Cross-alpha comparison
| Independent variable → TS momentum | Risk-managed TS momentum | |
|---|---|---|
| Dependent variable → Risk-managed TS momentum | TS momentum | |
| Holding period | ||
| 1 | 2.106% | −0.883% |
| (4.275***) | (−3.214***) | |
| 3 | 1.809% | −0.801% |
| (3.960***) | (−3.318***) | |
| 6 | 1.715% | −0.790% |
| (3.986***) | (−3.737***) | |
| 9 | 1.678% | −0.777% |
| (4.054***) | (−3.584***) | |
| 12 | 1.685% | −0.759% |
| (4.188***) | (−3.482***) | |
| Independent variable → TS momentum | Risk-managed TS momentum | |
|---|---|---|
| Dependent variable → Risk-managed TS momentum | TS momentum | |
| Holding period | ||
| 1 | 2.106% | −0.883% |
| (4.275***) | (−3.214***) | |
| 3 | 1.809% | −0.801% |
| (3.960***) | (−3.318***) | |
| 6 | 1.715% | −0.790% |
| (3.986***) | (−3.737***) | |
| 9 | 1.678% | −0.777% |
| (4.054***) | (−3.584***) | |
| 12 | 1.685% | −0.759% |
| (4.188***) | (−3.482***) | |
Note(s): Table 4 presents intercepts (alphas) of various risk-managed time-series momentum payoffs regressed against standard time-series momentum payoffs and intercepts of time-series momentum payoffs regressed against risk-managed time-series momentum returns
Source(s): Own elaboration
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