
-3.29%
-11.66%
-0.530
-2.07%
-12.88%
-0.6180
-13.71%
-1.24%
-0.089
2.84%
-17.79%
-0.965
2002-06
26.47%
17.93%
8.54%
0.611
5.19%
21.28%
1.397*
15.58%
10.89%
0.83
8.12%
18.34%
1.666**
2003-07
35.97%
35.41%
0.56%
1.241
30.52%
5.45%
1.991**
23.47%
12.50%
1.489*
15.05%
20.92%
2.449***
2004-08
15.02%
3.12%
11.90%
0.583
5.38%
9.65%
0.4580
7.21%
7.81%
0.526
-2.08%
17.10%
1.411*
2005-09
16.45%
6.55%
9.90%
0.396
8.09%
8.36%
0.3460
6.79%
9.66%
0.61
0.45%
16.00%
1.174
2006-10
10.92%
-0.35%
11.28%
0.458
4.64%
6.29%
0.2270
3.80%
7.12%
0.471
0.72%
10.20%
0.768
2007-11
5.13%
-15.11%
20.24%
0.944
-7.95%
13.08%
0.6150
0.42%
4.71%
0.328
-4.22%
9.35%
0.711
2008-12
-2.03%
-23.40%
21.38%
1.095
-16.61%
14.58%
0.7880
-4.45%
2.42%
0.203
-3.20%
1.18%
0.192
2009-13
10.80%
0.75%
10.06%
0.511
5.04%
5.76%
0.3840
8.66%
2.14%
0.207
12.41%
-1.61%
-0.002
2010-14
-0.34%
-6.40%
6.06%
0.359
-0.41%
0.07%
0.0230
1.25%
-1.59%
-0.096
7.63%
-7.97%
-0.558
Multiple Year Period
Full Period
11.04%
2.70%
8.34%
0.702
1.71%
9.33%
0.8760
5.81%
5.22%
0.647
4.20%
6.84%
1.015
Bull Period
29.33%
28.00%
1.34%
0.114
27.23%
2.10%
0.1920
21.61%
7.73%
0.737
21.24%
8.09%
0.886
Bear Period
-26.80%
-44.60%
1.050
-46.98%
1.2340
-28.91%
0.135
-35.50%
8.70%
0.627
17.81%
20.18%
2
2.12%
Notes for Tables 3a – 3d: 1) ***, ** and * Significant at the 1%, 5% and 10% level of significance respectively. 2) The t-statistic was calculated based on the paired difference test.
3) Bull and bear market period have been identified using the idea of non-overlapping ‘bull’ and ‘bear’ phases based on major peaks and troughs found in the global broad market
index of S&P 1200 Global, presented in Gooding and O’Malley (1977) and more recently in Woodward and Anderson (2009), i.e. based on the variability of the index in case of this
study. Bull market periods cover 121 months over 03.03 to 10.07, 03.09 to 04.11 and 10.2011 to 12.14 and bear market periods cover 35 months during: 01.02 to 02.03, 11.07 to
02.09 and 05.2011 to 09.2011. 4) Periods of time for Bull and Bear market periods are different in length than full calendar year, so returns in those rows are presented as annualised
returns based on monthly returns. 5) Bold numbers indicate positive figures. 6) Cells highlighted grey identify the portfolio or index with the highest return for that period. 7) Singleyear period covers 12 months between 1stJanauary to 31stDecember. 8) Multiple-year period covers five consecutive single-year period.
3
Table 3b. Annual returns for single-year holding periods (1-year returns, January to December) and average annual (January to
December) geometric returns for multiple-year holding periods (5-year returns) and bull and bear market periods from 2002 to 2014 for
the ranked energy stocks portfolio (with dividends) and for the total return indexes of 1) global alternative energy (Wilder Hill New
Energy Global Innovation and FTSE ET50 2) global energy market (MSCI World Energy) and 3) global broad market (S&P Global
1200).
Portfolio with
Dividend
WilderHill New
Energy Global
Innovation Total
Return
Difference
2002
-1.45%
-19.97%
2003
38.41%
54.87%
2004
35.87%
2005
Single-year
Periods
t- Statistic
FTSE ET50
Total Return
Difference
t- Statistic
18.53%
0.599
-41.18%
39.74%
1.388*
-16.46%
-0.422
32.93%
5.48%
0.1810
20.37%
15.50%
0.667
13.79%
22.07%
0.9410
45.24%
21.04%
24.20%
0.734
11.32%
33.92%
2006
20.18%
34.82%
-14.64%
-0.377
36.47%
2007
41.58%
59.02%
-17.44%
-0.507
2008
-40.04%
-60.62%
20.58%
2009
44.49%
40.91%
3.59%
2010
13.92%
-13.92%
2011
-8.11%
-39.56%
MSCI World
EnergyTotal
Return
Difference
t- Statistic
S&P Global
1200 TR
Difference
t- Statistic
-5.93%
4.49%
0.178
-19.55%
18.10%
0.729
26.72%
11.70%
0.377
32.94%
5.47%
0.252
28.82%
7.05%
0.365
14.90%
20.97%
1.164
1.0760
29.39%
15.85%
0.4
10.17%
35.07%
1.281
-16.29%
-0.4060
18.41%
1.77%
0.062
21.46%
-1.29%
0.039
72.27%
-30.69%
-0.8830
30.39%
11.19%
0.406
10.23%
31.34%
1.368*
0.555
-54.54%
14.50%
0.3390
-37.71%
-2.32%
-0.06
-40.11%
0.07%
0.067
0.024
29.34%
15.15%
0.2790
27.04%
17.45%
0.443
31.69%
12.80%
0.297
27.84%
0.707
-5.20%
19.12%
0.4690
12.52%
1.40%
0.066
11.95%
1.97%
0.11
31.45%
