Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets

Figures & data

Table 1. Data statistics of the winner and loser portfolios within the cross-sectional analysis

	6 months FP			12 months FP			24 months FP			Average
	6 months HP	12 months HP	24 months HP	6 months HP	12 months HP	24 months HP	6 months HP	12 months HP	24 months HP
Winner
Annualized arithmetic mean (%)	2.6511	−2.2738	−1.7843	−4.3581	−3.8999	−2.3403	−6.2665	−5.4939	−2.6315	−2.9330
Annualized volatility (%)	3.4550	1.9613	1.2711	3.2143	1.9520	1.2393	2.6113	1.8939	1.3148	2.1014
t-statistics	0.9779	0.5481	0.5648	0.4534	0.4310	0.5200	0.3178	0.3322	0.5038	0.5166
Reward/risk ratio	0.7673	−1.1593	−1.4037	−1.3558	−1.9979	−1.8885	−2.3998	−2.9009	−2.0015	−1.5933
Skewness	−0.9860	−0.7069	0.2037	−1.6590	−0.7701	0.1758	−0.5549	−0.5222	0.0521	−0.5297
Kurtosis	2.3639	0.4755	−0.4666	6.4404	0.5214	−0.6309	1.3748	0.5606	−0.6406	1.1109
% of positive months	57.2917	50.0000	40.1042	47.3958	46.3542	43.7500	42.1875	40.6250	42.7083	45.6019
Min return with 95% prob	−3.0318	−5.4998	−3.8751	−9.6452	−7.1108	−4.3787	−10.5616	−8.6090	−4.7942	−6.3896
Value of portfolio (%)	96.9682	94.5002	96.1249	90.3548	92.8892	95.6213	89.4384	91.3910	95.2058	93.6104
95% VaR	3.0318	5.4998	3.8751	9.6452	7.1108	4.3787	10.5616	8.6090	4.7942	6.3896
99% VaR	5.3864	6.8364	4.7413	11.8358	8.4411	5.2232	12.3412	9.8997	5.6902	7.8217
Loser
Annualized arithmetic mean (%)	7.5783	5.4654	5.3234	7.3589	6.2524	6.1917	8.4210	7.5108	7.2850	6.8208
Annualized volatility (%)	2.9023	1.9824	1.2820	2.9757	2.0540	1.2046	2.6335	1.6174	1.1303	1.9758
t-statistics	0.6377	0.7743	0.7733	0.6617	0.7094	0.6931	0.5644	0.5948	0.5944	0.6670
Reward/risk ratio	2.6112	2.7570	4.1523	2.4730	3.0440	5.1401	3.1977	4.6436	6.4449	3.8293
Skewness	−0.4009	−0.2976	0.1332	0.1401	0.1370	0.1920	−0.1858	0.1388	0.3050	0.0180
Kurtosis	1.1040	0.3308	−0.2894	0.9650	0.1769	−0.3597	0.7887	0.7766	−0.2767	0.3573
% of positive months	61.9792	60.9375	59.3750	61.9792	60.4167	65.1042	61.4583	68.7500	67.1875	63.0208
Min return with 95% prob	2.8045	2.2046	3.2146	2.4643	2.8738	4.2104	4.0893	4.8503	5.4257	3.5709
Value of portfolio (%)	102.8045	102.2046	103.2146	102.4643	102.8738	104.2104	104.0893	104.8503	105.4257	103.5709
95% VaR	−2.8045	−2.2046	−3.2146	−2.4643	−2.8738	−4.2104	−4.0893	−4.8503	−5.4257	−3.5709
99% VaR	−0.8267	−0.8536	−2.3409	−0.4364	−1.4740	−3.3894	−2.2946	−3.7481	−4.6554	−2.2244

Table 2. Data statistics of the momentum and contrarian portfolios within the cross-sectional analysis

	6 months FP			12 months FP			24 months FP			Average
	6 months HP	12 months HP	24 months HP	6 months HP	12 months HP	24 months HP	6 months HP	12 months HP	24 months HP
Momentum
Annualized arithmetic mean (%)	−4.9272	−7.7391	−7.1077	−11.7170	−10.1523	−8.5320	−14.6875	−13.0047	−9.9165	−9.7538
Annualized volatility (%)	1.9329	1.5086	0.9696	2.5210	1.5842	0.9662	2.3393	1.7065	1.0921	1.6245
t-statistics	0.3311	0.1856	0.2046	0.0894	0.1153	0.1543	0.0473	0.0652	0.1196	0.1458
Reward/risk ratio	−2.5492	−5.1300	−7.3304	−4.6478	−6.4083	−8.8304	−6.2785	−7.6206	−9.0806	−6.4306
Skewness	0.0661	−0.0044	0.0598	−0.5951	−0.2419	0.4718	−0.2107	−0.3248	0.1749	−0.0671
Kurtosis	0.0091	0.3690	−0.0956	0.7155	−0.2655	0.4562	−0.0724	0.1097	−0.4283	0.0886
% of positive months	42.7083	32.8125	27.0833	32.8125	31.2500	20.3125	29.6875	25.0000	23.4375	29.4560
Min return with 95% prob	−8.1065	−10.2206	−8.7026	−15.8636	−12.7582	−10.1213	−18.5354	−15.8117	−11.7128	−12.4258
Value of portfolio (%)	91.8935	89.7794	91.2974	84.1364	87.2418	89.8787	81.4646	84.1883	88.2872	87.5742
95% VaR	8.1065	10.2206	8.7026	15.8636	12.7582	10.1213	18.5354	15.8117	11.7128	12.4258
99% VaR	9.4237	11.2487	9.3634	17.5817	13.8378	10.7797	20.1296	16.9746	12.4570	13.5329
Reversal
Annualized arithmetic mean (%)	4.9272	7.7391	7.1077	11.7170	10.1523	8.5320	14.6875	13.0047	9.9165	9.7538
Annualized volatility (%)	1.9329	1.5086	0.9696	2.5210	1.5842	0.9662	2.3393	1.7065	1.0921	1.6245
t-statistics	0.8044	0.5444	0.5917	0.2990	0.3751	0.4778	0.1760	0.2333	0.3878	0.4322
Reward/risk ratio	2.5492	5.1300	7.3304	4.6478	6.4083	8.8304	6.2785	7.6206	9.0806	6.4306
Skewness	−0.0661	0.0044	−0.0598	0.5951	0.2419	−0.4718	0.2107	0.3248	−0.1749	0.0671
Kurtosis	0.0091	0.3690	−0.0956	0.7155	−0.2655	0.4562	−0.0724	0.1097	−0.4283	0.0886
% of positive months	57.2917	67.1875	72.9167	67.1875	68.7500	79.6875	70.3125	75.0000	76.5625	70.5440
Min return with 95% prob	1.7479	5.2577	5.5128	7.5703	7.5465	6.9427	10.8396	10.1977	8.1203	7.0817
Value of portfolio (%)	101.7479	105.2577	105.5128	107.5703	107.5465	106.9427	110.8396	110.1977	108.1203	107.0817
95% VaR	−1.7479	−5.2577	−5.5128	−7.5703	−7.5465	−6.9427	−10.8396	−10.1977	−8.1203	−7.0817
99% VaR	−0.4307	−4.2296	−4.8520	−5.8523	−6.4668	−6.2843	−9.2454	−9.0347	−7.3760	−5.9746

