Performance of alternative risk-managed time-series momentum strategies
| H = | 1 | 3 | 6 | 9 | 12 |
|---|---|---|---|---|---|
| RET-RF | 2.912% | 2.804% | 2.440% | 2.152% | 2.311% |
| (4.840***) | (4.615***) | (4.116***) | (3.879***) | (4.132***) | |
| CAPM α | 2.946% | 2.831% | 2.461% | 2.168% | 2.327% |
| (4.845***) | (4.681***) | (4.197***) | (4.110***) | (4.143***) | |
| FF3 α | 3.120% | 2.968% | 2.607% | 2.304% | 2.445% |
| (5.480***) | (5.262***) | (4.678***) | (4.506***) | (4.610***) | |
| Skewness | −0.257 | −0.091 | −0.011 | −0.113 | −0.119 |
| Kurtosis | 2.160 | 2.417 | 2.310 | 2.062 | 2.619 |
| Adjusted Sharpe ratio | 0.980 | 0.965 | 0.868 | 0.760 | 0.819 |
| Calmer ratio | 0.868 | 0.737 | 0.809 | 0.583 | 0.835 |
| 1 | 3 | 6 | 9 | 12 | |
|---|---|---|---|---|---|
| RET-RF | 2.912% | 2.804% | 2.440% | 2.152% | 2.311% |
| (4.840***) | (4.615***) | (4.116***) | (3.879***) | (4.132***) | |
| CAPM | 2.946% | 2.831% | 2.461% | 2.168% | 2.327% |
| (4.845***) | (4.681***) | (4.197***) | (4.110***) | (4.143***) | |
| FF3 | 3.120% | 2.968% | 2.607% | 2.304% | 2.445% |
| (5.480***) | (5.262***) | (4.678***) | (4.506***) | (4.610***) | |
| Skewness | −0.257 | −0.091 | −0.011 | −0.113 | −0.119 |
| Kurtosis | 2.160 | 2.417 | 2.310 | 2.062 | 2.619 |
| Adjusted Sharpe ratio | 0.980 | 0.965 | 0.868 | 0.760 | 0.819 |
| Calmer ratio | 0.868 | 0.737 | 0.809 | 0.583 | 0.835 |
Source(s): Own elaboration
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