Table 1 Profitability of time-series...

Table 1

Profitability of time-series momentum strategies

H =	1	3	6	9	12
RET-RF	1.267%	1.357%	0.984%	0.710%	0.878%
RET-RF	(2.371**)	(2.650**)	(2.112**)	(1.632*)	(2.052**)
CAPM α	1.300%	1.397%	1.014%	0.727%	0.901%
CAPM α	(2.450**)	(2.666**)	(2.012**)	(1.673*)	(1.819*)
FF3 α	1.531%	1.572%	1.197%	0.905%	1.056%
FF3 α	(3.238**)	(3.342***)	(2.702**)	(2.227**)	(2.466**)
Skewness	−0.796	−0.558	−0.377	−0.463	−0.536
Kurtosis	2.081	1.989	1.901	1.682	2.084
VaR (5%)	−14.085%	−13.182%	−12.539%	−12.797%	−12.530%
CVaR (95%)	−22.610%	−21.346%	−19.815%	−19.801%	−20.248%
Adjusted Sharpe ratio	0.338	0.393	0.270	0.160	0.238
Calmer ratio	0.252	0.280	0.278	0.156	0.266

H =	1	3	6	9	12
RET-RF	1.267%	1.357%	0.984%	0.710%	0.878%
RET-RF	(2.371**)	(2.650**)	(2.112**)	(1.632*)	(2.052**)
CAPM α	1.300%	1.397%	1.014%	0.727%	0.901%
CAPM α	(2.450**)	(2.666**)	(2.012**)	(1.673*)	(1.819*)
FF3 α	1.531%	1.572%	1.197%	0.905%	1.056%
FF3 α	(3.238**)	(3.342***)	(2.702**)	(2.227**)	(2.466**)
Skewness	−0.796	−0.558	−0.377	−0.463	−0.536
Kurtosis	2.081	1.989	1.901	1.682	2.084
VaR (5%)	−14.085%	−13.182%	−12.539%	−12.797%	−12.530%
CVaR (95%)	−22.610%	−21.346%	−19.815%	−19.801%	−20.248%
Adjusted Sharpe ratio	0.338	0.393	0.270	0.160	0.238
Calmer ratio	0.252	0.280	0.278	0.156	0.266

Note(s): Table 1 reports the average monthly returns of absolute momentum strategies along with higher-order moments and downside risk measures. Rf stands for riskless rate, and H denotes various holding periods. CAPM and FF3 (Fama–French three-factor model) alphas are computed by regressing relative momentum payoffs (minus riskless rate) against the payoffs of market, size and value factors. The study takes the help of the asterisk symbol to represent the significant relative momentum returns. ***, ** and * represents significance at 1%, 5% and 10% levels

Source(s): Own elaboration

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