0.956
-27.92%
19.82%
0.6470
0.70%
-8.81%
-0.234
-5.08%
-3.02%
-0.042
2012
-0.47%
-4.17%
3.70%
0.103
5.82%
-6.28%
-0.2050
2.50%
-2.96%
-0.087
16.82%
-17.29%
-0.626
2013
10.93%
55.59%
-44.66%
-1.546*
44.58%
-33.66%
-1.584*
18.84%
-7.91%
-0.389
25.85%
-14.92%
-0.762
2014
-14.95%
-2.20%
-12.74%
-0.574
-1.16%
-13.79%
-0.6570
-11.02%
-3.93%
-0.21
5.40%
-20.34%
-1.091
2002-06
26.47%
19.48%
6.99%
0.503
6.21%
20.25%
1.322*
18.66%
7.81%
0.597
10.46%
16.01%
1.46*
2003-07
35.97%
37.06%
-1.09%
1.131
31.68%
4.29%
1.915**
26.67%
9.30%
1.248
17.64%
18.33%
2.238**
2004-08
15.02%
4.23%
10.79%
0.518
6.25%
8.77%
0.4090
9.89%
5.13%
0.355
0.30%
14.72%
1.225
2005-09
16.45%
7.56%
8.88%
0.343
9.00%
7.44%
0.2990
9.59%
6.86%
0.442
3.07%
13.37%
0.992
2006-10
10.92%
0.48%
10.45%
0.413
5.56%
5.37%
0.1800
6.57%
4.35%
0.31
3.40%
7.52%
0.593
2007-11
5.13%
-14.42%
19.55%
0.902
-7.09%
12.22%
0.5670
3.18%
1.95%
0.169
-1.57%
6.70%
0.539
2008-12
-2.03%
-22.66%
20.64%
1.047
-15.72%
13.70%
0.7330
-1.67%
-0.35%
0.036
-0.42%
-1.60%
0.015
2009-13
10.80%
1.79%
9.01%
0.448
6.22%
4.58%
0.3070
11.89%
-1.09%
-0.003
15.52%
-4.72%
-0.213
2010-14
-0.34%
-5.38%
5.03%
0.286
0.66%
-1.00%
-0.0580
4.20%
-4.54%
-0.314
10.49%
-10.83%
-0.786
Full Period
11.04%
3.83%
7.21%
0.588
2.70%
8.33%
0.7720
8.77%
2.27%
0.321
6.81%
4.23%
3.000***
Bull Period
29.33%
29.45%
-0.11%
-0.009
28.49%
0.85%
0.0770
24.97%
4.36%
0.411
24.25%
5.08%
0.55
Bear Period
-26.80%
-44.06%
17.26%
1.366*
-46.49%
19.69%
1.672**
-26.87%
0.08%
0.005
-33.85%
7.06%
0.503
Multiple-year Periods
4
Table 3c. Annual returns for single-year holding periods (1-year returns, January to December) and average annual (January to
December) geometric returns for multiple-year holding periods (5-year returns) and bull and bear market periods from 2002 to 2014 for
the ranked energy stocks portfolio (without dividends) and for the price indexes of 1) global alternative energy (Wilder Hill New Energy
Global Innovation and FTSE ET50 2) global energy market (MSCI World Energy) and 3) global broad market (S&P Global 1200).
Single Year
Period
WilderHill New
Portfolio without Energy Global
Dividend
Innovation Price
Index
Difference
t-Statistic
FTSE ET50
Price Index
Difference
t-Statistic
MSCI World
Energy Price
Index
Difference
t-Statistic
S&P Global
1200 Price Index
Difference
t-Statistic
2002
-4.05%
-20.87%
16.82%
0.556
-41.75%
37.70%
1.347*
-8.38%
4.33%
0.184
-21.03%
16.99%
0.7
2003
35.02%
52.62%
-17.60%
-0.499
31.50%
3.52%
0.1020
22.90%
12.13%
0.378
30.05%
4.97%
0.21
2004
33.03%
18.66%
14.37%
0.608
12.57%
20.47%
0.8660
25.33%
7.71%
0.38
12.53%
20.51%
1.133
2005
42.45%
19.41%
23.04%
0.701
10.27%
32.19%
1.0290
26.20%
16.26%
0.414
7.69%
34.77%
1.286
2006
17.56%
33.30%
-15.74%
-0.412
35.45%
-17.90%
-0.4510
15.80%
1.75%
0.058
18.75%
-1.20%
0.038
2007
39.15%
57.91%
-18.76%
-0.574
71.30%
-32.15%
-0.9540
27.50%
11.65%
0.414
7.71%
31.44%
1.394*
2008
-42.32%
-60.90%
18.58%
0.525
-54.89%
12.57%
0.3080
-39.35%
-2.97%
-0.059
-41.91%
-0.42%
0.076
2009
40.82%
39.72%
1.10%
-0.034
27.84%
12.98%
0.2260
22.89%
17.93%
0.449
27.80%
13.02%
0.291
2010
11.29%
-14.56%
25.85%
0.655
-6.26%
17.55%
0.4250
9.53%
1.76%
0.061
9.16%
2.13%
0.102
2011
-11.10%
-40.20%
29.09%
0.906
-28.63%
17.53%
0.5920
-1.88%
-9.22%
-0.242
-7.67%
-3.43%
-0.048
2012
-3.90%
-5.54%
1.64%
0.034
4.54%
-8.44%
-0.2980
-0.54%
-3.36%
-0.107
13.57%
-17.48%
-0.646
2013
7.48%
53.92%
-46.44%
-1.642*
43.02%
-35.55%
-1.708*
15.34%
-7.87%
-0.407
22.68%
-15.20%
-0.804
2014
-18.14%
-3.29%
-14.85%
-0.654
-2.07%
-16.07%
-0.7560
-13.71%
-4.43%
-0.216
2.84%
-20.98%
-1.137
2002-06
23.61%
17.93%
5.68%
0.395
5.19%
18.42%
1.1990
15.58%
8.04%
0.607
8.12%
15.49%
1.417*
2003-07
33.15%
35.41%
-2.25%
1.030
30.52%
2.64%
1.798**
23.47%
9.68%
1.271
15.05%
18.10%
2.203**
2004-08
12.32%
3.12%
9.20%
0.441
5.38%
6.95%
0.3150
7.21%
5.12%
0.365
-2.08%
14.40%
1.228
2005-09
13.61%
6.55%
7.06%
0.258
8.09%
5.52%
0.2050
6.79%
6.82%
0.45
0.45%
13.16%
1
2006-10
8.14%
-0.35%
8.49%
0.321
4.64%
3.50%
0.0870
3.80%
4.33%
0.31
0.72%
7.42%
0.594
2007-11
2.26%
-15.11%
17.37%
0.807
-7.95%
10.21%
0.4710
0.42%
1.84%
0.166
-4.22%
6.48%
0.537
2008-12
-5.04%
-23.40%
