0970.350
0.0430.1100.0070.157*0.0280.0300.0630.0650.0560.01712.580(0.752)54.47255.6910.2561.94348.7800.8351.851n.a.n.a.n.a.
0.0480.0570.0150.0150.0100.0140.0290.0130.1000.0554.980(0.108)61.38254.8780.4821.82855.2850.9571.631n.a.n.a.n.a.
0.149*0.1130.0210.187**0.0520.0580.0690.0400.0540.05021.364*(0.981)59.75654.8780.7121.40852.4391.2090.264100.00095.699100.000
0.0190.0580.0580.0950.0500.0170.1010.0930.0260.0049.380(0.504)54.87853.6590.3611.29055.6910.7312.051*n.a.n.a.n.a.
0.0280.1090.0420.0480.0090.0620.0720.1240.0560.00710.861(0.632)63.41558.1300.8332.447*59.3501.1522.761**n.a.n.a.n.a.
0.0870.0080.0090.1100.0910.0130.0120.0700.0910.01810.166(0.574)60.97655.6911.4560.93959.7561.7602.771**100.000100.000100.000
0.0580.0310.0510.0660.1150.0010.0190.0480.0190.0357.009(0.275)61.38258.9431.6122.563*61.3821.9333.344**100.000100.000100.000
0.0560.0250.0060.0230.0160.0810.0290.0440.0630.0184.446(0.075)
0.0020.0600.0220.0210.0220.0620.0240.0410.0190.0513.410(0.030)
(continued )
Table 7.3 (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 (%)SkewnessKurtosisAutocorrelations12345678910LBP (10)(p-value)Prob >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon testProportion >0 (%)Proportion >MSCI (%)Proportion >Equal (%)
[
France
0.1460.1381.6031.4260.0910.0310.1170.608
0.1720.2461.4371.8800.1200.2620.7863.337
0.264**0.2511.5462.6720.1700.0230.1110.968
0.4670.6823.9201.8700.1190.0220.1101.508
0.639*0.9894.3032.3300.1490.6690.9462.402
0.631**0.6793.6032.7450.1750.0890.0312.467
0.608**0.7503.1363.0420.1940.0890.1593.107
0.346*0.2562.4112.2500.1440.1890.4070.914
0.2240.0951.8821.8700.1190.1430.4040.562
0.0610.0690.0180.157*0.0530.0020.0650.0440.0310.08212.225(0.730)54.47243.9021.1771.63444.7150.5381.844n.a.n.a.n.a.
0.0070.0260.0270.0250.0330.0990.0280.0660.0440.0064.893(0.102)63.00852.8460.8601.62653.2520.3091.024n.a.n.a.n.a.
0.0450.0540.0200.150*0.0890.0390.0450.0100.0060.04910.159(0.573)60.16348.7800.4700.18549.1870.2620.838100.0000.00084.946
0.0410.0630.0460.0900.0690.0340.0580.0780.0210.0638.669(0.436)56.09851.2200.4450.27955.6910.9172.062*n.a.n.a.n.a.
0.0340.0960.0180.0300.0160.0630.0390.1210.0810.0079.426(0.508)63.82156.9110.9861.24260.1631.4912.491*n.a.n.an.a.
0.1240.0000.0190.143*0.0840.0010.0220.0720.0860.01713.726(0.814)60.97655.2851.0701.59456.0981.6131.365100.000100.000100.000
0.1100.0080.0050.1010.0960.0040.0190.0270.0370.0589.102(0.478)60.97652.4391.0950.14958.5371.7032.575**100.000100.000100.000
0.0260.1250.0910.0590.0890.0550.1080.0090.0480.07214.131(0.833)
0.0350.1020.0920.0610.0710.0580.1120.0260.0550.11615.115(0.872)
Germany
Mean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest DierentialSkewnessKurtosisAutocorrelations12345678910LBP (10)(p-value)Prob >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon testProportion >0 (%)Proportion >MSCI (%)Proportion >Equal (%)
0.1930.1941.7051.7750.1130.0050.0291.469
0.228*0.3061.6352.1840.1390.2510.1320.785
0.322**0.3301.6193.1170.1990.0310.1571.548
0.512*0.6913.8182.1040.1340.0020.0431.498
0.610*0.9474.2822.2340.1420.6961.0182.800
0.601**0.6233.5932.6250.1670.0960.0272.533
0.601**0.6533.0763.0640.1950.1010.0862.779
0.1960.1432.5001.2310.0780.0710.2150.689
0.0560.0971.9790.4450.0280.1450.1610.183
0.0890.0900.0190.166**0.0460.0030.0480.0030.0120.00111.669(0.692)54.47249.5930.0170.03858.9430.8633.401**n.a.n.a.n.a.
