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 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.06% | 11.15% | 10.86% | 11.74% | 10.84% | 9.44% | 10.12% | 10.35% | 7.32% | 7.99% |
| 629.83 | 1026.78 | 961.78 | 1173.32 | 957.46 | 689.62 | 810.77 | 855.43 | 404.53 | 482.75 |
| 26.14% | 20.06% | 18.18% | 17.90% | 16.88% | 16.06% | 15.68% | 15.83% | 16.88% | 18.62% |
| 0.46 | 0.63 | 0.66 | 0.71 | 0.70 | 0.64 | 0.70 | 0.70 | 0.50 | 0.51 |
| 0.13 | 0.18 | 0.22 | 0.24 | 0.24 | 0.21 | 0.23 | 0.22 | 0.13 | 0.14 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.51 | 1.70 | 1.72 | 1.79 | 1.76 | 1.67 | 1.73 | 1.73 | 1.48 | 1.49 |
| 0.75 | 1.02 | 1.01 | 1.14 | 1.09 | 0.98 | 1.09 | 1.10 | 0.76 | 0.79 |
| 0.74 | 0.24 | -0.35 | -0.18 | -0.42 | -0.52 | -0.33 | -0.32 | 0.03 | 0.27 |
| 9.25 | 5.17 | 5.13 | 4.41 | 4.61 | 3.93 | 2.57 | 2.91 | 4.38 | 5.13 |
| 1.07 | 1.24 | 1.03 | 1.18 | 1.22 | 1.00 | 1.20 | 1.32 | 0.96 | 1.01 |
| -0.11 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| -0.46% | 2.53% | 2.71% | 3.57% | 3.07% | 2.03% | 2.83% | 3.17% | 0.25% | 0.94% |
| 1.52 | 1.22 | 1.13 | 1.11 | 1.06 | 1.01 | 0.98 | 0.97 | 1.00 | 1.03 |