Table 3. Data statistics of the winner and loser portfolios within the time-series analysis

	6 months FP			12 months FP			24 months FP			Average
	6 months HP	12 months HP	24 months HP	6 months HP	12 months HP	24 months HP	6 months HP	12 months HP	24 months HP
Winner
Annualized arithmetic mean (%)	1.0048	1.9375	1.6388	3.1524	1.4182	0.5011	0.0180	−1.7543	−0.2339	0.8536
Annualized volatility (%)	2.5672	1.8104	1.2047	2.9950	2.0470	1.2123	2.9411	1.8555	1.0905	1.9693
t-statistics	0.8286	0.9065	0.8730	0.9822	0.8590	0.7644	0.7581	0.5887	0.6938	0.8060
Reward/risk ratio	0.3914	1.0702	1.3603	1.0526	0.6928	0.4133	0.0061	−0.9455	−0.2145	0.4252
Skewness	−1.4871	−0.2328	0.1362	−0.4733	0.0497	0.2634	−0.7097	−0.3488	0.0162	−0.3096
Kurtosis	5.0784	0.7484	−0.1201	1.2245	0.2822	−0.2890	1.8308	0.0885	−0.5114	0.9258
% of positive months	55.7292	56.2500	49.4792	53.6458	54.6875	50.0000	50.0000	44.2708	40.6250	50.5208
Min return with 95% prob	−3.2179	−1.0404	−0.3428	−1.7739	−1.9488	−1.4929	−4.8197	−4.8063	−2.0276	−2.3856
Value of portfolio (%)	96.7821	98.9596	99.6572	98.2261	98.0512	98.5071	95.1803	95.1937	97.9724	97.6144
95% VaR	3.2179	1.0404	0.3428	1.7739	1.9488	1.4929	4.8197	4.8063	2.0276	2.3856
99% VaR	4.9674	2.2742	1.1638	3.8150	3.3438	2.3191	6.8240	6.0708	2.7708	3.7277
Loser
Annualized arithmetic mean (%)	7.4418	5.1252	4.4669	6.3216	4.6142	6.8155	6.3936	6.1567	6.4592	5.9772
Annualized volatility (%)	2.7902	1.8426	1.2304	3.1236	2.1042	1.2775	2.8669	1.5918	1.2630	2.0100
t-statistics	0.6454	0.7999	0.8523	0.7391	0.8457	0.6331	0.7078	0.6968	0.6639	0.7316
Reward/risk ratio	2.6671	2.7816	3.6304	2.0238	2.1928	5.3350	2.2301	3.8678	5.1141	3.3159
Skewness	−0.7352	−0.4889	0.2638	−0.7488	−0.5991	0.4431	0.0515	0.6843	0.7015	−0.0475
Kurtosis	2.1318	0.6584	−0.7769	2.7217	3.6840	−0.2913	2.0959	0.6478	0.6846	1.2840
% of positive months	59.3750	57.8125	54.1667	54.1667	53.6458	56.2500	46.3542	46.8750	47.3958	52.8935
Min return with 95% prob	2.8523	2.0945	2.4430	1.1838	1.1530	4.7142	1.6780	3.5385	4.3817	2.6710
Value of portfolio (%)	102.8523	102.0945	102.4430	101.1838	101.1530	104.7142	101.6780	103.5385	104.3817	102.6710
95% VaR	−2.8523	−2.0945	−2.4430	−1.1838	−1.1530	−4.7142	−1.6780	−3.5385	−4.3817	−2.6710
99% VaR	−0.9508	−0.8388	−1.6045	0.9449	0.2810	−3.8436	0.2758	−2.4537	−3.5209	−1.3012

Table 4. Data statistics of the momentum and contrarian portfolios within the time-series analysis