18.36%
0.943
-16.61%
11.57%
0.6270
-4.45%
-0.59%
0.024
-3.20%
-1.84%
0.001
2009-13
7.55%
0.75%
6.80%
0.315
5.04%
2.51%
0.1640
8.66%
-1.11%
-0.026
12.41%
-4.86%
-0.248
Multiple Year Period
2010-14
-3.51%
-6.40%
2.89%
0.145
-0.41%
-3.10%
-0.2170
1.25%
-4.75%
-0.337
7.63%
-11.13%
-0.826
Full Period
8.03%
2.70%
5.33%
0.409
1.71%
6.32%
0.5730
5.81%
2.21%
0.312
4.20%
3.83%
0.646
Bull Period
25.75%
28.00%
-2.25%
-0.195
27.23%
-1.48%
-0.1370
21.61%
4.14%
0.4
21.24%
4.51%
0.5
Bear Period
-28.88%
-44.60%
15.72%
0.941
-46.98%
18.10%
1.1240
-28.91%
0.03%
0.002
-35.50%
6.62%
0.484
5
Table 3d. Annual returns for single-year holding periods (1-year returns, January to December) and average annual (January to
December) geometric returns for multiple-year holding periods (5-year returns) and bull and bear market periods from 2002 to 2014 for
the unranked (equally weighted) energy stocks portfolio (with dividends) and for the total return indexes of 1) global alternative energy
(Wilder Hill New Energy Global Innovation and FTSE ET50 2) global energy market (MSCI World Energy) and 3) global broad market
(S&P Global 1200).
Portfolio with
DVD
WilderHill New
Energy Global
Innovation Total
Return
Difference
2002
2.07%
-19.97%
2003
42.34%
54.87%
2004
40.46%
2005
52.94%
2006
Single Period
Return
t- Statistic
FTSE ET50
Total Return
Difference
t- Statistic
22.05%
0.714
-41.18%
43.26%
1.505*
-12.53%
-0.334
32.93%
9.40%
0.2870
20.37%
20.09%
0.842
13.79%
26.67%
1.1110
21.04%
31.90%
0.901
11.32%
41.62%
1.2320
17.20%
34.82%
-17.62%
-0.446
36.47%
-19.27%
2007
41.98%
59.02%
-17.04%
-0.467
72.27%
2008
-41.59%
-60.62%
19.03%
0.516
2009
45.58%
40.91%
4.67%
2010
14.79%
-13.92%
2011
-11.10%
-39.56%
MSCI World
EnergyTotal
Return
Difference
t- Statistic
S&P Global
1200 TR
Difference
-5.93%
8.01%
0.312
-19.55%
21.62%
0.87
26.72%
15.62%
0.495
32.94%
9.39%
0.385
28.82%
11.64%
0.563
14.90%
25.56%
1.374*
29.39%
23.55%
0.564
10.17%
42.77%
1.437*
-0.4700
18.41%
-1.21%
-0.018
21.46%
-4.26%
-0.062
-30.29%
-0.8270
30.39%
11.59%
0.412
10.23%
31.75%
1.322
-54.54%
12.94%
0.3040
-37.71%
-3.88%
-0.092
-40.11%
-1.48%
0.028
0.048
29.34%
16.24%
0.2960
27.04%
18.53%
0.453
31.69%
13.88%
0.314
28.72%
0.731
-5.20%
19.99%
0.4890
12.52%
2.27%
0.08
11.95%
2.84%
0.127
28.46%
0.859
-27.92%
16.83%
0.5500
0.70%
-11.80%
-0.292
-5.08%
-6.01%
-0.117
t- Statistic
2012
-0.65%
-4.17%
3.52%
0.100
5.82%
-6.47%
-0.2010
2.50%
-3.15%
-0.086
16.82%
-17.47%
-0.61
2013
14.98%
55.59%
-40.61%
-1.425*
44.58%
-29.60%
-1.436*
18.84%
-3.86%
-0.183
25.85%
-10.87%
-0.569
2014
-15.29%
-2.20%
-13.08%
-0.563
-1.16%
-14.13%
-0.6400
-11.02%
-4.27%
-0.21
5.40%
-20.69%
-1.043
Multiple Period Return
2002-06
29.61%
19.48%
10.14%
0.707
6.21%
23.40%
1.508*
18.66%
10.95%
0.807
10.46%
19.15%
1.695**
2003-07
38.45%
37.06%
1.39%
1.275
31.68%
6.78%
2.041**
26.67%
11.79%
1.395*
17.64%
20.81%
2.383**
2004-08
15.86%
4.23%
11.63%
0.569
6.25%
9.61%
0.4630
9.89%
5.97%
0.416
0.30%
15.56%
1.259
2005-09
16.69%
7.56%
9.13%
0.368
9.00%
7.69%
0.3250
9.59%
7.10%
0.466
3.07%
13.62%
0.995
2006-10
10.19%
0.48%
9.71%
0.386
5.56%
4.63%
0.1560
6.57%
3.62%
0.279
3.40%
6.78%
0.552
2007-11
4.26%
-14.42%
18.68%
0.863
-7.09%
11.36%
0.5320
3.18%
1.09%
0.138
-1.57%
5.83%
0.494
2008-12
-2.92%
-22.66%
19.74%
1.005
-15.72%
12.80%
0.6940
-1.67%
-1.25%
0.01
-0.42%
-2.50%
-0.012
2009-13
11.16%
1.79%
9.36%
0.469
6.22%
4.94%
0.3330
11.89%
-0.73%
0.03
15.52%
-4.36%
-0.172
2010-14
-0.25%
-5.38%
5.13%
0.297
0.66%
-0.91%
-0.0410
4.20%
-4.45%
-0.293
10.49%
-10.74%
-0.753
Full Period
11.99%
3.83%
8.17%
0.685
2.70%
9.29%
0.8680
8.77%
3.23%
0.435
6.81%
5.19%
3.000***
Bull Period
31.01%
29.45%
1.56%
0.130
28.49%
2.52%
0.2230
24.97%
6.03%
0.556
24.25%
6.75%
0.712
Bear Period
-26.71%
-44.06%
17.34%
0.997
-46.49%
19.77%
1.1790
-26.87%
0.16%
0.01
-33.85%
7.14%
0.491
6
Table 4a. Modified Sharpe ratios (MSR) and Standard Deviations (SD) for the ranked stock
energy portfolios (with dividends) and for total return indexes of 1) global alternative energy
(Wilder Hill New Energy Global Innovation and FTSE ET50 2) global energy market
(MSCI World Energy) and 3) global broad market (S&P Global 1200).
