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 |
| 7.76% |
| 351.25 |
| 14.77% |
| 0.58 |
| 0.15 |
| -52.56% |
| 1.55 |
| 0.85 |
| -0.60 |
| 1.39 |
| 0.94 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.25% | 11.25% | 10.60% | 11.37% | 9.92% | 9.12% | 9.54% | 9.40% | 6.14% | 6.44% |
| 495.36 | 757.91 | 662.29 | 777.07 | 572.97 | 481.12 | 527.97 | 512.62 | 232.27 | 251.89 |
| 27.24% | 20.77% | 18.76% | 18.37% | 17.35% | 16.51% | 15.96% | 16.07% | 17.20% | 19.09% |
| 0.46 | 0.62 | 0.63 | 0.68 | 0.63 | 0.61 | 0.65 | 0.64 | 0.43 | 0.42 |
| 0.13 | 0.18 | 0.21 | 0.24 | 0.22 | 0.20 | 0.21 | 0.20 | 0.11 | 0.11 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.52 | 1.70 | 1.69 | 1.76 | 1.69 | 1.64 | 1.68 | 1.66 | 1.41 | 1.40 |
| 0.74 | 1.00 | 0.96 | 1.07 | 0.97 | 0.92 | 1.01 | 0.98 | 0.65 | 0.64 |
| 0.73 | 0.24 | -0.35 | -0.20 | -0.42 | -0.54 | -0.34 | -0.35 | 0.06 | 0.30 |
| 8.76 | 5.02 | 5.07 | 4.47 | 4.63 | 3.97 | 2.70 | 3.12 | 4.64 | 5.28 |
| 0.99 | 1.10 | 0.93 | 1.09 | 1.22 | 0.97 | 1.21 | 1.16 | 0.91 | 0.89 |
| -0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 | -0.08 |
| 2.50% | 4.84% | 4.51% | 5.24% | 4.17% | 3.58% | 4.09% | 4.12% | 1.02% | 1.41% |
| 1.56 | 1.25 | 1.15 | 1.13 | 1.07 | 1.02 | 0.99 | 0.97 | 1.00 | 1.04 |
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