	6 months FP			12 months FP			24 months FP			Average
	6 months HP	12 months HP	24 months HP	6 months HP	12 months HP	24 months HP	6 months HP	12 months HP	24 months HP
Momentum
Annualized arithmetic mean (%)	−6.4369	−3.1877	−2.8280	−3.1692	−3.1960	−6.3144	−6.3756	−7.9110	−6.6931	−5.1236
Annualized volatility (%)	2.0942	1.3499	0.9312	2.7150	1.9378	1.2438	2.7014	1.8208	1.2872	1.7868
t-statistics	0.2418	0.4348	0.4537	0.4565	0.4440	0.2520	0.2862	0.2092	0.2422	0.3356
Reward/risk ratio	−3.0738	−2.3613	−3.0370	−1.1673	−1.6493	−5.0768	−2.3601	−4.3448	−5.1999	−3.1412
Skewness	−0.0764	0.0420	−0.2056	0.0452	−0.1192	−0.3207	−0.4462	−0.2838	0.0662	−0.1443
Kurtosis	−0.1368	0.1368	0.6920	0.0498	0.9296	1.2246	0.6397	−0.0196	−0.8698	0.2940
% of positive months	39.5833	44.7917	40.6250	47.3958	43.7500	31.7708	46.3542	37.5000	36.9792	40.9722
Min return with 95% prob	−9.8815	−5.4082	−4.3597	−7.6350	−6.3834	−8.3603	−10.8190	−10.9059	−8.8103	−8.0626
Value of portfolio (%)	90.1185	94.5918	95.6403	92.3650	93.6166	91.6397	89.1810	89.0941	91.1897	91.9374
95% VaR	9.8815	5.4082	4.3597	7.6350	6.3834	8.3603	10.8190	10.9059	8.8103	8.0626
99% VaR	11.3086	6.3281	4.9943	9.4853	7.7041	9.2079	12.6600	12.1468	9.6875	9.2803
Reversal
Annualized arithmetic mean (%)	6.4369	3.1877	2.8280	3.1692	3.1960	6.3144	6.3756	7.9110	6.6931	5.1236
Annualized volatility (%)	2.0942	1.3499	0.9312	2.7150	1.9378	1.2438	2.7014	1.8208	1.2872	1.7868
t-statistics	0.6576	0.9752	0.9877	0.9781	0.9749	0.6719	0.6916	0.5602	0.6443	0.7935
Reward/risk ratio	3.0738	2.3613	3.0370	1.1673	1.6493	5.0768	2.3601	4.3448	5.1999	3.1412
Skewness	0.0764	−0.0420	0.2056	−0.0452	0.1192	0.3207	0.4462	0.2838	−0.0662	0.1443
Kurtosis	−0.1368	0.1368	0.6920	0.0498	0.9296	1.2246	0.6397	−0.0196	−0.8698	0.2940
% of positive months	60.4167	55.2083	59.3750	52.6042	56.2500	68.2292	53.6458	62.5000	63.0208	59.0278
Min return with 95% prob	2.9924	0.9672	1.2964	−1.2966	0.0086	4.2686	1.9323	4.9161	4.5759	2.1845
Value of portfolio (%)	102.9924	100.9672	101.2964	98.7034	100.0086	104.2686	101.9323	104.9161	104.5759	102.1845
95% VaR	−2.9924	−0.9672	−1.2964	1.2966	−0.0086	−4.2686	−1.9323	−4.9161	−4.5759	−2.1845
99% VaR	−1.5652	−0.0472	−0.6618	3.1468	1.3120	−3.4209	−0.0913	−3.6752	−3.6987	−0.9668

Table 5. Returns per annum and per (J × K) strategy within the cross-sectional portfolios

	6 months HP				12 months HP				24 months HP
	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)
6 months FP
2000	3.2305	0.5776	2.6529	−2.6529	−21.1087	−4.0656	−17.0431	17.0431	−11.7046	1.1377	−12.8423	12.8423
2001	−19.7200	−14.8542	−4.8658	4.8658	−4.0362	−0.5492	−3.4870	3.4870	5.8147	10.3337	−4.5190	4.5190
2002	25.4044	35.0178	−9.6134	9.6134	10.8599	26.2124	−15.3525	15.3525	12.9401	21.7214	−8.7813	8.7813
2003	15.3664	19.8320	−4.4656	4.4656	7.1331	23.2533	−16.1203	16.1203	9.1738	16.5771	−7.4032	7.4032
2004	34.6151	15.6138	19.0013	−19.0013	11.4529	9.4865	1.9664	−1.9664	13.0681	14.7491	−1.6809	1.6809
2005	30.5546	23.2389	7.3157	−7.3157	12.8370	15.4124	−2.5754	2.5754	12.2278	18.0001	−5.7723	5.7723
2006	6.9950	14.3721	−7.3771	7.3771	7.0414	21.2077	−14.1663	14.1663	−3.6712	16.7104	−20.3816	20.3816
2007	23.4849	29.0476	−5.5627	5.5627	2.2103	8.4302	−6.2199	6.2199	−17.7573	−7.8518	−9.9054	9.9054
2008	−59.1068	−41.4445	−17.6623	17.6623	−39.4030	−19.4845	−19.9184	19.9184	−13.4498	3.4079	−16.8577	16.8577
2009	45.7245	44.6906	1.0340	−1.0340	18.0590	34.7658	−16.7068	16.7068	19.6052	26.7442	−7.1390	7.1390
2010	30.7543	44.9192	−14.1649	14.1649	17.7761	25.5209	−7.7448	7.7448	1.1943	6.6800	−5.4856	5.4856
2011	−9.1195	−13.9751	4.8556	−4.8556	−15.5530	−11.9765	−3.5765	3.5765	−12.0895	−8.2245	−3.8650	3.8650