Single-year Periods
2002
Ranked Portfolio With
Dividend
WilderHill New Energy
Global Innovation Total
Return
FTSE ET50 Total Return
MSCI World EnergyTotal
Return
S&P Global 1200 Total
Return
MSR
SD
MSR
SD
MSR
SD
MSR
SD
MSR
SD
-0.0001
-0.0727
-0.0013
-0.8026
-0.0034
-1.7183
-0.0003
-0.3358
-0.0010
-1.0984
2003
0.5085
1.7616
0.8992
3.1148
0.4513
1.5633
0.3900
1.3509
0.6659
2.3069
2004
0.6860
2.3765
0.3863
1.3383
0.2569
0.8899
0.6807
2.3580
0.4648
1.6101
2005
0.4847
1.6790
0.3200
1.1085
0.1746
0.6047
0.3389
1.1741
0.2531
0.8767
2006
0.2113
0.7321
0.3789
1.3127
0.3426
1.1866
0.1997
0.6918
0.5901
2.0441
2007
0.5521
1.9125
0.8322
2.8829
1.0148
3.5152
0.4574
1.5846
0.1665
0.5768
2008
-0.0042
-1.2118
2009
0.4504
1.5603
2010
0.1769
0.6127
2011
2012
2013
2014
-0.0004
0.0218
0.2556
-0.0006
-0.1857
0.0754
0.8856
-0.8922
-0.0089
0.3313
-1.6958
-0.0074
1.1476
0.2859
-1.4219
0.9903
-0.0034
-1.3108
-0.0028
-2.0371
0.3549
1.2294
0.3629
1.2571
0.1835
0.6357
-0.0008
-0.3904
-0.0001
-0.0582
0.1698
0.5881
-0.0033
-1.4688
-0.0018
-1.1873
0.0418
0.1447
-0.0001
-0.0707
0.0643
0.2227
0.3679
1.2745
1.7980
0.7425
2.5720
0.1891
0.6551
0.2206
1.7091
0.7223
0.0000
0.1363
2.5021
1.0428
-0.0301
0.0000
0.4722
3.6125
-0.0029
0.5190
-0.0004
-0.5495
-0.0002
-0.2151
Multiple-year Periods
2002-06
0.3529
2.7334
0.2779
2.1528
0.0877
0.6795
0.2680
2.0758
2003-07
0.4659
3.6087
0.5477
4.2426
0.4377
3.3906
0.3790
2.9356
2004-08
0.1829
1.4164
0.0711
0.5511
0.0924
0.7154
0.1289
0.9987
2005-09
0.1866
1.4456
0.1068
0.8269
0.1190
0.9216
0.1196
0.9265
0.0371
2006-10
0.1336
1.0350
0.0408
0.3164
0.0867
0.6712
0.0893
0.6916
0.0521
2007-11
0.0829
0.6418
-0.00077
-0.73875
-0.00021
-0.23702
0.0599
0.4639
2008-12
0.0176
0.1362
-0.00154
-1.31718
-0.00084
-0.94675
2009-13
0.1653
1.2804
2010-14
0
0.0259
0.2003
Full Period
0
0.1942
2.4258
Bull Period
Bear Period
0.3512
-0.0021
3.8634
-2.0197
0.0611
-0.0001
0.0415
0.3335
-0.0048
0.4735
-0.2174
0.5188
3.6688
-0.00003
3.3932
-0.3088
0.2871
0.4037
-0.0785
0.0129
0.0996
0.0212
0.1644
0.1159
0.8980
0.1919
1.4864
0.2718
2.1057
0.0412
0.3191
0.0896
0.6941
0.2297
1.7789
0.0181
0.2263
0.1484
1.8530
0.0741
0.9250
0.3657
-2.9098
0.4381
-0.00004
-0.0050
4.0226
-3.2158
0.3405
-0.0019
3.7451
-2.3015
0.4890
-0.0019
5.3792
-3.7273
Notes for Tables 4a and 4b: 1) The modified Sharpe ratio was calculated based on the formula from Israelsen (2005): MSR =
ER/SD(ER/absER), where ER is the excess return defined as mean monthly difference between the portfolio (or index) return
and the risk-free return computed for n equal to 12, 60 or 156 months, respectfully, and SD is the sample standard deviation of
the monthly differences of returns. 2) Bull and bear market period have been identified using the idea of non-overlapping ‘bull’
and ‘bear’ phases based on major peaks and troughs found in the global broad market index of S&P 1200 Global, presented in
Gooding and O’Malley (1977) and more recently in Woodward and Anderson (2009), i.e. based on the variability of the index in
case of this study. Bull market periods cover 121 months over 03.03 to 10.07, 03.09 to 04.11 and 10.2011 to 12.14 and bear
market periods cover 35 months during: 01.02 to 02.03, 11.07 to 02.09 and 05.2011 to 09.2011. 3) Bold numbers indicate
positive MSR and SD figures. 4) Cells highlighted grey identify the portfolio or index with the highest MSR ratio for that period
5) Single-year period covers 12 months between 1st January to 31st December 6) Multiple-year period covers five consecutive
single-year period.
