Price momentum(PM), or the rate of acceleration of a security's price or volume, is a key factor for many investors. Momentum investing involves capitalizing on the continuance of an existing market trend. This includes going long on stocks showing upward-trending prices and shorting the respective assets with downward-trending prices.
For Price momentum, we provide short-term, mid-term, long-term and composite (or breadth momentum) factors.
The demonstration of price momentum performance shows the comparison of different price momentum portfolios. Portfolios were rebalanced quarterly using a market-cap weighted method, with 20 basis points deducted as costs per transaction.
Annual Return |
Cumulative Return |
Volatility |
Sharpe ratio |
Calmar ratio |
Max Drawdown |
Omega ratio |
Sortino ratio |
Skew |
Kurtosis |
Tail ratio |
Monthly value at risk |
Alpha |
Beta |
SPY |
8.52% |
472.35 |
14.72% |
0.63 |
0.16 |
-52.56% |
1.61 |
0.94 |
-0.59 |
1.34 |
0.98 |
-0.06 |
0.00% |
1.00 |
Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
8.99% | 10.84% | 10.44% | 11.38% | 9.92% | 9.21% | 9.72% | 9.56% | 6.08% | 6.54% |
527.64 | 799.31 | 731.70 | 897.47 | 651.68 | 555.06 | 623.97 | 600.73 | 252.44 | 286.61 |
26.88% | 20.57% | 18.58% | 18.21% | 17.22% | 16.40% | 15.88% | 16.07% | 17.16% | 18.84% |
0.45 | 0.60 | 0.63 | 0.69 | 0.64 | 0.62 | 0.67 | 0.65 | 0.43 | 0.43 |
0.12 | 0.17 | 0.21 | 0.24 | 0.22 | 0.21 | 0.22 | 0.20 | 0.11 | 0.11 |
-71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
1.50 | 1.67 | 1.68 | 1.76 | 1.69 | 1.64 | 1.69 | 1.67 | 1.40 | 1.41 |
0.74 | 0.98 | 0.96 | 1.09 | 0.99 | 0.94 | 1.03 | 1.01 | 0.65 | 0.66 |
0.73 | 0.25 | -0.33 | -0.17 | -0.39 | -0.51 | -0.32 | -0.30 | 0.05 | 0.30 |
8.78 | 4.92 | 4.98 | 4.39 | 4.51 | 3.82 | 2.57 | 2.91 | 4.36 | 5.28 |
1.00 | 1.16 | 1.00 | 1.18 | 1.22 | 1.00 | 1.20 | 1.30 | 0.94 | 0.91 |
-0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 | -0.08 |
1.25% | 3.67% | 3.63% | 4.54% | 3.49% | 3.01% | 3.61% | 3.62% | 0.33% | 0.88% |
1.55 | 1.24 | 1.15 | 1.13 | 1.06 | 1.02 | 0.99 | 0.97 | 1.00 | 1.03 |