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 |
| 9.30% |
| 441.72 |
| 14.15% |
| 0.70 |
| 0.18 |
| -52.56% |
| 1.71 |
| 1.05 |
| -0.67 |
| 1.99 |
| 1.01 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 10.86% | 12.25% | 11.80% | 12.69% | 11.22% | 10.32% | 10.61% | 10.36% | 7.57% | 8.31% |
| 608.82 | 798.90 | 731.89 | 867.81 | 654.13 | 546.26 | 578.95 | 550.44 | 300.28 | 355.84 |
| 27.03% | 20.58% | 18.46% | 18.04% | 17.06% | 16.21% | 15.66% | 15.87% | 17.06% | 18.90% |
| 0.52 | 0.67 | 0.70 | 0.76 | 0.71 | 0.69 | 0.72 | 0.70 | 0.51 | 0.52 |
| 0.15 | 0.20 | 0.23 | 0.26 | 0.25 | 0.23 | 0.24 | 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% |
| 1.61 | 1.79 | 1.81 | 1.90 | 1.83 | 1.76 | 1.80 | 1.76 | 1.52 | 1.52 |
| 0.84 | 1.08 | 1.07 | 1.20 | 1.10 | 1.04 | 1.13 | 1.09 | 0.78 | 0.81 |
| 0.75 | 0.24 | -0.40 | -0.22 | -0.47 | -0.58 | -0.36 | -0.35 | 0.06 | 0.34 |
| 9.61 | 5.63 | 5.94 | 5.28 | 5.47 | 4.72 | 3.27 | 3.64 | 5.22 | 5.83 |
| 1.10 | 1.08 | 1.05 | 1.02 | 1.23 | 0.99 | 1.29 | 1.43 | 0.96 | 0.89 |
| -0.12 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.06 | -0.07 | -0.07 | -0.08 |
| 1.41% | 3.71% | 3.79% | 4.66% | 3.69% | 3.09% | 3.51% | 3.43% | 0.76% | 1.50% |
| 1.60 | 1.28 | 1.17 | 1.15 | 1.08 | 1.04 | 1.00 | 0.99 | 1.03 | 1.06 |
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