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 |
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 |
9.40% | 11.39% | 9.18% | 10.33% | 10.50% | 10.29% | 7.65% | 8.54% | 8.31% | 9.17% |
574.52 | 890.27 | 545.83 | 707.59 | 733.95 | 701.65 | 378.61 | 470.29 | 445.08 | 545.32 |
26.87% | 28.71% | 30.46% | 32.16% | 27.35% | 27.20% | 28.88% | 30.83% | 29.02% | 27.80% |
0.47 | 0.52 | 0.43 | 0.46 | 0.50 | 0.49 | 0.39 | 0.41 | 0.42 | 0.45 |
0.13 | 0.16 | 0.12 | 0.13 | 0.16 | 0.15 | 0.10 | 0.11 | 0.11 | 0.13 |
-71.99% | -70.67% | -75.60% | -76.57% | -67.46% | -69.51% | -73.86% | -77.24% | -77.67% | -69.16% |
1.53 | 1.59 | 1.49 | 1.52 | 1.57 | 1.53 | 1.41 | 1.45 | 1.46 | 1.49 |
0.76 | 0.88 | 0.75 | 0.80 | 0.83 | 0.83 | 0.66 | 0.71 | 0.67 | 0.76 |
0.73 | 0.96 | 1.28 | 1.12 | 0.85 | 0.76 | 1.06 | 0.97 | 0.57 | 0.97 |
8.81 | 8.09 | 9.42 | 8.00 | 8.31 | 5.92 | 7.69 | 6.60 | 7.92 | 7.87 |
1.00 | 1.13 | 1.03 | 1.14 | 1.05 | 1.08 | 1.09 | 1.21 | 0.98 | 1.02 |
-0.12 | -0.12 | -0.13 | -0.14 | -0.12 | -0.12 | -0.13 | -0.14 | -0.13 | -0.12 |
1.29% | 3.04% | 1.05% | 2.16% | 2.49% | 2.29% | -0.17% | 0.62% | 0.13% | 1.34% |
1.55 | 1.62 | 1.68 | 1.74 | 1.54 | 1.53 | 1.59 | 1.68 | 1.66 | 1.54 |