2012	−9.6714	2.8155	−12.4868	12.4868	−9.7888	−1.9634	−7.8253	7.8253	−6.6738	2.2396	−8.9134	8.9134
2013	−1.5873	−0.3937	−1.1937	1.1937	3.3105	1.3977	1.9128	−1.9128	−13.0269	−10.1517	−2.8752	2.8752
2014	−38.4802	−18.7908	−19.6894	19.6894	−27.4750	−18.9155	−8.5594	8.5594	−19.3517	−16.2554	−3.0963	3.0963
2015	−36.0264	−19.4134	−16.6130	16.6130	−9.6957	−21.2863	11.5905	−11.5905	−4.8479	−10.6431	5.7953	−5.7953
12 months FP
2000	−0.7707	6.9696	−7.7403	7.7403	−18.1096	1.8318	−19.9414	19.9414	−9.9417	5.3745	−15.3161	15.3161
2001	−19.9399	−12.2071	−7.7329	7.7329	−7.8564	5.2642	−13.1205	13.1205	4.8935	12.0580	−7.1645	7.1645
2002	5.7483	32.5222	−26.7739	26.7739	7.1481	28.2532	−21.1050	21.1050	9.4186	22.9155	−13.4969	13.4969
2003	12.0294	20.5383	−8.5089	8.5089	9.7631	15.8162	−6.0531	6.0531	12.6505	14.5053	−1.8548	1.8548
2004	1.1775	18.3452	−17.1677	17.1677	10.8212	12.5281	−1.7068	1.7068	16.9472	14.0742	2.8730	−2.8730
2005	10.4499	14.6196	−4.1697	4.1697	13.2022	16.2015	−2.9993	2.9993	8.5670	18.2298	−9.6628	9.6628
2006	8.2331	20.5471	−12.3140	12.3140	−1.2542	21.8512	−23.1054	23.1054	−4.8977	14.4733	−19.3710	19.3710
2007	17.9448	23.4559	−5.5111	5.5111	−1.9830	16.1536	−18.1366	18.1366	−17.1884	−1.9712	−15.2172	15.2172
2008	−75.4876	−35.4544	−40.0332	40.0332	−40.7794	−14.8170	−25.9624	25.9624	−14.5180	6.6596	−21.1776	21.1776
2009	13.7569	51.2445	−37.4877	37.4877	17.2478	34.7204	−17.4726	17.4726	16.8500	26.5248	−9.6748	9.6748
2010	29.3633	48.2788	−18.9155	18.9155	20.0493	26.8883	−6.8390	6.8390	1.4358	10.0770	−8.6412	8.6412
2011	−23.2312	−26.4612	3.2300	−3.2300	−18.9071	−17.9849	−0.9222	0.9222	−16.3402	−9.1263	−7.2139	7.2139
2012	−11.7969	−0.1754	−11.6215	11.6215	−11.4285	−4.6293	−6.7992	6.7992	−7.3842	2.8365	−10.2207	10.2207
2013	−1.8609	1.8273	−3.6882	3.6882	−3.1241	0.1592	−3.2834	3.2834	−14.6880	−10.9107	−3.7774	3.7774
2014	−15.4459	−11.3459	−4.1000	4.1000	−23.9285	−12.0405	−11.8880	11.8880	−16.6192	−11.5741	−5.0450	5.0450
2015	−19.8997	−34.9627	15.0630	−15.0630	−13.2598	−30.1577	16.8979	−16.8979	−6.6299	−15.0789	8.4489	−8.4489
24 months FP
2000	−5.4958	1.9736	−7.4694	7.4694	−19.1735	−2.3034	−16.8702	16.8702	−9.4739	3.9476	−13.4216	13.4216
2001	−33.1575	−2.0314	−31.1260	31.1260	−12.4204	6.8800	−19.3004	19.3004	4.7587	13.3015	−8.5428	8.5428
2002	8.1578	30.1287	−21.9709	21.9709	10.0007	21.0396	−11.0389	11.0389	5.6048	21.0857	−15.4809	15.4809
2003	18.0505	19.0578	−1.0073	1.0073	9.5904	19.2411	−9.6507	9.6507	9.1034	15.2545	−6.1511	6.1511
2004	−0.212	16.5333	−16.7461	16.7461	6.4693	8.8987	−2.4294	2.4294	15.0109	13.9666	1.0443	−1.0443
2005	2.4417	10.4464	−8.0047	8.0047	13.6991	13.2943	0.4049	−0.4049	18.5862	19.6314	−1.0452	1.0452
2006	2.2666	23.4429	−21.1763	21.1763	−4.5214	20.9845	−25.5059	25.5059	−2.6200	23.4208	−26.0408	26.0408
2007	−15.0938	22.6486	−37.7423	37.7423	−25.2634	11.3883	−36.6517	36.6517	−26.4530	0.3124	−26.7654	26.7654
2008	−52.5132	−22.9300	−29.5832	29.5832	−35.6333	−3.3615	−32.2717	32.2717	−13.0528	7.8024	−20.8552	20.8552
2009	10.0065	49.5616	−39.5551	39.5551	8.5052	34.7767	−26.2716	26.2716	17.4088	21.1382	−3.7294	3.7294
2010	31.6328	39.8807	−8.2479	8.2479	22.6597	28.7096	−6.0500	6.0500	2.9346	6.9291	−3.9945	3.9945
2011	−29.3663	−17.0928	−12.2735	12.2735	−21.8838	−8.0185	−13.8653	13.8653	−19.7982	−3.5431	−16.2552	16.2552
2012	−8.6916	6.0900	−14.7816	14.7816	−16.7590	1.1301	−17.8891	17.8891	−14.9622	5.1512	−20.1134	20.1134
2013	−0.1288	1.3225	−1.4513	1.4513	2.9363	7.7206	−4.7844	4.7844	−11.0938	−7.6556	−3.4382	3.4382
2014	−14.0812	−8.7994	−5.2818	5.2818	−16.8268	−12.9333	−3.8935	3.8935	−13.4173	−10.5455	−2.8717	2.8717
2015	−14.0783	−35.4959	21.4176	−21.4176	−9.2815	−27.2746	17.9931	−17.9931	−4.6407	−13.6373	8.9966	−8.9966

