Momentum strategies and market state in Moroccan industries

Figures & data

Table 1. Summary statistics

Moroccan Industries	Av. %	S.D. %	Skew.	Kurt.	NOBS
Distributors	1.53	10.79	3.71	34.5	233
Investment Companies & Other Finance	1.31	7.89	2.46	14.19	233
Beverages	1.27	8.03	0.7	1.47	233
Banks	1.05	4.81	1.48	7.14	233
Food Producers & Processors	0.94	5.36	0.35	2.14	233
Mining	0.86	11.83	−2.76	21.02	233
Real Estate	0.83	10.98	−0.57	25.26	233
Utilities	0.36	7.1	0.49	−0.4	104
Electrical & Electronic Equipment	0.12	10.31	0.29	7.94	160
Insurance	0.1	11.59	−3.32	33.07	189
Leisure and Hotels	0.08	9.86	2.73	11.98	94
Oil & Gas	−0.1	10.14	−3.18	50.57	217
Pharmaceutical Industry	−0.35	12.28	−5.45	41.58	110
Chemicals	−1.51	15.69	−1.97	15.98	178
Materials, Software & Computer Services	−1.99	15.73	−2.29	17.25	153
Engineering & Equipment Industrial Goods	−2.65	15.95	−3.92	21.76	72
Construction & Building Materials	−5.76	15.23	−1.5	1.7	233
Average	−0.23	10.94

Table 2. Momentum profits at Morocco industries

		Holding Period Returns (K)
J	Portfolio	1	3	6	9	12
3	SW	1.35	1.39	1.22	1.14	1.05
		−3.41	−3.63	−3.34	−3.23	−3
	SL	−2.73	−2.69	−2.25	−1.89	−1.59
		(−4.79)	(−4.83)	(−4.37)	(−3.85)	(−3.39)
	SW-SL	4.08	4.08	3.47	3.03	2.64
		−6.77	−6.97	−6.66	−6.5	−6.05
6	SW	1.27	1.34	1.26	1.14	1.08
		−3.19	−3.64	−3.58	−3.21	−2.97
	SL	−2.54	−2.37	−1.79	−1.56	−1.37
		(−4.07)	(−4.17)	(−3.39)	(−3.13)	(−2.9)
	SW-SL	3.81	3.71	3.05	2.7	2.44
		−5.75	−6.29	−5.64	−5.45	−5.29
9	SW	1.27	1.31	1.29	1.15	0.96
		−3.16	−3.39	−3.44	−3	−2.61
	SL	−2.34	−1.95	−1.48	−1.31	−1.04
		(−3.93)	(−3.46)	(−2.79)	(−2.63)	(−2.24)
	SW-SL	3.61	3.27	2.77	2.46	2
		−5.84	−5.61	−5.18	−5	−4.78
12	SW	1.28	1.28	1.29	1.02	0.92
		−3.32	−3.42	−3.24	−2.65	−2.37
	SL	−1.63	−1.41	−1.17	−0.97	−0.75
		(−2.74)	(−2.44)	(−2.2)	(−1.99)	(−1.59)
	SW-SL	2.91	2.69	2.46	1.99	1.67
		(4.89)	(4.86)	(4.39)	(4.14)	(3.61)

Figure 1. Cumulative returns of momentum strategy.

Table 3. Quarterly and first year returns at Morocco industries

		Holding Period Returns (Q)					Annual Event-Time Returns (Years)
J	Portfolio	1	2	3	4		1	2	3	4	5
3	SW	4.1	3.16	2.83	1.93		14.14	8.3	4.66	1.29	2.84
		−3.66	−2.82	−2.57	−1.9		−2.81	−1.71	−0.89	−0.3	−0.5
	SL	−6.08	−4.38	−3.7	−3.15		−5.17	−2.9	2.21	3.84	1.38
		(−3.78)	(−2.63)	(−2.38)	(−2.11)		(−0.98)	(−0.54)	−0.45	−0.56	−0.23
	SW-SL	10.18	7.54	6.53	5.07		19.31	11.2	2.45	−2.55	1.46
		−5.48	−3.92	−3.87	−3.18		−3.41	−2.22	−0.53	(−0.61)	−0.44
6	SW	4.09	3.46	2.24	3.13		14.85	8.64	5.03	2.24	5.1
		−3.68	−3.25	−2.08	−2.9		−2.9	−1.64	−1	−0.47	−0.85
	SL	−5.31	−2.83	−3.64	−3.43		−4.71	−1.1	3.57	5.65	2.59
		(−3.05)	(−1.64)	(−2.33)	(−2.2)		(−0.87)	(−0.19)	−0.61	−0.8	−0.39
	SW-SL	9.41	6.28	5.88	6.56		19.57	9.74	1.46	−3.4	2.51
		−4.8	−3.39	−3.65	−3.62		−3.59	−1.81	−0.29	(−0.73)	−0.51
9	SW	3.98	3.44	2.94	2.03		15.61	7.66	5.5	2.61	6.06
		−3.43	−3.29	−2.62	−2.05		−2.93	−1.27	−1.12	−0.49	−0.93
	SL	−4.28	−2.41	−3.28	−2.82		−3.67	−0.35	2.81	4.32	3.15
		(−2.48)	(−1.43)	(−2.19)	(−1.86)		(−0.68)	(−0.06)	−0.39	−0.63	−0.43
	SW-SL	8.26	5.85	6.22	4.85		19.28	8	2.69	−1.7	2.91
		−4.39	−3.27	−3.74	−3.17		−4	−1.51	−0.46	(−0.36)	−0.51
12	SW	3.81	3.73	2.17	1.56		14.74	7.39	5.18	2.89	6.26
		−3.61	−3.27	−2.02	−1.32		−2.83	−1.21	−1.13	−0.51	−1.09
	SL	−2.93	−2.48	−3.16	−1.79		−2.78	−0.32	3.05	2.14	4.83
		(−1.65)	(−1.5)	(−2.2)	(−1.21)		(−0.52)	(−0.06)	−0.41	−0.33	−0.61
	SW-SL	6.74	6.21	5.33	3.35		17.52	7.71	2.12	0.75	1.43
		−3.68	−3.18	−3.62	−2.16		−3.56	−1.52	−0.36	−0.15	−0.25

