Table 2 Results of CAPM over different trading strategies
From: Do select macroeconomic factors drive momentum returns?
Portfolios | α | β | t(α) | t(β) | R2 |
|---|---|---|---|---|---|
3/3 | |||||
P1 | 0.015 | 1.183 | 3.653 | 21.59 | 0.735 |
P2 | 0.015 | 1.085 | 4.97 | 26.858 | 0.811 |
P3 | 0.016 | 1.045 | 5.728 | 28.154 | 0.825 |
P4 | 0.018 | 1.038 | 5.863 | 25.561 | 0.795 |
P5 | 0.025 | 1.065 | 7.032 | 22.227 | 0.746 |
6/6 | |||||
P1 | 0.013 | 1.206 | 3.086 | 21.465 | 0.736 |
P2 | 0.015 | 1.074 | 4.749 | 24.773 | 0.788 |
P3 | 0.013 | 1.029 | 4.983 | 28.904 | 0.835 |
P4 | 0.02 | 1.023 | 7 | 27.282 | 0.798 |
P5 | 0.029 | 1.09 | 7.956 | 22.559 | 0.755 |
12/12 | |||||
P1 | 0.014 | 1.225 | 2.824 | 18.511 | 0.683 |
P2 | 0.011 | 1.064 | 3.481 | 24.338 | 0.788 |
P3 | 0.014 | 1.052 | 4.727 | 26.32 | 0.813 |
P4 | 0.019 | 0.985 | 6.636 | 26.185 | 0.812 |
P5 | 0.028 | 1.046 | 8.431 | 23.427 | 0.775 |
36/36 | |||||
P1 | 0.007 | 1.72 | 1.185 | 12.819 | 0.731 |
P2 | 0.008 | 1.313 | 1.901 | 14.278 | 0.772 |
P3 | 0.011 | 1.213 | 3.734 | 19.692 | 0.866 |
P4 | 0.014 | 1.118 | 4.333 | 15.486 | 0.799 |
P5 | 0.023 | 1.09 | 5.575 | 12.369 | 0.717 |
60/60 | |||||
P1 | 0.01 | 1.693 | 1.169 | 7.654 | 0.615 |
P2 | 0.017 | 1.446 | 3.036 | 10.387 | 0.748 |
P3 | 0.017 | 1.286 | 4.291 | 13.484 | 0.834 |
P4 | 0.021 | 1.146 | 4.567 | 10.163 | 0.74 |
P5 | 0.029 | 1.121 | 5.241 | 8.177 | 0.647 |