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 |
| 8.86% |
| 377.84 |
| 14.20% |
| 0.67 |
| 0.17 |
| -52.56% |
| 1.68 |
| 1.00 |
| -0.67 |
| 2.02 |
| 0.99 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 10.97% | 12.31% | 11.80% | 12.54% | 11.26% | 10.27% | 10.34% | 10.33% | 7.62% | 7.87% |
| 579.93 | 748.67 | 679.62 | 781.54 | 612.96 | 505.60 | 512.46 | 511.27 | 286.53 | 303.74 |
| 27.24% | 20.68% | 18.58% | 18.20% | 17.16% | 16.20% | 15.72% | 15.92% | 17.18% | 19.07% |
| 0.52 | 0.67 | 0.70 | 0.74 | 0.71 | 0.69 | 0.71 | 0.70 | 0.51 | 0.49 |
| 0.15 | 0.20 | 0.23 | 0.26 | 0.25 | 0.23 | 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% |
| 1.62 | 1.80 | 1.81 | 1.88 | 1.83 | 1.76 | 1.77 | 1.76 | 1.52 | 1.49 |
| 0.85 | 1.08 | 1.06 | 1.18 | 1.10 | 1.03 | 1.09 | 1.08 | 0.78 | 0.77 |
| 0.76 | 0.24 | -0.40 | -0.22 | -0.48 | -0.62 | -0.38 | -0.37 | 0.06 | 0.36 |
| 9.59 | 5.70 | 5.96 | 5.23 | 5.51 | 4.90 | 3.31 | 3.72 | 5.23 | 5.79 |
| 1.13 | 1.04 | 1.01 | 0.99 | 1.24 | 0.97 | 1.22 | 1.41 | 0.97 | 0.89 |
| -0.12 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| 2.16% | 4.31% | 4.29% | 5.01% | 4.19% | 3.52% | 3.70% | 3.83% | 1.22% | 1.53% |
| 1.62 | 1.28 | 1.17 | 1.16 | 1.09 | 1.03 | 1.01 | 0.99 | 1.03 | 1.07 |
Login
