[rce]

But if you also short the worst performing stocks, you still have massive drawdowns. That is somewhat more surprising. I would like to see an explanation for that.

Is it because the top decile stocks are higher beta than the bottom decile stocks?

Is it because of the selection of rebalancing periods? I.e. if the big crashes happen towards the end of a five year period then perhaps the bottom decile stocks have already dropped significantly and have nowhere to go while the top decile stocks have risen significantly and have plenty of room to fall.