Table 6. Returns per annum and per (J × K) strategy within the time-series portfolios

	6 months HP				12 months HP				24 months HP
	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)
6 months FP
2000	−6.7229	2.9847	−9.7077	9.7077	−19.0528	−1.8316	−17.2212	17.2212	−9.5774	−0.1698	−9.4076	9.4076
2001	−12.3146	−11.1807	−1.1338	1.1338	0.0704	0.5411	−0.4707	0.4707	6.6391	8.4881	−1.8490	1.8490
2002	15.9992	35.2807	−19.2815	19.2815	12.4305	22.3070	−9.8765	9.8765	15.5384	20.1532	−4.6149	4.6149
2003	19.0243	18.1890	0.8353	−0.8353	15.9442	23.6673	−7.7232	7.7232	14.1939	16.7443	−2.5504	2.5504
2004	8.4662	12.9600	−4.4938	4.4938	14.3515	8.3927	5.9588	−5.9588	16.3036	11.7138	4.5899	−4.5899
2005	15.5315	28.2326	−12.7011	12.7011	17.3886	15.0510	2.3375	−2.3375	14.6918	17.1568	−2.4650	2.4650
2006	12.5288	15.4050	−2.8761	2.8761	12.4288	23.7523	−11.3235	11.3235	10.4939	18.1573	−7.6635	7.6635
2007	18.9821	26.6061	−7.6240	7.6240	10.0661	6.3910	3.6751	−3.6751	−9.6815	−9.5592	−0.1223	0.1223
2008	−48.3922	−48.2013	−0.1909	0.1909	−27.2360	−22.3861	−4.8499	4.8499	−3.2168	1.9711	−5.1879	5.1879
2009	16.8694	35.3236	−18.4542	18.4542	18.9639	26.4437	−7.4798	7.4798	17.2708	22.6879	−5.4170	5.4170
2010	25.7761	45.2554	−19.4793	19.4793	22.7056	25.1580	−2.4523	2.4523	6.4509	5.5662	0.8847	−0.8847
2011	−12.5630	−7.8629	−4.7001	4.7001	−9.4896	−10.6561	1.1665	−1.1665	−9.3666	−7.3864	−1.9802	1.9802
2012	−6.6777	3.0527	−9.7304	9.7304	−8.0286	−1.5567	−6.4719	6.4719	−5.4014	−0.3449	−5.0565	5.0565
2013	−2.1373	−0.3682	−1.7691	1.7691	3.4812	−0.5927	4.0739	−4.0739	−15.4854	−10.8432	−4.6423	4.6423
2014	−19.0558	−14.9545	−4.1013	4.1013	−25.4139	−16.4080	−9.0059	9.0059	−18.8275	−14.7309	−4.0966	4.0966
2015	−9.2368	−21.6541	12.4173	−12.4173	−7.6096	−16.2696	8.6600	−8.6600	−3.8048	−8.1348	4.3300	−4.3300
12 months FP
2000	−0.2189	20.8338	−21.0527	21.0527	−15.1207	12.2604	−27.3811	27.3811	−10.0110	14.7087	−24.7197	24.7197
2001	−5.8515	−12.0246	6.1731	−6.1731	8.1409	2.9753	5.1655	−5.1655	9.2583	10.6698	−1.4115	1.4115
2002	25.7385	40.9076	−15.1691	15.1691	17.7242	22.3040	−4.5798	4.5798	5.3505	21.5426	−16.1921	16.1921
2003	14.2121	4.2190	9.9931	−9.9931	16.1896	3.6308	12.5588	−12.5588	13.9574	3.3238	10.6336	−10.6336
2004	3.5811	19.7359	−16.1548	16.1548	10.5625	11.6512	−1.0887	1.0887	16.7297	15.0230	1.7068	−1.7068
2005	24.7258	16.3280	8.3978	−8.3978	21.7013	19.8608	1.8405	−1.8405	14.4897	17.9741	−3.4844	3.4844
2006	9.7300	16.9402	−7.2102	7.2102	10.0868	12.8425	−2.7556	2.7556	9.3235	11.5262	−2.2028	2.2028
2007	24.9408	24.4369	0.5039	−0.5039	8.2629	22.9245	−14.6616	14.6616	−9.6271	16.6052	−26.2323	26.2323
2008	−43.8824	−67.8376	23.9552	−23.9552	−26.5463	−27.0055	0.4592	−0.4592	−3.0342	3.6683	−6.7025	6.7025
2009	32.0131	30.8490	1.1641	−1.1641	13.7305	23.3124	−9.5819	9.5819	16.4787	24.2459	−7.7673	7.7673
2010	28.2775	39.8533	−11.5758	11.5758	22.6506	19.2669	3.3837	−3.3837	5.3824	3.7011	1.6813	−1.6813
2011	−11.2991	−3.8707	−7.4284	7.4284	−8.5727	−18.3052	9.7325	−9.7325	−7.8942	−4.1206	−3.7737	3.7737
2012	−14.7771	4.9575	−19.7347	19.7347	−13.6716	−3.8566	−9.8149	9.8149	−9.6904	0.1806	−9.8710	9.8710
2013	1.1134	−3.4750	4.5883	−4.5883	−4.5332	−0.3134	−4.2198	4.2198	−18.9717	−10.7800	−8.1917	8.1917
2014	−15.2380	−10.8203	−4.4176	4.4176	−22.4285	−10.9139	−11.5147	11.5147	−15.9816	−10.8172	−5.1645	5.1645
2015	−22.6273	−19.8876	−2.7397	2.7397	−15.4856	−16.8075	1.3220	−1.3220	−7.7428	−8.4038	0.6610	−0.6610
24 months FP
2000	3.5251	6.6883	−3.1632	3.1632	−17.8069	−0.2636	−17.5433	17.5433	−9.8566	6.5706	−16.4272	16.4272
2001	−32.3561	−17.2760	−15.0801	15.0801	−12.5557	0.9198	−13.4755	13.4755	2.3681	12.7964	−10.4283	10.4283
2002	16.1780	30.4059	−14.2279	14.2279	7.7050	21.2509	−13.5459	13.5459	−5.0785	21.7862	−26.8647	26.8647
2003	12.7979	−3.5378	16.3357	−16.3357	5.9700	12.8002	−6.8302	6.8302	7.1743	9.6818	−2.5076	2.5076
2004	8.7364	6.3216	2.4148	−2.4148	14.4498	4.0947	10.3550	−10.3550	17.8617	7.4729	10.3888	−10.3888
2005	24.9558	−2.1433	27.0991	−27.0991	24.3107	−0.6782	24.9888	−24.9888	19.2360	3.3815	15.8544	−15.8544
2006	4.3123	11.7014	−7.3892	7.3892	6.8756	14.0878	−7.2122	7.2122	8.0178	21.9439	−13.9261	13.9261
2007	26.8600	26.0831	0.7769	−0.7769	5.3554	1.1937	4.1617	−4.1617	−12.1092	−8.8177	−3.2915	3.2915
2008	−51.4430	−18.2193	−33.2237	33.2237	−34.2874	9.0297	−43.3171	43.3171	−6.9061	14.4200	−21.3260	21.3260
2009	11.9720	48.9373	−36.9653	36.9653	9.9504	32.5713	−22.6209	22.6209	14.1705	22.4764	−8.3059	8.3059
2010	33.7962	36.2777	−2.4816	2.4816	23.6342	24.0225	−0.3883	0.3883	5.7873	6.2041	−0.4168	0.4168
2011	−13.1150	−8.7618	−4.3532	4.3532	−9.4399	−3.8140	−5.6259	5.6259	−8.1818	−0.9937	−7.1881	7.1881
2012	−4.0460	17.6588	−21.7047	21.7047	−9.2694	8.2649	−17.5343	17.5343	−7.1939	12.9622	−20.1561	20.1561
2013	−1.8950	1.7207	−3.6158	3.6158	−3.5504	5.2886	−8.8390	8.8390	−5.3677	−7.1507	1.7830	−1.7830
2014	−26.8774	−10.7249	−16.1525	16.1525	−27.8292	−12.3427	−15.4865	15.4865	−17.8743	−10.4284	−7.4459	7.4459
2015	−13.1134	−22.8339	9.7205	−9.7205	−11.5806	−17.9179	6.3373	−6.3373	−5.7903	−8.9590	3.1687	−3.1687

