Do select macroeconomic factors drive momentum returns?

Future Business Journal

Table 1 Descriptive statistics for the portfolios sorted on past returns for different trading strategies

Portfolios	1	2	3	4	5
33*
Mean	0.012	0.012	0.015	0.016	0.022
Standard deviation	0.103	0.087	0.084	0.085	0.081
T-statistics	1.635	1.918	2.534	2.684	3.757
66*
Mean	0.016	0.016	0.015	0.019	0.026
Standard deviation	0.101	0.084	0.073	0.071	0.077
T-statistics	2.202	2.706	2.823	3.781	4.837
1212*
Mean	0.009	0.008	0.011	0.014	0.024
Standard deviation	0.086	0.066	0.059	0.056	0.06
T-statistics	1.580	1.675	2.611	3.434	5.558
3636*
Mean	0.007	0.008	0.010	0.014	0.022
Standard deviation	0.092	0.068	0.060	0.057	0.059
T-statistics	1.029	1.495	2.225	3.127	4.741
6060*
Mean	0.014	0.020	0.019	0.023	0.031
Standard deviation	0.087	0.068	0.057	0.054	0.056
T-statistics	2.217	4.094	4.640	5.929	7.683

The results are presented from authors’ own data computation
This table records mean returns, standard deviation, and t-statistics for different portfolios. T-statistics as a measure of statistical significance shows that 21 out of 25 portfolios mentioned below yield statistically significant returns (5% level). This is substantiated from the values of t-statistics being shown in the present table