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 |
| 9.37% |
| 678.46 |
| 14.47% |
| 0.69 |
| 0.18 |
| -52.56% |
| 1.68 |
| 1.04 |
| -0.61 |
| 1.40 |
| 0.99 |
| -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 |
| 9.06% | 11.46% | 9.29% | 10.52% | 10.91% | 10.51% | 7.78% | 8.74% | 8.11% | 9.57% |
| 629.83 | 1101.67 | 665.09 | 889.78 | 973.15 | 888.02 | 457.31 | 582.01 | 496.98 | 712.35 |
| 26.14% | 27.88% | 29.57% | 31.19% | 26.65% | 26.46% | 28.03% | 29.91% | 28.16% | 27.07% |
| 0.46 | 0.53 | 0.44 | 0.47 | 0.52 | 0.51 | 0.40 | 0.42 | 0.42 | 0.47 |
| 0.13 | 0.16 | 0.12 | 0.14 | 0.16 | 0.15 | 0.11 | 0.11 | 0.10 | 0.14 |
| -71.99% | -70.67% | -75.60% | -76.57% | -67.46% | -69.51% | -73.86% | -77.24% | -77.67% | -69.16% |
| 1.51 | 1.60 | 1.50 | 1.54 | 1.59 | 1.55 | 1.42 | 1.46 | 1.46 | 1.51 |
| 0.75 | 0.89 | 0.76 | 0.82 | 0.87 | 0.85 | 0.68 | 0.73 | 0.67 | 0.79 |
| 0.74 | 0.97 | 1.30 | 1.14 | 0.85 | 0.76 | 1.07 | 0.99 | 0.59 | 0.97 |
| 9.25 | 8.58 | 9.97 | 8.54 | 8.65 | 6.25 | 8.16 | 7.05 | 8.44 | 8.22 |
| 1.07 | 1.11 | 1.03 | 1.13 | 1.11 | 1.07 | 1.05 | 1.24 | 1.12 | 1.02 |
| -0.11 | -0.12 | -0.13 | -0.14 | -0.11 | -0.11 | -0.12 | -0.13 | -0.12 | -0.12 |
| -0.46% | 1.57% | -0.43% | 0.65% | 1.36% | 1.03% | -1.55% | -0.80% | -1.57% | 0.23% |
| 1.52 | 1.59 | 1.64 | 1.70 | 1.51 | 1.50 | 1.56 | 1.64 | 1.61 | 1.51 |