Table 7. Monthly average return within the cross-sectional portfolios

	6 months HP				12 months HP				24 months HP
	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)
6 months FP
January	1.2218	1.5863	−0.3645	0.3645	−0.3549	0.7821	−1.1371	1.1371	−0.3204	0.7357	−1.0561	1.0561
February	1.0771	1.4513	−0.3743	0.3743	−0.1535	0.7905	−0.9440	0.9440	−0.2456	0.6827	−0.9283	0.9283
March	0.8071	0.5229	0.2842	−0.2842	−0.1922	0.5824	−0.7746	0.7746	−0.0437	0.3845	−0.4282	0.4282
April	0.7647	0.6200	0.1447	−0.1447	0.0921	0.4800	−0.3879	0.3879	0.1063	0.4123	−0.3060	0.3060
May	−0.0103	−0.2533	0.2429	−0.2429	−0.4251	0.2117	−0.6367	0.6367	−0.4048	0.1627	−0.5675	0.5675
June	−0.2725	0.1792	−0.4517	0.4517	0.0918	0.1031	−0.0114	0.0114	0.0684	0.3404	−0.2720	0.2720
July	−0.7303	−0.1754	−0.5550	0.5550	−0.0537	0.2671	−0.3209	0.3209	0.0487	0.1828	−0.1341	0.1341
August	−0.6116	−0.2342	−0.3773	0.3773	0.1274	0.2887	−0.1613	0.1613	0.0298	0.3396	−0.3098	0.3098
September	−0.3984	0.4859	−0.8843	0.8843	−0.2635	0.2543	−0.5178	0.5178	−0.2399	0.2835	−0.5234	0.5234
October	−0.2919	0.9073	−1.1992	1.1992	−0.5365	0.5565	−1.0929	1.0929	−0.3875	0.7917	−1.1792	1.1792
November	0.4678	1.4803	−1.0125	1.0125	−0.2057	0.5965	−0.8022	0.8022	−0.1707	0.5380	−0.7088	0.7088
December	0.6278	1.0080	−0.3802	0.3802	−0.3999	0.5524	−0.9523	0.9523	−0.2249	0.4695	−0.6943	0.6943
Best month	1.2218	1.5863	0.2842	1.1992	0.1274	0.7905	−0.0114	1.1371	0.1063	0.7917	−0.1341	1.1792
	January	January	March	October	August	February	June	January	April	October	July	October
12 months FP
January	−0.3069	1.6130	−1.9199	1.9199	−0.3602	0.5693	−0.9295	0.9295	−0.2843	0.6037	−0.8880	0.8880
February	−0.7160	1.2506	−1.9666	1.9666	−0.5499	0.7114	−1.2612	1.2612	−0.2771	0.6020	−0.8791	0.8791
March	−0.9038	0.8399	−1.7437	1.7437	−0.6170	0.7833	−1.4003	1.4003	−0.2671	0.4733	−0.7403	0.7403
April	−0.4323	0.6051	−1.0373	1.0373	−0.2675	0.8337	−1.1011	1.1011	−0.1126	0.5717	−0.6843	0.6843
May	−0.4379	−0.3280	−0.1099	0.1099	−0.1073	0.4078	−0.5151	0.5151	−0.1470	0.3597	−0.5067	0.5067
June	−1.0705	0.3093	−1.3798	1.3798	−0.2870	0.5634	−0.8503	0.8503	−0.1332	0.5470	−0.6802	0.6802
July	−0.5124	0.1718	−0.6842	0.6842	−0.1691	0.5092	−0.6783	0.6783	−0.0232	0.5782	−0.6014	0.6014
August	−0.2773	−0.0859	−0.1914	0.1914	−0.3706	0.3572	−0.7278	0.7278	−0.2302	0.5142	−0.7445	0.7445
September	−0.3065	0.5945	−0.9009	0.9009	−0.3222	0.2301	−0.5523	0.5523	−0.2231	0.4049	−0.6280	0.6280
October	0.0280	0.7262	−0.6982	0.6982	−0.1624	0.2796	−0.4421	0.4421	−0.1482	0.5941	−0.7423	0.7423
November	0.2078	0.9451	−0.7373	0.7373	−0.3566	0.4569	−0.8134	0.8134	−0.1998	0.4951	−0.6949	0.6949
December	0.3695	0.7172	−0.3477	0.3477	−0.3302	0.5506	−0.8808	0.8808	−0.2947	0.4478	−0.7425	0.7425
Best month	0.3695	1.6130	−0.1099	1.9666	−0.1073	0.8337	−0.4421	1.4003	−0.0232	0.6037	−0.5067	0.8880
	December	January	May	February	May	April	October	March	July	January	May	January
24 months FP
January	−0.4366	1.5393	−1.9760	1.9760	−0.5548	0.9085	−1.4633	1.4633	−0.3196	0.8218	−1.1414	1.1414
February	−0.3200	1.4195	−1.7396	1.7396	−0.5795	0.8442	−1.4238	1.4238	−0.1522	0.7015	−0.8537	0.8537
March	−0.5734	0.2762	−0.8496	0.8496	−0.3206	0.4932	−0.8138	0.8138	−0.0919	0.4998	−0.5917	0.5917
April	−0.8035	0.9608	−1.7643	1.7643	−0.2520	0.8176	−1.0696	1.0696	0.0002	0.6836	−0.6834	0.6834
May	−0.5682	−0.1464	−0.4218	0.4218	−0.2319	0.4729	−0.7048	0.7048	−0.1822	0.4564	−0.6385	0.6385
June	−0.7484	0.5330	−1.2815	1.2815	−0.3657	0.7017	−1.0674	1.0674	−0.2297	0.7164	−0.9461	0.9461
July	−0.8620	−0.1683	−0.6938	0.6938	−0.4300	0.4468	−0.8768	0.8768	−0.0998	0.5788	−0.6785	0.6785
August	−0.7401	0.2843	−1.0243	1.0243	−0.4686	0.5830	−1.0515	1.0515	−0.1645	0.5005	−0.6650	0.6650
September	−0.6494	0.8880	−1.5374	1.5374	−0.4813	0.5385	−1.0198	1.0198	−0.3111	0.4939	−0.8049	0.8049
October	−0.3653	1.1893	−1.5547	1.5547	−0.7422	0.4912	−1.2333	1.2333	−0.4057	0.5589	−0.9646	0.9646
November	−0.1335	1.0905	−1.2241	1.2241	−0.7008	0.4806	−1.1814	1.1814	−0.4195	0.5534	−0.9729	0.9729
December	−0.0659	0.5547	−0.6206	0.6206	−0.3665	0.7326	−1.0992	1.0992	−0.2556	0.7201	−0.9757	0.9757
Best month	−0.0659	1.5393	−0.4218	1.9760	−0.2319	0.9085	−0.7048	1.4633	0.0002	0.8218	−0.5917	1.1414
	December	January	May	January	May	January	May	January	April	January	March	January