7
Table 4b. Modified Sharpe ratios (MSR) and Standard Deviations (SD) for the ranked stock
energy portfolios (without dividends) and for the price indexes of 1) global alternative
energy (Wilder Hill New Energy Global Innovation and FTSE ET50 2) global energy
market (MSCI World Energy) and 3) global broad market (S&P Global 1200).
Single-year Periods
Portfolio Without
Dividend
WilderHill New Energy
Global Innovation Price
Index
FTSE ET50 Price Index
MSCI World Energy
Price Index
S&P Global 1200 Price
Index
MSR
SD
MSR
SD
MSR
SD
MSR
SD
MSR
SD
2002
-0.0002
-0.2105
-0.0013
-0.8470
-0.0035
-1.7517
-0.0004
-0.4899
-0.0011
-1.1759
2003
0.4682
1.6219
0.8570
2.9688
0.4344
1.5047
0.3448
1.1944
0.6166
2.1360
2004
0.6307
2.1849
0.3560
1.2333
0.2350
0.8140
0.6084
2.1077
0.3876
1.3427
2005
0.4574
1.5843
0.2942
1.0193
0.1557
0.5393
0.3097
1.0728
0.1715
0.5941
2006
0.1795
0.6218
0.3628
1.2567
0.3338
1.1563
0.1666
0.5770
0.4882
1.6912
2007
0.5212
1.8055
0.8246
2.8564
0.9934
3.4412
0.4092
1.4177
0.0986
0.3417
2008
-0.0044
-1.2871
-0.0090
-1.7127
-0.0075
-1.4380
-0.0035
-1.4057
-0.0030
-2.1822
2009
0.4174
1.4460
0.3251
1.1262
0.2759
0.9558
0.3135
1.0860
0.3290
1.1397
2010
0.1466
0.5078
-0.0008
-0.4189
-0.0002
-0.0969
0.1373
0.4758
0.1477
0.5115
2011
-0.0006
-0.2878
-0.0034
-1.4997
-0.0018
-1.2251
0.0142
0.0491
-0.0003
-0.3659
2012
-0.0001
-0.1002
-0.0002
-0.1294
0.1098
0.3802
0.0136
0.0470
0.2999
1.0387
2013
0.1760
0.6098
0.7064
2.4469
1.0131
3.5093
0.4155
1.4395
0.6515
2.2569
2014
Multiple-year Periods
-0.0008
-1.0829
-0.0001
-0.0871
0.0000
-0.0618
-0.0006
-0.7232
0.1077
0.3731
2002-06
0.3155
2.4437
0.2564
1.9859
0.0739
0.5727
0.2263
1.7529
0.2206
1.7091
2003-07
0.4293
3.3255
0.5245
4.0627
0.4223
3.2709
0.3363
2.6047
0.4381
3.3932
2004-08
0.1526
1.1819
0.0573
0.4441
0.0820
0.6348
0.0930
0.7205
-0.00004
-0.3088
2005-09
0.1580
1.2236
0.0964
0.7470
0.1097
0.8494
0.0857
0.6639
0.0371
0.2871
2006-10
0.1046
0.8104
0.0325
0.2520
0.0779
0.6034
0.0558
0.4324
0.0521
0.4037
2007-11
0.0538
0.4164
-0.0008
-0.7996
-0.0003
-0.3080
0.0273
0.2118
-0.00003
-0.0785
2008-12
-0.0001
-0.1071
-0.0016
-1.3834
-0.0009
-1.0281
-0.0001
-0.1603
0.0212
0.1644
2009-13
0.1241
0.9614
0.0502
0.3885
0.1009
0.7815
0.1484
1.1497
0.2718
2.1057
2010-14
0
-0.0001
-0.1330
-0.0002
-0.3172
0.0248
0.1917
0.0468
0.3622
0.2297
1.7789
Full Period
0
0.1614
2.0155
0.0291
0.3629
0.0070
0.0879
0.1115
1.3921
0.0741
0.9250
Bull Period
0.3103
3.4132
0.3181
3.4994
0.3504
3.8549
0.2959
3.2545
0.4296
4.7261
Bear Period
-0.0023
-2.2040
-0.0048
-2.9606
-0.0050
-3.2617
-0.0020
-2.5119
0.0014
5.9161
8
Table 5a. Certainty Equivalent (CEQ) returns (for risk aversion parameters: γ = 0.5,γ = 1 andγ = 2) for the ranked energy stock
portfolios (with dividends) and for the total return indexes of 1) global alternative energy (Wilder Hill New Energy Global Innovation
and FTSE ET50 2) global energy market (MSCI World Energy) and 3) global broad market (S&P Global 1200).
