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Stats › Verhandelbare patronen › Time series momentum

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

1 month hold: 6.61+6.611 monthhouden12 month hold: 2.85+2.8512 monthhouden24 month hold: 1.68+1.6824 monthhouden36 month hold: 0.66+0.6636 monthhouden48 month hold: 0.46+0.4648 monthhouden

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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Below this point there are 5 sections and 4 named sources, roughly 750 words of it. Every figure carries the source it came from and the date the data is from.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.