1.7920.2310.0650.8253.68256.66766.6671.7532.547*63.3331.5771.8700.8400.7443.8511.6890.2180.0780.9034.38860.00048.3330.0390.44950.0000.2540.022
0.0970.0812.7040.2780.0360.4071.1983.780
0.0620.1982.3620.2050.0260.2780.5591.815
0.863*0.5323.3731.9820.2560.0540.1160.769
0.6980.6692.7801.9450.2510.1060.0380.244
This table shows performance measures and statistics for selected foreign exchange trading strategies. The base currency is denoted on the far left. The MSCIand Equal columns are reproduced from Table 7.1. The ®rst t-stat is used to test the signi®cance of the mean return relative to a null hypothesis of zero. The[Interest Dierential] rows give the mean monthly return due to the interest dierential of the non-domestic relative to the domestic currency. The [Prob >] rowsgive the percentage of the total months that the given strategy has exceeded zero, the MSCI benchmark, and the Equal benchmark. The paired t-test is used totest the signi®cance of the excess returns of each of the ranks and the long±short strategies relative to the MSCI benchmark and the Equal benchmark. TheWilcoxon is a nonparametric test of the excess returns. The [Proportion >] rows give the percentage of the 93 MA combinations that exceed zero, the MSCIbenchmark average return, and the Equal benchmark average return. ** and * indicate signi®cance at the 1 and 5 per cent levels.
Table 7.6 Performance of selected strategies sub-period analysis: 1990±1994Long±Short WithinLong±Short AcrossCurrency benchmarksÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐ ÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐ ÐÐÐÐÐÐÐÐÐ[Momentum] Interest[Momentum] Interest[MA 4 6 MA 4 63-month[rate][MA 4 6 3-month[rate]1 71; 2; 3 7 [MSCI][Equal]Australia
Canada
Mean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisProb >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon testMean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisProb >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon test
0.0010.3332.4700.0040.0010.0210.9701.85338.33345.0000.7760.64846.6670.5160.3750.2900.2001.9781.1370.1470.0200.5630.30553.33348.3330.8960.38340.0000.6381.620
0.1090.2131.9180.4390.0570.1990.0091.74458.33348.3330.4100.09646.6670.2140.5890.1240.2011.4390.6680.0860.1750.9673.35960.00045.0001.5470.12543.3331.3110.331
0.0410.1262.2080.1420.0180.0150.8121.69246.66748.3330.7900.30943.3330.5681.0670.2210.2651.7960.9530.1230.0400.1961.07358.33350.0001.2431.25945.0000.9170.272
0.796*0.6733.1041.9860.2560.0020.1970.20060.00055.0001.2780.01556.6671.3380.4050.6220.3023.4381.4020.1810.0190.2880.15955.00051.6670.0930.50151.6670.1890.537
0.5330.4303.3311.2390.1600.4920.6170.71160.00055.0000.5530.22855.0000.8760.2650.4390.3553.2851.0340.1330.5030.4410.53056.66751.6670.3190.72956.6670.2232.002*
0.5640.4943.0551.4300.1850.0290.1980.68760.00053.3330.6290.47945.0000.7541.6200.4550.4073.2841.0720.1380.0040.1110.55160.00051.6670.2460.45653.3330.1310.920
0.5720.6322.9031.5270.1970.0120.2490.38261.66756.6670.6511.27451.6670.7750.1840.4710.3763.0691.1880.1530.0330.4970.63860.00051.6670.2160.72155.0000.1001.494
0.2950.0742.6200.8720.1130.2240.8341.285
0.2110.0773.0390.5390.0700.1090.4890.203
0.576*0.5461.9592.2780.2940.1730.1580.386
0.5220.2272.3961.6880.2180.0500.5800.587
France
Germany
Mean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisProb >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon testMean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisProb >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon test
