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 |
8.77% |
497.21 |
14.71% |
0.65 |
0.17 |
-52.56% |
1.63 |
0.96 |
-0.60 |
1.37 |
0.98 |
-0.06 |
0.00% |
1.00 |
Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
9.40% | 11.27% | 10.77% | 11.65% | 10.11% | 9.47% | 9.93% | 9.76% | 6.31% | 6.72% |
574.52 | 866.90 | 779.08 | 940.33 | 673.97 | 583.35 | 647.36 | 623.38 | 266.97 | 298.56 |
26.87% | 20.54% | 18.56% | 18.22% | 17.23% | 16.40% | 15.88% | 16.07% | 17.17% | 18.86% |
0.47 | 0.62 | 0.65 | 0.70 | 0.65 | 0.64 | 0.68 | 0.66 | 0.44 | 0.44 |
0.13 | 0.18 | 0.21 | 0.24 | 0.22 | 0.21 | 0.22 | 0.21 | 0.11 | 0.12 |
-71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
1.53 | 1.70 | 1.70 | 1.78 | 1.70 | 1.66 | 1.71 | 1.68 | 1.42 | 1.42 |
0.76 | 1.01 | 0.99 | 1.11 | 1.00 | 0.96 | 1.05 | 1.03 | 0.67 | 0.67 |
0.73 | 0.25 | -0.34 | -0.18 | -0.40 | -0.52 | -0.33 | -0.31 | 0.05 | 0.29 |
8.81 | 4.99 | 5.03 | 4.41 | 4.52 | 3.86 | 2.59 | 2.92 | 4.38 | 5.27 |
1.00 | 1.16 | 1.00 | 1.18 | 1.22 | 1.00 | 1.20 | 1.30 | 0.95 | 0.91 |
-0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
1.29% | 3.80% | 3.69% | 4.54% | 3.43% | 3.03% | 3.59% | 3.60% | 0.33% | 0.83% |
1.55 | 1.24 | 1.15 | 1.13 | 1.07 | 1.02 | 0.99 | 0.97 | 1.00 | 1.03 |