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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 |
| 9.01% |
| 576.79 |
| 14.55% |
| 0.67 |
| 0.17 |
| -52.56% |
| 1.65 |
| 1.00 |
| -0.60 |
| 1.40 |
| 0.98 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.14% | 11.43% | 10.84% | 11.84% | 10.76% | 9.67% | 10.20% | 10.15% | 6.76% | 7.01% |
| 595.04 | 1001.08 | 879.71 | 1095.36 | 863.00 | 673.94 | 760.55 | 752.39 | 326.16 | 349.34 |
| 26.47% | 20.31% | 18.40% | 18.02% | 17.07% | 16.25% | 15.88% | 16.00% | 17.09% | 18.71% |
| 0.46 | 0.64 | 0.65 | 0.71 | 0.69 | 0.65 | 0.69 | 0.69 | 0.47 | 0.46 |
| 0.13 | 0.18 | 0.21 | 0.25 | 0.24 | 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 | 1.71 | 1.80 | 1.75 | 1.68 | 1.72 | 1.71 | 1.44 | 1.43 |
| 0.75 | 1.03 | 1.00 | 1.14 | 1.07 | 0.99 | 1.08 | 1.07 | 0.71 | 0.70 |
| 0.74 | 0.23 | -0.35 | -0.19 | -0.42 | -0.54 | -0.33 | -0.31 | 0.04 | 0.29 |
| 9.04 | 5.02 | 5.00 | 4.43 | 4.52 | 3.85 | 2.47 | 2.85 | 4.26 | 5.22 |
| 1.03 | 1.19 | 1.02 | 1.21 | 1.22 | 1.00 | 1.21 | 1.29 | 0.99 | 0.93 |
| -0.12 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| 0.29% | 3.31% | 3.18% | 4.15% | 3.47% | 2.68% | 3.32% | 3.43% | 0.19% | 0.53% |
| 1.53 | 1.24 | 1.14 | 1.12 | 1.06 | 1.02 | 0.99 | 0.97 | 1.01 | 1.03 |