Quintiles | Trading# | MA’s Average HP (days) | MA’s Min HP (days) | MA’s Max HP (days) | BHR (%) | MA20 (%) | MAP (%) | MAP’s Sharpe Ratio |
Low | 268 | 12.7 | 1 | 113 | 2.83 | 17.25 | 14.42 | 1.01 |
|
|
|
| (0.77) | (7.63)*** | (4.95)*** |
| |
Q2 | 273 | 12.9 | 1 | 82 | 8.40 | 18.62 | 10.22 | 0.62 |
|
|
|
| (1.92)* | (6.75)*** | (3.03)*** |
| |
Q3 | 278 | 12.7 | 1 | 82 | 8.10 | 18.76 | 10.66 | 0.62 |
|
|
|
| (1.79)* | (6.56)*** | (3.05)*** |
| |
Q4 | 293 | 11.8 | 1 | 92 | 9.29 | 16.52 | 7.24 | 0.43 |
|
|
|
| (2.09)** | (5.89)*** | (2.10)** |
| |
High | 309 | 10.7 | 1 | 67 | 8.81 | 13.61 | 4.80 | 0.58 |
|
|
|
| (1.82)* | (4.45)*** | (1.28) |
| |
Low-High | −41 | 2 | 0 | 46 | −5.98 | 3.64 | 9.62 | 0.43 |
(−1.80)* | (1.90)* | (3.47)*** |