γ = 0.5
Single-year
Periods
WilderHill New
Portfolio with Energy Global FTSE ET50
Dividend
Innovation
Total Return
Total Return
-0.19%
2002
2.78%
2003
2.55%
2004
3.02%
2005
1.24%
2006
2.63%
2007
-4.12%
2008
3.28%
2009
1.26%
2010
-0.60%
2011
0.04%
2012
0.92%
2013
-1.34%
2014
Multiple-year Periods
1.88%
2002-06
2.45%
2003-07
1.08%
2004-08
1.22%
2005-09
0.87%
2006-10
0.50%
2007-11
-0.02%
2008-12
0.99%
2009-13
0.06%
2010-14
0
1.24%
Full Period
0
1.97%
Bull Period
-2.84%
Bear Period
γ =1
MSCI World
EnergyTotal
Return
S&P Global
1200 Total
Return
WilderHill New
Portfolio with Energy Global FTSE ET50
Dividend
Innovation
Total Return
Total Return
γ =2
MSCI World
EnergyTotal
Return
S&P Global
1200 Total
Return
WilderHill New
Portfolio with Energy Global FTSE ET50
Dividend
Innovation
Total Return
Total Return
MSCI World
EnergyTotal
Return
S&P Global
1200 Total
Return
-2.00%
3.62%
1.45%
1.35%
2.10%
3.55%
-7.52%
2.83%
-1.28%
-4.13%
-0.38%
3.74%
-0.20%
-4.48%
2.30%
0.98%
0.65%
2.20%
4.24%
-6.42%
2.11%
-0.48%
-2.71%
0.46%
3.11%
-0.11%
-0.65%
1.89%
2.03%
1.91%
1.01%
1.85%
-4.02%
1.99%
0.96%
0.03%
0.19%
1.45%
-0.98%
-1.94%
2.31%
1.06%
0.56%
1.24%
0.43%
-4.32%
2.29%
0.92%
-0.45%
1.29%
1.93%
0.44%
-0.27%
2.70%
2.52%
2.92%
1.14%
2.57%
-4.42%
3.14%
1.10%
-0.76%
-0.04%
0.89%
-1.40%
-2.27%
3.53%
1.37%
1.25%
1.92%
3.45%
-8.43%
2.32%
-1.62%
-4.51%
-0.61%
3.59%
-0.35%
-4.83%
2.15%
0.89%
0.56%
1.94%
4.15%
-7.33%
1.73%
-0.82%
-2.96%
0.38%
3.07%
-0.21%
-0.79%
1.75%
1.98%
1.71%
0.83%
1.76%
-4.47%
1.80%
0.70%
-0.27%
0.08%
1.40%
-1.12%
-2.10%
2.25%
1.04%
0.54%
1.22%
0.39%
-4.56%
2.05%
0.74%
-0.58%
1.23%
1.90%
0.41%
-0.43%
2.54%
2.44%
2.71%
0.94%
2.45%
-5.02%
2.85%
0.78%
-1.09%
-0.21%
0.82%
-1.52%
-1.72%
3.70%
1.53%
1.46%
2.29%
3.65%
-6.61%
3.34%
-0.93%
-3.74%
-0.14%
3.88%
-0.05%
-4.13%
2.45%
1.06%
0.73%
2.46%
4.34%
-5.52%
2.49%
-0.14%
-2.45%
0.54%
3.16%
0.00%
-0.51%
2.02%
2.08%
2.10%
1.18%
1.94%
-3.57%
2.18%
1.22%
0.32%
0.31%
1.49%
-0.84%
-1.78%
2.37%
1.09%
0.59%
1.26%
0.47%
-4.08%
2.54%
1.10%
-0.32%
1.36%
1.97%
0.47%
1.31%
2.42%
0.25%
0.53%
-0.01%
-1.27%
-2.07%
0.17%
-0.44%
0.34%
2.08%
0.39%
0.61%
0.38%
-0.61%
-1.36%
0.53%
0.08%
1.24%
1.74%
0.58%
0.56%
0.37%
0.17%
-0.16%
0.94%
0.34%
0.66%
1.12%
-0.19%
0.07%
0.14%
-0.21%
-0.04%
1.21%
0.84%
1.80%
2.37%
0.97%
1.09%
0.72%
0.34%
-0.18%
0.88%
-0.03%
1.18%
2.31%
0.04%
0.23%
-0.37%
-1.67%
-2.52%
-0.14%
-0.68%
0.17%
1.95%
0.17%
0.33%
0.02%
-0.96%
-1.70%
0.33%
-0.07%
1.11%
1.62%
0.41%
0.36%
0.15%
-0.07%
-0.41%
0.77%
0.19%
0.60%
1.09%
-0.24%
-0.02%
0.01%
-0.37%
-0.21%
1.09%
0.76%
1.65%
2.23%
0.76%
0.83%
0.44%
0.03%
-0.51%
0.66%
-0.22%
1.45%
2.52%
0.46%
0.82%
0.35%
-0.86%
-1.62%
0.48%
-0.20%
0.51%
2.21%
0.61%
0.90%
0.73%
-0.26%
-1.02%
0.72%
0.22%
1.37%
1.86%
0.74%
0.76%
0.59%
0.42%
0.09%
1.10%
0.50%
0.71%
1.16%
-0.13%
0.16%
0.26%
-0.06%
0.12%
1.33%
0.92%
0.04%
-0.12%
0.71%
0.23%
1.08%
-0.21%
-0.38%
0.53%
0.13%
0.85%
0.30%
0.13%
0.89%
0.33%
1.96%
-5.08%
1.92%
-5.42%
1.69%
-2.81%
1.68%
-3.50%
1.88%
-2.99%
1.87%
-5.33%
1.85%
-5.65%
1.63%
-2.93%
1.65%
-3.50%
1.71%
-3.30%
1.68%
-5.81%
1.70%
-6.11%
1.49%
-3.17%
1.59%
-3.50%
ˆk
Notes for Tables 5a and 5b: 1) Certainty Equivalent (CEQ) returns are defined as: 
- (  2 ) ˆ k2 , where ̂ k and ̂ k2 are the mean and variance of excess returns of a
portfolio or an index k and  is the risk aversion parameter. This formulation of CEQ assumes a multi-period investor with quadratic utility. The ‘normal’ level of risk
aversion is 1, while higher (lower) values indicate higher (lower) levels of risk aversion. 2) Bull and bear market period have been identified using the idea of nonoverlapping ‘bull’ and ‘bear’ phases based on major peaks and troughs found in the stock market indexes, presented in Gooding and O’Malley (1977) and more recently in
Woodward and Anderson (2009), i.e. based on the variability of indexes in case of this study. Bull market periods cover 121 months over 03.03 to 10.07, 03.09 to 04.11 and
10.11 to 12.14 and bear market periods cover 35 months during: 03.09 to 04.11 and 11.07 to 02.09 and 05.2011 to 09.2011.3) Bold numbers indicate positive CEQ figures.
4) Cells highlighted grey identify the portfolio or index with the highest CEQ value for that period for a given risk aversion level of  .
