Price Momentum Factor - US

Overview

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.

Data Highlights

  1. Being aware of the reversal affect, when comparing breadth momentum (BM) and BM - skipping the most recent month, both the annual returns and cumulative return improve for BM - skipping the most recent month.
  2. For those investors looking to avoid market correlation, when looking at the top quantile of each price momentum factor (including BM), the beta increases when the most recent month is skipped for all price momentum factors.

Performance Showcase

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
7.64%
245.25
13.43%
0.62
0.15
-52.56%
1.61
0.90
-0.78
2.18
1.01
-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
9.24% 11.72% 9.72% 9.87% 9.44% 10.38% 8.57% 7.66% 8.66% 8.86%
345.99 551.56 380.07 391.58 360.20 431.74 302.10 248.61 307.45 320.75
23.91% 26.19% 28.57% 29.41% 25.61% 25.49% 27.61% 28.82% 25.98% 25.83%
0.49 0.55 0.46 0.46 0.48 0.51 0.43 0.39 0.45 0.45
0.13 0.17 0.13 0.13 0.14 0.15 0.12 0.10 0.11 0.13
-71.99% -70.66% -75.60% -76.58% -67.46% -69.52% -73.86% -77.24% -77.67% -69.16%
1.54 1.63 1.53 1.53 1.53 1.56 1.47 1.43 1.49 1.49
0.78 0.95 0.79 0.81 0.80 0.86 0.75 0.68 0.72 0.77
0.48 1.11 1.41 1.36 1.19 0.92 1.48 1.25 0.52 1.27
6.60 7.20 10.51 8.89 8.77 6.90 9.68 8.16 5.67 9.07
1.06 1.06 0.98 1.12 0.93 0.96 0.96 1.09 1.13 0.92
-0.10 -0.11 -0.12 -0.13 -0.11 -0.11 -0.12 -0.13 -0.11 -0.11
1.86% 4.01% 2.18% 2.41% 2.03% 2.91% 1.24% 0.35% 1.18% 1.69%
1.53 1.61 1.70 1.73 1.58 1.57 1.65 1.71 1.62 1.55