0.0080.0700.0350.0140.0130.0460.0660.0020.0310.0103.429(0.031)60.97656.5040.2202.652**66.2601.4995.595**n.a.n.a.n.a.
0.0730.0310.0490.145*0.0780.0360.0080.0250.0210.05810.079(0.566)60.97652.4390.7170.56559.3501.7692.511*100.000100.000100.000
0.0330.0250.0070.0600.0240.0070.0120.0970.0310.0114.051(0.055)57.31752.0331.1590.01755.6911.7111.238n.a.n.a.n.a.
0.0250.1180.0300.0190.0210.0800.0800.1090.0760.00611.353(0.669)64.63460.1631.3912.827**63.0082.019*3.629**n.a.n.a.n.a.
0.1200.0100.0020.157*0.0980.0010.0240.0700.0810.01314.794(0.860)60.56954.8781.4860.93257.7242.114*1.626100.000100.000100.000
0.1010.0080.0160.0900.1130.0010.0190.0320.0300.0368.512(0.421)62.19553.6591.6590.06860.9762.377*2.884**100.000100.000100.000
0.0110.0870.0500.0140.0800.0320.1030.0010.0200.0527.685(0.340)
0.0190.0750.0430.0060.0510.0220.0970.0120.0010.0856.787(0.255)
(continued )
Table 7.3 (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 (%)SkewnessKurtosisAutocorrelations12345678910LBP (10)(p-value)Prob >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon testProportion >0 (%)Proportion >MSCI (%)Proportion >Equal (%)
[
Japan
0.2720.1872.3331.8300.1170.0090.0811.291
0.1100.3152.6300.6540.0420.3430.8023.058
0.296*0.4272.1212.1850.1390.0410.0592.018
0.4220.5023.6211.8260.1160.0050.0951.739
0.513*0.5913.8952.0660.1320.6410.7111.736
0.505*0.5813.5342.2420.1430.0850.1092.619
0.602**0.6403.0963.0470.1940.0580.2111.927
0.2860.1013.1551.4220.0910.2980.7471.715
0.382*0.0192.8862.0770.1320.3250.7691.822
0.0510.0100.0120.0690.0180.0050.0960.0040.1040.0607.713(0.343)54.87854.0652.243*0.45463.4152.701**4.581**n.a.n.a.n.a.
0.0320.128*0.0350.0900.0300.1030.0190.1220.0820.04215.100(0.872)57.31760.5694.887**1.05688.2119.361**10.420**n.a.n.a.n.a.
0.0750.0070.0070.0090.0560.0920.0550.0020.140*0.09011.794(0.701)60.16354.0652.543*0.30765.4473.100**4.978**100.000100.000100.000
0.0320.0120.0460.1110.1070.0730.0040.136*0.0000.06113.333(0.794)56.09856.5042.348*1.25454.8782.697**0.084n.a.n.a.n.a.
0.0240.0430.0320.0550.0530.0970.0430.0390.0670.0466.959(0.271)63.82155.2852.905**0.14757.3173.234**0.823n.an.an.a.
