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 |
8.65% |
479.24 |
14.73% |
0.64 |
0.16 |
-52.56% |
1.62 |
0.95 |
-0.59 |
1.36 |
0.98 |
-0.06 |
0.00% |
1.00 |
Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
9.17% | 11.07% | 10.53% | 11.46% | 9.96% | 9.29% | 9.82% | 9.69% | 6.13% | 6.62% |
541.11 | 822.44 | 733.18 | 893.25 | 646.50 | 555.93 | 625.66 | 608.91 | 252.31 | 288.35 |
26.91% | 20.56% | 18.57% | 18.23% | 17.25% | 16.41% | 15.91% | 16.10% | 17.18% | 18.89% |
0.46 | 0.61 | 0.64 | 0.69 | 0.64 | 0.63 | 0.67 | 0.66 | 0.43 | 0.43 |
0.13 | 0.18 | 0.21 | 0.24 | 0.22 | 0.21 | 0.22 | 0.21 | 0.11 | 0.11 |
-71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
1.52 | 1.69 | 1.69 | 1.77 | 1.69 | 1.65 | 1.70 | 1.68 | 1.41 | 1.41 |
0.75 | 1.00 | 0.97 | 1.09 | 0.99 | 0.95 | 1.04 | 1.02 | 0.65 | 0.66 |
0.73 | 0.25 | -0.33 | -0.17 | -0.39 | -0.52 | -0.32 | -0.31 | 0.05 | 0.30 |
8.80 | 4.98 | 5.04 | 4.41 | 4.51 | 3.85 | 2.57 | 2.90 | 4.38 | 5.25 |
1.00 | 1.16 | 0.99 | 1.17 | 1.23 | 1.00 | 1.20 | 1.29 | 0.95 | 0.90 |
-0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 | -0.08 |
1.22% | 3.72% | 3.58% | 4.46% | 3.39% | 2.96% | 3.57% | 3.62% | 0.25% | 0.82% |
1.55 | 1.24 | 1.15 | 1.13 | 1.07 | 1.02 | 0.99 | 0.97 | 1.00 | 1.03 |