Penny stocks is deemed more risky by many even though it is a VMC.. and that's probably one of the reason why it gives higher return 30% compare to 11%, 19% or 5% of the more expensive ones... plus a 5 or 10 cents drop or rise is already a big percentage of the overall price...
maybe I will be bale to make the above conclusion when and if the general market is way down and most of the PSL2 paritipant is also down, maybe the stats will also show that the penny stocks will drop even larger.. higher beta..