Table 4. Momentum profits in first and second in sub-period

		Holding Period Returns (K)
J	Portfolio	1	3	6	9	12
Panel A: 1subperiod 1/1998–8/2008 (128 Observations)
6	SW	0.9	1.21	1.31	1.26	1.21
		−1.36	−2.11	−2.48	−2.39	−2.21
	SL	−5.35	−5.03	−4.17	−3.62	−3.19
		(−5.39)	(−5.78)	(−5.15)	(−4.71)	(−4.36)
	SW-SL	6.25	6.24	5.48	4.88	4.4
		−5.41	−6.39	−6.09	−5.85	−5.48
Panel B: 2subperiod 9/2008–4/2019 (136 Observations)
6	SW	1.62	1.5	1.15	0.88	0.44
		−3.39	−3.02	−2.24	−1.67	−1.02
	SL	0.14	0.19	0.43	0	−0.35
		−0.19	−0.27	−0.64	0	(−0.6)
	SW-SL	1.48	1.31	0.71	0.88	0.8
		−2.28	−2	−1.18	−1.57	−1.65

Table 5. Momentum returns and market states

Panel A: Momentum Returns Based on 12 Months of UP and DOWN Markets
	Percent of Sample		Holding Period Returns (K)
2-state		Portfolio	1	3	6	9	12
UP	25%	SW	−0.3	−0.23	0.52	0.81	3.22
			(−0.48)	(−0.31)	−0.54	−0.65	−1.55
		SL	−2.87	−2.85	−2.16	−1.64	2.3
			(−3.21)	(−3.17)	(−1.94)	(−1.13)	−1.81
		SW-SL	2.58	2.62	2.68	2.45	0.92
			−2.94	−2.76	−2.6	−2.18	−0.56
DOWN	75%	SW	1.81	2.19	2	1.64	1.74
			−3.58	−4.77	−4.09	−3.17	−3.06
		SL	−1.48	−1.47	−1.17	−1.09	−1.08
			(−2.01)	(−2.09)	(−1.75)	(−1.64)	(−1.63)
		SW-SL	3.29	3.66	3.16	2.73	2.81
			−4.11	−4.98	−4.52	−4.26	−4.44
Panel B: Momentum Returns Based on 24 Months of UP and DOWN Markets
UP	31%	SW	−0.77	−0.03	0.51	0.66	0.8
			(−0.91)	(−0.04)	−0.87	−1.15	−1.32
		SL	−1.55	−1.46	−1.25	−0.61	0
			(−1.82)	(−1.71)	(−1.47)	(−0.69)	0
		SW-SL	0.78	1.43	1.76	1.27	0.8
			−0.79	−1.64	−2.4	−1.82	−1.2
DOWN	69%	SW	2.03	1.63	1.35	1.17	1.23
			−4.29	−3.43	−2.83	−2.38	−2.29
		SL	−0.9	−0.72	−0.44	−0.59	−0.55
			(−1.36)	(−1.2)	(−0.77)	(−1.01)	(−0.93)
		SW-SL	2.93	2.35	1.79	1.76	1.79
			−4.38	−4.02	−3.19	−3.33	−3.37
Panel C: Momentum Returns Based on 36 Months of UP and DOWN Markets
UP	34%	SW	0.47	1	1.19	1.38	1.7
			−0.88	−1.59	−2.03	−2.49	−3.07
		SL	−1.24	−0.93	−0.41	−0.14	0.8
			(−1.5)	(−1.13)	(−0.48)	(−0.16)	−0.99
		SW-SL	1.71	1.93	1.6	1.52	0.9
			−2.28	−2.41	−2.09	−2.25	−1.46
DOWN	66%	SW	1.61	1.42	1.07	0.72	0.99
			−2.65	−2.64	−1.97	−1.28	−1.62
		SL	−0.45	−0.47	0.03	0.02	0.18
			(−0.69)	(−0.73)	−0.05	−0.03	−0.28
		SW-SL	2.06	1.88	1.03	0.7	0.81
			−2.76	−2.83	−1.71	−1.28	−1.46

Table 6. Risk-adjusted momentum profits

	Three-factor model
Portfolio	$\mathit{\alpha }$	${\mathit{b}}_{\mathit{R}\mathit{m}\mathbf{-}\mathit{R}\mathit{f}}$	${\mathit{b}}_{\mathit{s}\mathit{m}\mathit{b}}$	${\mathit{b}}_{\mathit{h}\mathit{m}\mathit{l}}$	Adj ${\mathit{R}}^{\mathbf{2}}$
SW	0.019	0.0002	−0.071	−0.139	1.68
	−7.17	−0.3	(−0.85)	(−1.26)
SL	0.005	−2E-04	0.0533	0.0118	−1.28
	−2.25	(−0.30)	−0.4	−0.12
SW-SL	0.0147	0.0004	−0.124	−0.151	2.15
	−3.32	−0.56	(−1.18)	(−1.45)