0.0440.0060.0120.171**0.0600.0070.0770.1190.0490.01714.112(0.832)58.94354.0652.684**0.07556.0983.066**0.624100.000100.000100.000
0.0220.0030.0090.142*0.0470.0060.0470.0980.0380.0479.400(0.505)63.41554.8783.178**0.00459.3503.599**1.887100.000100.000100.000
0.0350.0540.0020.0590.0350.1110.0270.0980.0740.0109.094(0.477)
0.0120.0920.0300.1100.0250.1010.0100.0830.0860.00711.395(0.672)
Switzerland Mean Ret (%)Median Ret (%)Std Dev (%)t-statInformation RatioInterest Dierential (%)SkewnessKurtosisAutocorrelations12345678910LBP (10)(p-value)Prob >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon testProportion >0 (%)Proportion >MSCI (%)Proportion >Equal (%)
0.313*0.3511.9222.5510.1630.0260.0971.006
0.358**0.3651.9662.8520.1820.3170.3910.927
0.408**0.4701.7833.5910.2290.0640.0981.338
0.2650.3393.6851.1280.0720.0180.0511.205
0.3290.5874.2341.2190.0780.6590.7782.160
0.527*0.3883.5542.3240.1480.0810.0162.047
0.516**0.5473.0542.6500.1690.0860.1352.092
0.1380.1472.6660.8110.0520.1830.1110.444
0.0070.0772.2750.0500.0030.2720.2280.243
0.0510.0340.0040.128*0.0310.0050.0320.0420.0110.0546.544(0.232)59.35050.0000.8560.57562.1951.6874.030**n.a.n.a.n.a.
0.0530.1090.0010.0010.0280.0850.0500.0520.0480.0117.335(0.307)63.82160.1631.7262.474*77.6423.578**8.062**n.a.n.a.n.a.
0.0780.0230.0370.1150.0690.0400.0460.0120.0270.11810.846(0.630)65.44752.0331.3960.21765.4472.353*4.603**100.000100.000100.000
0.0580.0670.0350.1000.0590.0510.1100.1210.0500.01013.279(0.791)54.06551.2200.4560.29754.4720.9881.390n.a.n.a.n.a.
0.0200.1190.0710.0400.0180.0720.0620.137*0.1080.00214.957(0.866)61.38255.6910.6251.46956.9111.2111.577n.an.a.n.a.
0.1120.0350.0040.139*0.0680.0370.0230.0740.0920.02013.067(0.780)59.35056.5041.3952.003*58.1302.002*2.133*100.000100.000100.000
0.0810.0260.0020.0870.0920.0380.0070.0290.0430.0346.922(0.267)60.56951.6261.4890.65054.8782.160*0.179100.000100.000100.000
0.0790.0610.0340.0160.0320.0980.0530.0410.0400.0076.813(0.257)
0.0890.0300.0330.0100.0030.0960.0390.0210.0490.0015.706(0.161)
(continued )
Table 7.3 (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 (%)SkewnessKurtosisAutocorrelations12345678910LBP (10)(p-value)Prob >0 (%)Prob >MSCI (%)paired t-testWilcoxon testProb >Equal (%)paired t-testWilcoxon testProportion >0 (%)Proportion >MSCI (%)Proportion >Equal (%)
[
UK
0.1420.1551.8391.2090.0770.0190.2701.430
0.270*0.2781.7982.3570.1500.2800.6822.331
0.293**0.2821.6912.7160.1730.0530.0891.696
0.3530.4073.9531.4000.0890.0240.1361.837
0.628*0.9754.2682.3060.1470.6690.9932.798
0.536*0.6453.7742.2270.1420.0860.1262.720
0.536*0.7003.3262.5290.1610.0790.1443.076
0.3040.1802.6431.8050.1150.2700.4323.426
0.1630.1002.3541.0830.0690.2090.6072.789
0.0420.0170.0430.0060.0040.0450.0020.168**0.0660.09211.595(0.687)54.06548.3740.8590.00745.1220.1152.440*n.a.n.a.n.a.
0.0730.0250.0400.0310.0160.0000.0060.0760.0540.0284.462(0.076)58.53750.8130.1280.07755.6910.4292.121*n.a.n.a.n.a.
0.0