0.1090.1621.6790.5050.0650.0010.3940.66151.66751.6670.0380.04448.3330.3151.0010.0640.0491.7400.2870.0370.0130.3120.83150.00051.6670.1030.08851.6670.2240.243
0.2170.2361.5121.1100.1430.2360.3681.19960.00061.6670.1912.289*60.0000.5171.5830.2060.2901.4491.1000.1420.1720.3522.13063.33356.6670.2121.14858.3330.5541.303
0.1860.1721.6080.8960.1160.0080.2890.80255.00053.3330.1610.33151.6670.5660.3460.1580.0611.6340.7480.0970.0140.2501.34653.33355.0000.1320.78048.3330.5311.347
0.8610.5013.4431.9370.2500.0040.4190.07556.66753.3331.3200.22858.3331.6170.8100.960*0.8093.4062.1830.2820.0250.3730.12563.33358.3331.5110.62663.3331.8121.796
0.1320.1903.5970.2850.0370.4420.8250.90555.00051.6670.0110.18451.6670.2070.2430.3210.3473.4170.7280.0940.5050.6720.84556.66760.0000.3031.73760.0000.5321.575
0.4230.4303.1721.0320.1330.0210.0270.21156.66756.6670.5360.96456.6670.8190.8390.4130.4533.1961.0000.1290.0140.0900.19658.33358.3330.5471.35558.3330.8281.259
0.3100.4753.0070.7990.1030.0120.3110.28856.66755.0000.3490.74461.6670.6292.319*0.3070.3273.0170.7870.1020.0220.3970.13056.66753.3330.3720.22158.3330.6501.355
0.1240.2912.3770.4050.0520.2850.8530.595
0.0000.2561.8480.0010.0000.1700.6440.393
0.1070.1112.4510.3390.0440.1310.7740.923
0.0170.0701.9360.0680.0090.0020.4970.808
(continued )
Table 7.6 (continued)Long±Short WithinLong±Short AcrossCurrency benchmarksÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐ ÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐ ÐÐÐÐÐÐÐÐÐ[Momentum] Interest[Momentum] Interest[MA 4 6 MA 4 63-month[rate][MA 4 6 3-month[rate]1 71; 2; 3 7 [MSCI][Equal]
[
Mean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisProb >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon testSwitzerland Mean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisProb >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon test
0.3110.0652.2531.0680.1380.0050.5850.14151.66763.3331.9561.78266.6671.9052.687**0.1390.3601.9390.5560.0720.0100.6060.74658.33356.6670.3250.78865.0000.6702.415*
0.1250.0022.1730.4450.0570.2450.2790.49250.00073.3332.508*3.143**83.3334.305**4.446**0.1330.1941.3460.7670.0990.1590.8404.01563.33360.0000.3411.52461.6670.7661.531
0.3300.3261.9831.2890.1660.0090.5080.80861.66765.0002.227*2.010*66.6672.170*2.451*0.2200.4701.7840.9560.1230.0150.7031.46663.33355.0000.5090.16961.6670.8901.369
0.4110.0453.3660.9450.1220.0340.2970.35050.00055.0001.6830.26556.6671.6940.1840.6260.3683.4381.4110.1820.0150.7560.45953.33353.3331.1480.11855.0001.4330.324
0.4580.4393.2551.0900.1410.4670.4661.57368.33356.6671.8480.10358.3332.058*0.3830.3270.3453.4140.7420.0960.5050.6520.81356.66758.3330.4961.03855.0000.7720.015
0.1050.0263.1450.2600.0340.0490.4900.99050.00051.6671.2170.36848.3331.2451.2070.4540.3633.2561.0800.1390.0040.1960.06156.66758.3330.8211.06755.0001.1270.007
[
Japan
0.2370.1533.0280.6070.0780.0350.5460.99056.66753.3331.4780.12556.6671.4980.7510.2470.2863.0540.6270.0810.0270.5510.51958.33355.0000.4950.49356.6670.8050.677
0.5420.2682.3821.7620.2280.1170.0580.026
0.5380.2342.4291.7170.2220.2320.0150.069
0.0180.4212.5960.0520.0070.0950.7890.336
0.1570.4442.1690.5610.0720.0360.5860.101
UK
USA
Mean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisProb >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon testMean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisProb >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon test
0.0490.2522.0480.1840.0240.0221.2643.18745.00048.3330.7740.22143.3330.4791.2810.2540.1291.7761.1060.1430.0240.6080.87455.00045.0000.3660.44960.0000.3272.208*