9
Table 5b. Certainty Equivalent (CEQ) returns (for risk aversion parameters: γ = 0.5, γ = 1 and γ = 2) for the ranked energy stock portfolios
(without dividends) and for the price indexes of 1) global alternative energy (Wilder Hill New Energy Global Innovation and FTSE ET50 2)
global energy market (MSCI World Energy) and 3) global broad market (S&P Global 1200).
γ = 0.5
γ =1
γ =2
Single-year
Periods
Portfolio
without
Dividend
WilderHill New
Energy Global
Innovation
Price Index
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
-0.41%
2.51%
2.34%
2.83%
1.04%
2.45%
-4.34%
3.00%
1.02%
-0.84%
-0.26%
0.63%
-1.60%
-2.09%
3.49%
1.33%
1.24%
2.01%
3.49%
-7.58%
2.76%
-1.34%
-4.21%
-0.49%
3.64%
-0.29%
-4.56%
2.21%
0.89%
0.57%
2.14%
4.19%
-6.48%
2.01%
-0.57%
-2.78%
0.36%
3.02%
-0.18%
-0.87%
1.63%
1.80%
1.69%
0.82%
1.66%
-4.23%
1.71%
0.73%
-0.19%
-0.06%
1.19%
-1.23%
-2.09%
2.12%
0.89%
0.37%
1.05%
0.24%
-4.56%
2.04%
0.71%
-0.68%
1.06%
1.71%
0.23%
-0.49%
2.43%
2.30%
2.73%
0.94%
2.40%
-4.63%
2.86%
0.86%
-1.01%
-0.34%
0.60%
-1.66%
-2.36%
3.40%
1.25%
1.13%
1.83%
3.40%
-8.49%
2.26%
-1.68%
-4.60%
-0.73%
3.50%
-0.45%
-4.90%
2.06%
0.80%
0.48%
1.88%
4.10%
-7.39%
1.64%
-0.91%
-3.04%
0.28%
2.98%
-0.29%
-1.00%
1.50%
1.75%
1.51%
0.64%
1.56%
-4.67%
1.53%
0.47%
-0.49%
-0.18%
1.15%
-1.37%
-2.26%
2.06%
0.86%
0.35%
1.02%
0.20%
-4.79%
1.80%
0.53%
-0.81%
0.99%
1.68%
0.20%
-0.64%
2.28%
2.23%
2.52%
0.74%
2.28%
-5.22%
2.57%
0.53%
-1.34%
-0.51%
0.52%
-1.78%
-1.81%
3.58%
1.41%
1.34%
2.19%
3.58%
-6.67%
3.26%
-1.00%
-3.82%
-0.26%
3.79%
-0.14%
-4.21%
2.35%
0.97%
0.65%
2.39%
4.29%
-5.58%
2.39%
-0.23%
-2.53%
0.44%
3.07%
-0.08%
-0.73%
1.76%
1.84%
1.88%
1.00%
1.75%
-3.79%
1.89%
1.00%
0.11%
0.07%
1.24%
-1.09%
-1.93%
2.18%
0.92%
0.40%
1.07%
0.28%
-4.32%
2.28%
0.89%
-0.54%
1.13%
1.75%
0.26%
2002-06
2003-07
2004-08
2005-09
2006-10
2007-11
2008-12
2009-13
2010-14
0
1.66%
2.24%
0.88%
1.01%
0.65%
0.27%
-0.28%
0.72%
-0.20%
1.20%
2.31%
0.16%
0.45%
-0.08%
-1.33%
-2.15%
0.09%
-0.53%
0.26%
2.00%
0.32%
0.54%
0.30%
-0.68%
-1.45%
0.43%
-0.01%
1.02%
1.53%
0.37%
0.34%
0.15%
-0.05%
-0.40%
0.69%
0.10%
0.53%
0.97%
-0.33%
-0.06%
0.04%
-0.28%
-0.11%
1.10%
0.70%
1.59%
2.16%
0.78%
0.88%
0.50%
0.11%
-0.44%
0.61%
-0.30%
1.07%
2.21%
-0.05%
0.15%
-0.44%
-1.74%
-2.60%
-0.22%
-0.77%
0.09%
1.88%
0.10%
0.26%
-0.05%
-1.03%
-1.79%
0.24%
-0.16%
0.89%
1.41%
0.20%
0.14%
-0.07%
-0.29%
-0.65%
0.52%
-0.05%
0.42%
0.90%
-0.44%
-0.24%
-0.21%
-0.59%
-0.44%
0.86%
0.54%
1.44%
2.02%
0.57%
0.62%
0.22%
-0.20%
-0.77%
0.38%
-0.49%
1.34%
2.42%
0.37%
0.74%
0.27%
-0.93%
-1.70%
0.39%
-0.29%
0.43%
2.13%
0.55%
0.83%
0.65%
-0.33%
-1.10%
0.63%
0.13%
1.15%
1.65%
0.53%
0.54%
0.37%
0.19%
-0.15%
0.86%
0.26%
0.53%
0.97%
-0.33%
-0.06%
0.04%
-0.28%
-0.11%
1.10%
0.70%
Full Period
0
0.97%
-0.05%
-0.20%
0.49%
0.12%
0.86%
-0.30%
-0.46%
0.31%
-0.07%
0.63%
0.21%
0.05%
0.67%
0.12%
Bull Period
Bear Period
1.73%
-3.07%
1.87%
-5.16%
1.84%
-5.49%
1.46%
-3.04%
1.47%
-3.74%
1.64%
-3.22%
1.77%
-5.40%
1.76%
-5.72%
1.40%
-3.16%
1.44%
-3.77%
1.47%
-3.53%
1.58%
-5.88%
1.61%
-6.18%
1.26%
-3.39%
1.38%
-3.84%
FTSE ET50
Price Index
MSCI World
Energy Price
Index
S&P Global
1200 Price
Index
Portfolio
without
Dividend
WilderHill New
Energy Global
Innovation
Price Index
FTSE ET50
Price Index
MSCI World
Energy Price
Index
S&P Global
1200 Price
Index
Portfolio
without
Dividend
WilderHill New
Energy Global
Innovation
Price Index
FTSE ET50
Price Index
MSCI World
Energy Price
Index
S&P Global
1200 Price
Index
0
10
Table 6. Estimation results of parameters of Fama, French and Carhart four-factor modelin single
and multiple-year periods (in years from 01.2002 to 12.2014) and estimation result (second row for
each period) inclusive of Crude Oil Returns as control variable.
