Breaking Badly: finding the structural breaks in parameter estimates

Here's a nice picture from a lovely book written by a top bloke : It shows the cumulative p&l from different speeds of momentum over time (for portfolios containing 102 instruments) over 50 years of data. Notice how the two fastest speeds (2&4) get worse in the second half of the sample. I've called the line #2 here the 'second most famous hockey stick graph in history'. It certainly looks like…