0.0320.1452.0250.1240.0160.2111.3303.21656.66760.0000.4852.039*53.3330.3110.3240.3450.5631.9051.4040.1810.2491.2223.01663.33351.6670.1840.75880.0002.300*5.124**
0.2590.0321.8241.0990.1420.0481.1783.11853.33351.6670.2220.41246.6670.1270.9420.2550.1891.5941.2400.1600.0260.3740.44258.33350.0000.3680.34653.3330.3390.589
0.7560.6503.6111.6220.2090.0260.2140.35558.33351.6670.6180.56755.0000.8970.1030.8810.3333.7311.8290.2360.0320.1420.59256.66751.6670.9920.31751.6671.4240.589
0.4590.4473.0991.1470.1480.4920.4560.74658.33353.3330.1620.02953.3330.4230.1550.0550.0663.1570.1360.0180.4590.3150.54650.00048.3330.8370.30950.0000.4900.324
0.2820.6803.4950.6250.0810.0420.5952.03061.66755.0000.1010.83255.0000.1130.5960.4910.2273.3081.1490.1480.0040.3810.68555.00046.6670.2290.99448.3330.7190.935
0.2460.6933.2680.5830.0750.0100.1231.77861.66751.6670.1650.14055.0000.0570.8100.3750.2523.0470.9530.1230.0350.6410.92158.33351.6670.0080.50156.6670.4961.355
0.3500.3073.1850.8500.1100.3101.6483.911
0.2140.1122.6210.6320.0820.1711.6775.170
0.3790.4452.3661.2410.1600.1380.4250.580
0.1510.2832.0550.5710.0740.2341.0021.910
This table shows performance measures and statistics for selected foreign exchange trading strategies. The base currency is denoted on the far left. The MSCI andEqual columns are reproduced from Table 7.1. The ®rst t-stat is used to test the signi®cance of the mean return relative to a null hypothesis of zero. The [InterestDierential] rows give the mean monthly return due to the interest dierential of the non-domestic relative to the domestic currency. The [Prob >] rows give thepercentage of the total months that the given strategy has exceeded zero, the MSCI benchmark, and the Equal benchmark. The paired t-test is used to test thesigni®cance of the excess returns of each of the ranks and the long±short strategies relative to the MSCI benchmark and the Equal benchmark. The Wilcoxon is anonparametric test of the excess returns. The [Proportion >] rows give the percentage of the 93 MA combinations that exceed zero, the MSCI benchmarkaverage return, and the Equal benchmark average return. ** and * indicate signi®cance at the 1 and 5 per cent levels.
Table 7.7 Performance of selected strategies: sub-period analysis: 1995±2000Long±Short WithinLong±Short AcrossCurrency benchmarksÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐ ÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐÐ ÐÐÐÐÐÐÐÐÐ[Momentum] Interest[Momentum] Interest[MA 4 6 MA 4 63-month[rate][MA 4 6 3-month[rate]1 71; 2; 3 7 [MSCI][Equal]
[
Canada
Mean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisProb >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon testMean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisProb >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon test
0.0440.1162.4430.1470.0180.0360.0060.07750.00042.4240.7360.88528.7880.4794.481**0.1060.0241.6310.5260.0650.0080.6312.35246.97057.5760.3131.74148.4850.6750.987
0.2090.0812.2110.7670.0940.2000.2760.56750.00043.9390.2561.49850.0000.0860.0030.2650.3271.7081.2590.1550.1570.5862.84059.09159.0910.6161.33259.0910.8561.204
0.3560.5222.1771.3270.1630.0400.1760.85159.09145.4550.0061.10840.9090.2312.482*0.1810.1331.5060.9750.1200.0270.2600.50450.00050.0000.5260.42548.4850.8241.140
0.5230.0683.3121.2820.1580.0640.0760.36148.48551.5150.3120.04253.0300.4800.2140.1280.2763.6970.2810.0350.0470.0010.49148.48557.5760.2121.85662.1210.4442.635**
0.5930.9524.3951.0960.1350.4831.2483.93468.18259.0910.3331.57556.0610.4580.5530.4290.8744.6010.7580.0930.5101.1963.95866.66763.6360.5872.386*62.1210.7471.734
0.4820.0322.8931.3540.1670.0770.2160.09351.5