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 |
| 8.22% |
| 369.45 |
| 14.49% |
| 0.62 |
| 0.16 |
| -52.56% |
| 1.61 |
| 0.91 |
| -0.63 |
| 1.66 |
| 0.95 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.49% | 11.53% | 10.85% | 11.83% | 10.23% | 9.56% | 10.06% | 9.90% | 6.79% | 6.96% |
| 490.55 | 747.95 | 652.39 | 792.70 | 573.58 | 497.92 | 553.25 | 535.07 | 261.89 | 273.69 |
| 27.03% | 20.60% | 18.67% | 18.10% | 17.13% | 16.31% | 15.75% | 15.96% | 17.07% | 19.02% |
| 0.47 | 0.63 | 0.65 | 0.71 | 0.66 | 0.64 | 0.69 | 0.67 | 0.47 | 0.45 |
| 0.13 | 0.18 | 0.22 | 0.25 | 0.23 | 0.21 | 0.22 | 0.21 | 0.12 | 0.12 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.54 | 1.73 | 1.72 | 1.81 | 1.73 | 1.69 | 1.74 | 1.71 | 1.46 | 1.44 |
| 0.76 | 1.03 | 0.99 | 1.13 | 1.01 | 0.97 | 1.07 | 1.04 | 0.71 | 0.69 |
| 0.74 | 0.26 | -0.37 | -0.19 | -0.45 | -0.55 | -0.35 | -0.36 | 0.06 | 0.30 |
| 9.33 | 5.39 | 5.40 | 4.97 | 5.13 | 4.38 | 3.02 | 3.39 | 5.02 | 5.58 |
| 0.99 | 1.12 | 0.92 | 1.09 | 1.18 | 0.98 | 1.24 | 1.28 | 0.93 | 0.87 |
| -0.12 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| 1.89% | 4.44% | 4.13% | 5.11% | 3.93% | 3.48% | 4.07% | 4.07% | 1.13% | 1.37% |
| 1.57 | 1.26 | 1.16 | 1.13 | 1.07 | 1.02 | 0.99 | 0.97 | 1.00 | 1.04 |
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