Sub-period analysis
| Risk-managed TS momentum | |||
|---|---|---|---|
| H | 1996–2003 | 2004–2011 | 2012–2020 |
| 1 | 3.410% | 2.976% | 3.252% |
| (3.122**) | (3.178**) | (4.171***) | |
| 3 | 3.780% | 2.709% | 3.226% |
| (3.490***) | (2.868**) | (3.782***) | |
| 6 | 3.522% | 2.342% | 2.881% |
| (3.456***) | (2.479**) | (3.203**) | |
| 9 | 2.591% | 2.465% | 2.683% |
| (2.713**) | (2.629**) | (3.269**) | |
| 12 | 2.820% | 2.460% | 2.944% |
| (2.936**) | (2.594**) | (3.304**) | |
| Risk-managed TS momentum | |||
|---|---|---|---|
| 1996–2003 | 2004–2011 | 2012–2020 | |
| 1 | 3.410% | 2.976% | 3.252% |
| (3.122**) | (3.178**) | (4.171***) | |
| 3 | 3.780% | 2.709% | 3.226% |
| (3.490***) | (2.868**) | (3.782***) | |
| 6 | 3.522% | 2.342% | 2.881% |
| (3.456***) | (2.479**) | (3.203**) | |
| 9 | 2.591% | 2.465% | 2.683% |
| (2.713**) | (2.629**) | (3.269**) | |
| 12 | 2.820% | 2.460% | 2.944% |
| (2.936**) | (2.594**) | (3.304**) | |
Source(s): Own elaboration
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