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 |
| Price Momentum 1 | Price Momentum 3 | Price Momentum 6 | Price Momentum 12 | Price Momentum 1 Skip | Price Momentum 3 Skip | Price Momentum 6 Skip | Price Momentum 12 Skip | Breadth Momentum | Breadth Momentum Skip |
| 9.21% | 11.59% | 9.47% | 10.25% | 10.86% | 10.33% | 7.70% | 8.58% | 8.31% | 9.29% |
| 584.95 | 996.12 | 621.08 | 741.71 | 850.47 | 755.47 | 404.93 | 503.18 | 470.84 | 595.10 |
| 26.62% | 28.44% | 30.15% | 31.79% | 27.09% | 26.89% | 28.56% | 30.51% | 28.73% | 27.52% |
| 0.46 | 0.52 | 0.44 | 0.46 | 0.51 | 0.50 | 0.40 | 0.42 | 0.42 | 0.46 |
| 0.13 | 0.16 | 0.13 | 0.13 | 0.16 | 0.15 | 0.10 | 0.11 | 0.11 | 0.13 |
| -71.99% | -70.67% | -75.60% | -76.57% | -67.46% | -69.51% | -73.86% | -77.24% | -77.67% | -69.16% |
| 1.52 | 1.60 | 1.50 | 1.52 | 1.59 | 1.54 | 1.42 | 1.45 | 1.46 | 1.50 |
| 0.75 | 0.89 | 0.76 | 0.80 | 0.86 | 0.83 | 0.67 | 0.71 | 0.68 | 0.77 |
| 0.73 | 0.95 | 1.28 | 1.13 | 0.85 | 0.76 | 1.06 | 0.98 | 0.58 | 0.97 |
| 8.95 | 8.20 | 9.58 | 8.22 | 8.43 | 6.09 | 7.87 | 6.74 | 8.07 | 8.02 |
| 1.01 | 1.11 | 1.03 | 1.15 | 1.06 | 1.06 | 1.09 | 1.22 | 1.01 | 1.02 |
| -0.12 | -0.12 | -0.13 | -0.14 | -0.12 | -0.12 | -0.13 | -0.13 | -0.13 | -0.12 |
| 0.50% | 2.54% | 0.64% | 1.39% | 2.20% | 1.72% | -0.76% | -0.01% | -0.55% | 0.84% |
| 1.54 | 1.61 | 1.66 | 1.73 | 1.53 | 1.52 | 1.58 | 1.66 | 1.65 | 1.53 |