Out-of-sample evidence
| H = | 1 | 3 | 6 | 9 | 12 |
|---|---|---|---|---|---|
| RET-RF | 3.099% | 3.173% | 2.890% | 2.171% | 2.717% |
| (5.120***) | (4.993***) | (3.968***) | (3.439***) | (3.945***) | |
| CAPM α | 3.205% | 3.267% | 2.970% | 2.263% | 2.793% |
| (5.224***) | (5.388***) | (4.535***) | (3.471***) | (4.300***) | |
| FF3 α | 3.177% | 3.243% | 2.948% | 2.248% | 2.772% |
| (5.532***) | (5.594***) | (4.785***) | (3.521***) | (4.504***) | |
| Skewness | 1.270 | 1.393 | 0.734 | 1.361 | 0.584 |
| Kurtosis | 4.290 | 4.113 | 3.791 | 4.235 | 3.811 |
| VaR (5%) | −6.484% | −6.781% | −7.497% | −8.328% | −8.441% |
| CVaR (95%) | −10.548% | −10.181% | −11.843% | −11.099% | −13.237% |
| Adjusted Sharpe ratio | 1.125 | 1.084 | 1.163 | 0.930 | 1.064 |
| Calmer ratio | 1.541 | 1.272 | 0.979 | 0.664 | 0.727 |
| 1 | 3 | 6 | 9 | 12 | |
|---|---|---|---|---|---|
| RET-RF | 3.099% | 3.173% | 2.890% | 2.171% | 2.717% |
| (5.120***) | (4.993***) | (3.968***) | (3.439***) | (3.945***) | |
| CAPM | 3.205% | 3.267% | 2.970% | 2.263% | 2.793% |
| (5.224***) | (5.388***) | (4.535***) | (3.471***) | (4.300***) | |
| FF3 | 3.177% | 3.243% | 2.948% | 2.248% | 2.772% |
| (5.532***) | (5.594***) | (4.785***) | (3.521***) | (4.504***) | |
| Skewness | 1.270 | 1.393 | 0.734 | 1.361 | 0.584 |
| Kurtosis | 4.290 | 4.113 | 3.791 | 4.235 | 3.811 |
| VaR (5%) | −6.484% | −6.781% | −7.497% | −8.328% | −8.441% |
| CVaR (95%) | −10.548% | −10.181% | −11.843% | −11.099% | −13.237% |
| Adjusted Sharpe ratio | 1.125 | 1.084 | 1.163 | 0.930 | 1.064 |
| Calmer ratio | 1.541 | 1.272 | 0.979 | 0.664 | 0.727 |
Note(s): Table 7 reports the average monthly returns of absolute risk-managed momentum strategies along with higher-order moments and downside risk measures (using NSE-listed stocks as a sample). 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. ***, ** * represents significance at 1%, 5% and 10% levels
Source(s): Own elaboration
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