Period
Year
2005-06
2006-07
2007-08
Single Year Period
2008-09
2009-10
2010-11
2011-12
2012-13
2013-14
2014-15
2005-10
Multi Year Period
2006-11
2007-12
2008-13
2009-14
2010-15
FullPeriod
2005-15
Bull period
Bear period
Constant
RMRFt
SMBt
HMLt
WMLt
R2
Q(10) and p
value
Log
Liklihood
0.85
7.494 (0.678)
31.9346
0.85
8.792 (0.552)
32.0452
-0.318596
0.49
8.087 (0.620)
29.0133
-0.325342
0.57
5.610 (0.847)
29.9661
0.85
7.273 (0.699)
30.6925
0.85
5.267 (0.873)
30.8749
-0.014224
0.373307
0.094944
0.377604
2.135884**
-0.013481
0.440351
-0.071803
0.14456
2.061254**
0.008775
1.619958**
-0.881506
0.118782
-0.887517** -0.744162
Crude Oil
Return
0.017445*
1.417481**
0.017866
0.853918*** 0.007014
-0.620635
0.509437
0.021081*
0.834835*** 0.073989
-0.723879
0.530043
0.050905
0.128615
-0.066245
0.013184** 1.406031*** 0.419823
-1.087269*** 0.590721***
0.98
12.873 (0.231)
34.3015
0.014923** 1.349006*** 0.346739*
-1.034448*** 0.554365*** 0.066243*
0.99
11.157 (0.345)
37.1050
0.012117
-0.60477
0.86
15.339 (0.120)
27.7223
0.018734*** 1.023971*** -0.896372*
-1.042441*** -0.259331** -0.178471*** 0.99
5.171 (0.739)
43.3879
0.015718*** 0.825687*** 0.164535
0.168918
-0.206418
0.98
20.188 (0.028)
41.6278
0.013044** 0.830532*** -0.05615
0.108657
-0.26975
0.98
11.379 (0.251)
40.4916
0.92
7.986 (0.630)
32.7620
0.92
8.903 (0.541)
32.8871
0.84
12.991 (0.224)
31.2335
0.84
12.991 (0.224)
31.2335
0.69
7.618 (0.666)
28.7700
0.71
8.448 (0.585)
29.0736
0.81
13.195 (0.213)
29.2085
0.81
13.171 (0.214)
29.2147
0.82
13.450 (0.200)
129.8928
0.83
14.862 (0.137)
132.1949
0.85
7.174 (0.709)
134.6739
0.86
6.719 (0.752)
136.0246
0.86
8.727 (0.558)
134.0395
0.87
6.796 (0.745)
135.1304
0.87
10.315 (0.413)
134.9878
0.87
9.159 (0.517)
135.3456
0.83
5.361 (0.866)
142.2625
0.83
5.386 (0.864)
142.2642
0.76
11.027 (0.355)
141.3655
0.79
13.445 (0.200)
140.8554
0.967583**
-0.537041
-0.165463
0.000665
0.985782*** 0.970473
0.142348
0.033757
-0.000348
0.974171*** 0.844351
0.122086
0.004898
0.020114** 0.398052
-0.131041
-0.536214
-1.287057**
0.020108*
0.397941
-0.131445
-0.535694
-1.286874*
0.010183
1.382999*** 0.064512
-0.472101
-1.168215
0.007633
1.306**
-0.428856
-0.910336
0.00741
1.179109*** 0.215953
2.582353*** 0.541991
0.008333
1.154522**
0.238513
2.556487*** 0.554703
0.017153*** 1.244363*** 0.042579
-0.656392** 0.158176
0.016015*** 1.189862*** -0.040242
-0.61929**
0.015254*** 1.18452***
-0.05118
-0.057313
0.150599
0.053357
0.000242
0.171674
0.013932
0.082014**
-0.741959*** 0.061038
0.014597*** 1.143195*** -0.102242
-0.705494
0.00956*** 1.143234*** 0.246369
-0.605451*** 0.069596
0.008681** 1.106419*** 0.184971
-0.57223*** 0.067842
0.004362
1.112092*** 0.535058**
-0.485496** 0.022112
0.004241
1.088869*** 0.485109*
-0.462282** 0.021343
0.002572
0.991026*** 0.173037
-0.17853
-0.13866*
0.002542
0.989886*** 0.169475
-0.177378
-0.138129*
0.001342
0.909092*** 0.535716*** 0.216927
-0.204118**
0.003136
0.91052***
-0.264056*
0.410197*
0.09833
0.397281*
0.059906
0.061379
0.059756
0.03467
0.003038
0.091897*
-0.059963
0.08564
0.76
7.252 (0.611)
253.2916
0.006971** 1.015647*** 0.210692
-0.091643
0.049209*** 0.118064***
0.77
15.198 (0.125)
257.3550
0.007747*** 1.011631*** 0.203603
0.283492
-0.030592
0.64
6.2266 (0.796)
227.4019
0.005474*
0.965551*** 0.057503
0.431291*
-0.059019
0.67
6.2775 (0.791)
225.2677
0.01342
1.275744*** 0.163282
-0.998632** 0.387154*
0.90
15.205 (0.125)
48.8200
0.013828*
1.204157*** 0.203264
-0.858074** 0.403789**
0.93
14.401 (0.155)
52.0919
0.006849*
1.075992*** 0.329049*
0.097086**
0.110651**
Note: *** - statistical significance at the 1% level, ** - statistical significance at the 5% level and * - statisticalsignificance at the 10% level.
11