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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 |
| 8.68% |
| 537.84 |
| 14.59% |
| 0.65 |
| 0.17 |
| -52.56% |
| 1.62 |
| 0.96 |
| -0.59 |
| 1.34 |
| 0.98 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 8.91% | 11.22% | 10.76% | 11.65% | 10.57% | 9.51% | 10.08% | 10.02% | 6.68% | 6.93% |
| 567.59 | 965.85 | 870.80 | 1062.13 | 835.85 | 654.98 | 748.08 | 736.37 | 321.22 | 343.64 |
| 26.44% | 20.30% | 18.37% | 18.01% | 17.06% | 16.23% | 15.86% | 15.98% | 17.06% | 18.68% |
| 0.45 | 0.63 | 0.65 | 0.71 | 0.68 | 0.64 | 0.69 | 0.68 | 0.46 | 0.45 |
| 0.12 | 0.18 | 0.21 | 0.24 | 0.23 | 0.21 | 0.22 | 0.21 | 0.12 | 0.12 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.50 | 1.70 | 1.70 | 1.78 | 1.74 | 1.67 | 1.71 | 1.70 | 1.44 | 1.43 |
| 0.73 | 1.02 | 1.00 | 1.12 | 1.05 | 0.97 | 1.07 | 1.06 | 0.70 | 0.70 |
| 0.74 | 0.24 | -0.34 | -0.18 | -0.41 | -0.53 | -0.33 | -0.31 | 0.05 | 0.30 |
| 9.06 | 5.02 | 5.02 | 4.43 | 4.51 | 3.84 | 2.48 | 2.85 | 4.28 | 5.24 |
| 1.03 | 1.19 | 1.03 | 1.20 | 1.22 | 1.00 | 1.21 | 1.29 | 0.99 | 0.94 |
| -0.12 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| 0.41% | 3.39% | 3.36% | 4.22% | 3.54% | 2.76% | 3.44% | 3.53% | 0.34% | 0.68% |
| 1.53 | 1.23 | 1.14 | 1.12 | 1.06 | 1.02 | 0.99 | 0.97 | 1.00 | 1.03 |