Performance of risk-managed time-series momentum strategies
| H = | 1 | 3 | 6 | 9 | 12 |
|---|---|---|---|---|---|
| RET-RF | 3.214% | 3.238% | 2.914% | 2.584% | 2.749% |
| (6.001***) | (5.785***) | (5.156***) | (5.070***) | (5.233***) | |
| CAPM α | 3.219% | 3.252% | 2.929% | 2.581% | 2.754% |
| (5.937***) | (5.521***) | (5.145***) | (5.090***) | (5.087***) | |
| FF3 α | 3.401% | 3.379% | 3.075% | 2.718% | 2.870% |
| (7.222***) | (6.913***) | (6.161***) | (6.028***) | (5.714***) | |
| Skewness | 0.118 | 0.282 | 0.336 | 0.129 | 0.357 |
| Kurtosis | 2.369 | 2.294 | 1.449 | 2.748 | 1.920 |
| VaR(5%) | −9.289% | −8.970% | −8.940% | −10.079% | −8.625% |
| CVaR (5%) | −14.505% | −13.068% | −12.348% | −15.490% | −11.971% |
| Adjusted Sharpe ratio | 1.170 | 1.232 | 1.236 | 0.925 | 1.164 |
| Calmer ratio | 0.978 | 0.885 | 0.994 | 0.724 | 1.119 |
| 1 | 3 | 6 | 9 | 12 | |
|---|---|---|---|---|---|
| RET-RF | 3.214% | 3.238% | 2.914% | 2.584% | 2.749% |
| (6.001***) | (5.785***) | (5.156***) | (5.070***) | (5.233***) | |
| CAPM | 3.219% | 3.252% | 2.929% | 2.581% | 2.754% |
| (5.937***) | (5.521***) | (5.145***) | (5.090***) | (5.087***) | |
| FF3 | 3.401% | 3.379% | 3.075% | 2.718% | 2.870% |
| (7.222***) | (6.913***) | (6.161***) | (6.028***) | (5.714***) | |
| Skewness | 0.118 | 0.282 | 0.336 | 0.129 | 0.357 |
| Kurtosis | 2.369 | 2.294 | 1.449 | 2.748 | 1.920 |
| VaR(5%) | −9.289% | −8.970% | −8.940% | −10.079% | −8.625% |
| CVaR (5%) | −14.505% | −13.068% | −12.348% | −15.490% | −11.971% |
| Adjusted Sharpe ratio | 1.170 | 1.232 | 1.236 | 0.925 | 1.164 |
| Calmer ratio | 0.978 | 0.885 | 0.994 | 0.724 | 1.119 |
Note(s): Table 3 reports the average monthly returns of risk-managed time-series momentum strategies along with downside risk measures and higher-order moments. 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. In parenthesis, Newey–West t statistics are reported. 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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