Plot of Momentum Strategies for different time periods.

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Performance table of each strategy.

                  1-week   2-week   3-Week   6-Week   9-Week  12-week
Observations    246.0000 246.0000 246.0000 246.0000 246.0000 246.0000
NAs              15.0000  15.0000  15.0000  15.0000  15.0000  15.0000
Minimum          -0.0680  -0.0862  -0.0726  -0.0869  -0.0725  -0.0760
Quartile 1       -0.0070  -0.0081  -0.0080  -0.0074  -0.0059  -0.0079
Median            0.0033   0.0038   0.0037   0.0038   0.0039   0.0036
Arithmetic Mean   0.0028   0.0031   0.0030   0.0030   0.0034   0.0030
Geometric Mean    0.0026   0.0029   0.0028   0.0028   0.0033   0.0028
Quartile 3        0.0134   0.0144   0.0154   0.0150   0.0147   0.0148
Maximum           0.0736   0.0737   0.0622   0.0558   0.0781   0.0673
SE Mean           0.0013   0.0013   0.0013   0.0013   0.0013   0.0012
LCL Mean (0.95)   0.0003   0.0005   0.0004   0.0005   0.0010   0.0006
UCL Mean (0.95)   0.0053   0.0057   0.0055   0.0056   0.0059   0.0055
Variance          0.0004   0.0004   0.0004   0.0004   0.0004   0.0004
Stdev             0.0199   0.0208   0.0203   0.0205   0.0198   0.0195
Skewness         -0.1676  -0.3605  -0.4193  -0.6047  -0.3688  -0.3849
Kurtosis          1.4312   2.1723   1.3516   2.0283   1.8128   1.5264

Annual growth rate for each strategy.

 1-week  2-week  3-Week  6-Week  9-Week 12-week 
  6.888   7.763   7.464   7.617   8.806   7.589