Table 8. Monthly average return within the time-series portfolios

	6 months HP				12 months HP				24 months HP
	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)
6 months FP
January	0.6364	1.3828	−0.7464	0.7464	0.2882	0.7893	−0.5012	0.5012	0.1536	0.6047	−0.4511	0.4511
February	0.3296	1.1917	−0.8621	0.8621	−0.0025	0.8872	−0.8897	0.8897	−0.0775	0.7880	−0.8655	0.8655
March	−0.1109	0.4235	−0.5343	0.5343	0.1008	0.2952	−0.1944	0.1944	0.0990	0.5005	−0.4016	0.4016
April	0.0413	0.6341	−0.5927	0.5927	0.3079	0.6756	−0.3676	0.3676	0.3181	0.2833	0.0348	−0.0348
May	−0.7069	0.1220	−0.8289	0.8289	0.3865	0.3279	0.0585	−0.0585	0.2242	0.1863	0.0379	−0.0379
June	−0.0973	0.2160	−0.3133	0.3133	0.3976	0.0802	0.3174	−0.3174	0.3248	0.1401	0.1847	−0.1847
July	−0.6248	0.1469	−0.7717	0.7717	0.0292	0.1641	−0.1349	0.1349	0.2182	0.0361	0.1821	−0.1821
August	0.0890	−0.0996	0.1886	−0.1886	0.1036	0.4753	−0.3717	0.3717	0.1231	0.4177	−0.2947	0.2947
September	0.1842	0.7593	−0.5751	0.5751	0.0545	0.3985	−0.3439	0.3439	−0.0071	0.2486	−0.2557	0.2557
October	−0.1632	0.6662	−0.8294	0.8294	−0.1053	0.3599	−0.4651	0.4651	−0.1383	0.5750	−0.7133	0.7133
November	0.9094	1.3299	−0.4205	0.4205	0.3001	0.4593	−0.1592	0.1592	0.2220	0.3614	−0.1394	0.1394
December	0.5180	0.6692	−0.1512	0.1512	0.0769	0.2127	−0.1358	0.1358	0.1787	0.3250	−0.1463	0.1463
Best month	0.9094	1.3828	0.1886	0.8621	0.3976	0.8872	0.3174	0.8897	0.3248	0.7880	0.1847	0.8655
	November	January	August	February	June	February	June	February	June	February	June	February
12 months FP
January	0.9042	1.1894	−0.2852	0.2852	0.5220	0.1431	0.3789	−0.3789	0.2169	0.3351	−0.1182	0.1182
February	0.1601	0.9576	−0.7975	0.7975	0.0700	0.3806	−0.3106	0.3106	−0.0195	0.5279	−0.5474	0.5474
March	−0.0991	0.4502	−0.5492	0.5492	−0.0454	0.2892	−0.3347	0.3347	0.0223	0.4248	−0.4025	0.4025
April	−0.0791	−0.4401	0.3609	−0.3609	−0.0098	−0.2883	0.2785	−0.2785	−0.1229	0.4506	−0.5735	0.5735
May	−0.3541	−0.1380	−0.2162	0.2162	0.1746	0.5536	−0.3790	0.3790	−0.0356	0.7219	−0.7575	0.7575
June	−0.4322	0.1648	−0.5970	0.5970	−0.0376	0.4609	−0.4985	0.4985	0.0433	0.4683	−0.4250	0.4250
July	0.0394	0.0212	0.0181	−0.0181	−0.0622	0.4003	−0.4624	0.4624	0.1614	0.5660	−0.4046	0.4046
August	0.9662	−0.3608	1.3270	−1.3270	0.3421	0.1139	0.2282	−0.2282	0.0938	0.5263	−0.4324	0.4324
September	0.0271	0.6702	−0.6430	0.6430	−0.0718	0.5693	−0.6411	0.6411	−0.0691	0.6345	−0.7036	0.7036
October	0.2529	0.8768	−0.6239	0.6239	0.1677	0.5596	−0.3919	0.3919	−0.0355	0.7020	−0.7376	0.7376
November	1.0797	2.3400	−1.2603	1.2603	0.3167	1.2586	−0.9419	0.9419	0.1527	1.0559	−0.9032	0.9032
December	0.6873	0.5904	0.0970	−0.0970	0.0519	0.1734	−0.1216	0.1216	0.0932	0.4021	−0.3090	0.3090
Best month	1.0797	2.3400	1.3270	1.2603	0.5220	1.2586	0.3789	0.9419	0.2169	1.0559	−0.1182	0.9032
	November	November	August	November	January	November	January	November	January	November	January	November
24 months FP
January	−0.0535	1.1188	−1.1723	1.1723	−0.0615	0.4179	−0.4795	0.4795	−0.1756	0.5743	−0.7498	0.7498
February	0.1754	1.1445	−0.9692	0.9692	−0.0126	0.6800	−0.6926	0.6926	−0.0079	0.9760	−0.9839	0.9839
March	0.3079	0.1361	0.1718	−0.1718	−0.1827	0.6274	−0.8100	0.8100	−0.0168	0.8056	−0.8224	0.8224
April	0.5282	0.6267	−0.0985	0.0985	0.1245	0.9613	−0.8368	0.8368	0.1788	0.6604	−0.4817	0.4817
May	−0.1454	0.3998	−0.5452	0.5452	−0.1124	0.6578	−0.7703	0.7703	−0.0606	0.5470	−0.6076	0.6076
June	−0.3894	0.6012	−0.9907	0.9907	−0.2972	0.9066	−1.2038	1.2038	−0.0864	0.7902	−0.8765	0.8765
July	−0.2700	0.0023	−0.2724	0.2724	−0.1690	0.2870	−0.4560	0.4560	0.0316	0.5130	−0.4814	0.4814
August	0.0809	−0.4276	0.5085	−0.5085	−0.1093	0.3019	−0.4112	0.4112	0.2081	0.3853	−0.1772	0.1772
September	−0.4917	0.8025	−1.2942	1.2942	−0.2164	0.4234	−0.6398	0.6398	0.0009	0.1758	−0.1749	0.1749
October	−0.0435	0.6358	−0.6794	0.6794	−0.2113	0.2071	−0.4184	0.4184	−0.0666	0.2507	−0.3173	0.3173
November	0.1438	1.0378	−0.8939	0.8939	−0.3249	0.3522	−0.6771	0.6771	−0.2384	0.3386	−0.5769	0.5769
December	0.1754	0.3156	−0.1402	0.1402	−0.1814	0.3340	−0.5154	0.5154	−0.0011	0.4423	−0.4434	0.4434
Best month	0.5282	1.1445	0.5085	1.2942	0.1245	0.9613	−0.4112	1.2038	0.2081	0.9760	−0.1749	0.9839
	April	February	August	September	April	April	August	June	August	February	September	February

