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Statistik › Handelbare Muster › Time series momentum

Time series momentum is significant pooled, insignificant asset by asset, and mostly volatility scaling

1 month hold: 6.61+6.611 monthhalten12 month hold: 2.85+2.8512 monthhalten24 month hold: 1.68+1.6824 monthhalten36 month hold: 0.66+0.6636 monthhalten48 month hold: 0.46+0.4648 monthhalten

t statistics for a twelve month look-back time series momentum strategy by holding period, from the original study, 58 futures and forwards, January 1985 to December 2009. The effect is confined to holding periods of about a year or less, which the authors state directly. All figures are gross; the paper models no transaction costs anywhere.

The original study found all 58 futures contracts positive and 52 significant. A replication finds only three of 55 significant asset by asset, 17 slope coefficients negative, and the pooled t statistic falling from 4.34 to 1.68 when volatility scaling is removed.

52 of 58Contracts with significantly positive returns in the original study
3 of 55Contracts significant at the 5% level in the replication
4.34Pooled t statistic with volatility scaling
1.68The same without volatility scaling

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