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 |
| 8.94% |
| 548.48 |
| 14.59% |
| 0.66 |
| 0.17 |
| -52.56% |
| 1.65 |
| 0.99 |
| -0.60 |
| 1.40 |
| 0.98 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.21% | 11.48% | 11.00% | 11.87% | 10.64% | 9.69% | 10.14% | 10.13% | 6.56% | 6.93% |
| 584.95 | 972.26 | 876.68 | 1056.84 | 809.92 | 653.68 | 724.23 | 722.57 | 300.72 | 332.23 |
| 26.62% | 20.41% | 18.45% | 18.07% | 17.10% | 16.25% | 15.79% | 15.94% | 17.02% | 18.68% |
| 0.46 | 0.64 | 0.66 | 0.71 | 0.68 | 0.65 | 0.69 | 0.69 | 0.46 | 0.45 |
| 0.13 | 0.18 | 0.22 | 0.25 | 0.23 | 0.22 | 0.23 | 0.22 | 0.12 | 0.12 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.52 | 1.71 | 1.72 | 1.80 | 1.74 | 1.68 | 1.72 | 1.72 | 1.43 | 1.43 |
| 0.75 | 1.03 | 1.01 | 1.14 | 1.06 | 0.99 | 1.08 | 1.07 | 0.69 | 0.69 |
| 0.73 | 0.23 | -0.34 | -0.18 | -0.41 | -0.53 | -0.33 | -0.32 | 0.03 | 0.29 |
| 8.95 | 4.98 | 5.03 | 4.46 | 4.56 | 3.92 | 2.59 | 2.98 | 4.44 | 5.36 |
| 1.01 | 1.16 | 1.02 | 1.22 | 1.22 | 1.00 | 1.20 | 1.35 | 0.92 | 0.91 |
| -0.12 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| 0.50% | 3.48% | 3.44% | 4.29% | 3.50% | 2.83% | 3.40% | 3.56% | 0.15% | 0.61% |
| 1.54 | 1.24 | 1.14 | 1.12 | 1.06 | 1.02 | 0.98 | 0.97 | 1.00 | 1.02 |