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 |
| 9.18% |
| 585.64 |
| 14.60% |
| 0.68 |
| 0.17 |
| -52.56% |
| 1.66 |
| 1.01 |
| -0.61 |
| 1.39 |
| 0.98 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.18% | 11.60% | 11.12% | 12.07% | 10.93% | 9.92% | 10.51% | 10.51% | 7.01% | 7.37% |
| 585.02 | 1008.61 | 908.32 | 1115.72 | 871.33 | 694.46 | 793.55 | 793.47 | 341.20 | 375.11 |
| 26.57% | 20.38% | 18.42% | 18.06% | 17.11% | 16.25% | 15.84% | 15.99% | 17.10% | 18.75% |
| 0.46 | 0.64 | 0.67 | 0.72 | 0.70 | 0.67 | 0.71 | 0.71 | 0.48 | 0.47 |
| 0.13 | 0.19 | 0.22 | 0.25 | 0.24 | 0.22 | 0.23 | 0.22 | 0.12 | 0.13 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.52 | 1.72 | 1.73 | 1.81 | 1.76 | 1.70 | 1.75 | 1.74 | 1.46 | 1.46 |
| 0.75 | 1.04 | 1.02 | 1.16 | 1.08 | 1.01 | 1.12 | 1.11 | 0.73 | 0.73 |
| 0.74 | 0.23 | -0.35 | -0.19 | -0.42 | -0.54 | -0.33 | -0.32 | 0.04 | 0.28 |
| 8.99 | 5.00 | 5.05 | 4.46 | 4.53 | 3.91 | 2.53 | 2.91 | 4.31 | 5.23 |
| 1.02 | 1.17 | 1.02 | 1.21 | 1.22 | 1.00 | 1.22 | 1.39 | 1.01 | 0.92 |
| -0.12 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| 0.19% | 3.35% | 3.32% | 4.25% | 3.53% | 2.82% | 3.52% | 3.68% | 0.34% | 0.78% |
| 1.53 | 1.23 | 1.14 | 1.12 | 1.06 | 1.02 | 0.99 | 0.97 | 1.00 | 1.03 |