Table 9. Correlation matrix/correlation between the best strategies and indexes

Analysis	Best strategy	Index					Average
		S&P GSCI	S&P 500	T-bond	US FX	MSCI emerging markets
Cross-sectional	MOM 6 × 6	0.5556	0.2304	0.2454	−0.2594	0.3060	0.2156
	CON 24 × 6	0.2080	−0.3340	−0.0634	−0.3605	0.2539	−0.0592
Time-series	MOM 6 × 24	−0.0437	0.0706	0.0103	−0.0952	0.1116	0.0107
	CON 24 × 12	−0.4388	−0.4164	−0.1917	0.1999	−0.3779	−0.2450
	Average	0.0703	−0.1124	0.0002	−0.1288	0.0734	−0.0195

Table 10. Yearly returns per (J × K) strategy within the pre and post 2008 crisis cross-sectional portfolios

6 months HP

12 months HP

24 months HP

Winner (%)

Loser (%)

Momentum (%)

Reversal (%)

Winner (%)

Loser (%)

Momentum (%)

Reversal (%)

Winner (%)

Loser (%)

Momentum (%)

Reversal (%)

6 months FP

‘00 - September.‘08 Avg

7.7892

8.9124

−1.1232

1.1232

−1.6421

8.1611

−9.8032

9.8032

0.3916

10.0676

−9.6760

9.6760%

October. ‘08 - ‘15 Avg

−3.5499

5.9683

−9.5182

9.5182

−3.0362

2.2119

−5.2480

5.2480

−4.4104

−0.4024

−4.0080

4.0080%

12 months FP

‘00 - September.‘08Avg

−3.9625

9.9437

−13.9062

13.9062

−3.6389

10.8453

−14.4843

14.4843

0.3185

11.4340

−11.1155

11.1155%

October. ‘08 - ‘15 Avg

−4.8356

4.2392

−9.0748

9.0748

−4.2149

0.7092

−4.9241

4.9241

−5.5491

−0.1351

−5.4140

5.4140%

24 months FP

‘00 - September.‘08 Avg

−8.5864

11.1805

−19.7669

19.7669

−6.6900

10.1989

−16.8889

16.8889

−0.1330

12.8657

−12.9987

12.9987%

October. ‘08 - ‘15 Avg

−3.4665

5.0907

−8.5572

8.5572

−4.0504

4.2664

−8.3168

8.3168

−5.6470

0.5497

−6.1967

6.1967%

Table 11. Yearly average return of the pre and post 2008 crisis cross-sectional portfolios

	Winner (%)	Loser (%)	Momentum (%)	Contrarian (%)
‘00 - September.‘08	−1.7948	10.4010	−12.1959	12.1959
October. ‘08 – ‘15	−4.3067	2.4998	−6.8064	6.8064

Table 12. Yearly returns per (J × K) strategy within the pre and post 2008 crisis time-series portfolios

	6 months HP				12 months HP				24 months HP
	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)	Winner (%)	Loser (%)	Momentum (%)	Reversal (%)
6 months FP
‘00 - September.‘08Avg	2.9576	9.2308	−6.2733	6.2733	3.5450	8.1791	−4.6341	4.6341	5.7689	9.1309	−3.3620	3.3620%
October. ‘08 - ‘15Avg	−1.3519	5.2825	−6.6344	6.6344	−0.0026	1.4395	−1.4421	1.4421	−3.3458	−1.1622	−2.1837	2.1837%
12 months FP
‘00 - September.‘08 Avg	6.2287	7.3752	−1.1465	1.1465	5.1143	8.5137	−3.3994	3.3994	4.6944	12.4832	−7.7888	7.7888%
October. ‘08 - ‘15 Avg	−0.5605	5.0500	−5.6104	5.6104	−3.0427	−0.0922	−2.9505	2.9505	−4.5598	−0.0248	−4.5350	4.5350%
24 months FP
‘00 - September.‘08 Avg	1.8815	4.4395	−2.5580	2.5580	−0.2059	5.9867	−6.1926	6.1926	2.1041	9.3329	−7.2288	7.2288%
October. ‘08 - ‘15 Avg	−2.2311	8.7521	−10.9832	10.9832	−3.6230	6.3620	−9.9849	9.9849	−3.0557	2.9908	−6.0465	6.0465%

Table 13. Yearly average return of the pre and post 2008 crisis time-series portfolios

	Winner (%)	Loser (%)	Momentum (%)	Contrarian (%)
‘00 - September.‘08	3.5654	8.2969	−4.7315	4.7315
October. ‘08 - ‘15	−2.4192	3.1775	−5.5967	5.5967

Table 14. Returns of the assets and indexes used for calculating the correlation matrix

	Returns
	T-bond (%)	GSCI (%)	S&P 500 (%)	BIS real effective exchange rate (%)	MSCI emerging markets (%)
2000	−22.0200	23.8456	−2.0613	7.6110	−30.6100
2001	0.2900	−37.8251	−18.9500	4.4594	−2.3700
2002	−24.0700	32.9413	−27.8230	−7.1542	−6.1700
2003	15.7700	10.2528	27.9053	−10.6043	55.8200
2004	1.4300	17.5309	4.3373	−2.4517	25.5500
2005	5.8400	32.9702	8.0332	3.6079	34.0000
2006	7.3600	0.4449	11.6498	−1.0985	32.1400
2007	−13.7900	34.1506	−4.2388	−7.4973	39.4200
2008	−50.4300	−55.8555	−51.2338	11.1193	−53.3300
2009	62.9500	40.7495	26.2575	−8.4026	78.5100
2010	−10.8000	18.5947	18.0361	−2.9862	18.8800
2011	−50.4700	2.0495	2.0235	2.9358	−18.4200
2012	−0.8700	0.2586	13.2339	−1.2885	18.2200
2013	61.6600	−2.2363	17.3863	4.0033	−2.6000
2014	−31.0100	−41.3567	11.2572	10.0709	−2.1900
2015	11.7700	−29.3886	2.4240	8.4095	−14.9200