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 |
| 8.40% |
| 333.17 |
| 14.23% |
| 0.64 |
| 0.16 |
| -52.56% |
| 1.64 |
| 0.94 |
| -0.66 |
| 2.00 |
| 0.99 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 10.62% | 11.72% | 11.30% | 12.09% | 10.84% | 9.78% | 10.02% | 10.34% | 7.45% | 7.75% |
| 525.71 | 648.25 | 599.86 | 694.72 | 548.26 | 444.76 | 466.50 | 497.53 | 269.05 | 288.35 |
| 27.41% | 20.74% | 18.67% | 18.30% | 17.25% | 16.26% | 15.80% | 16.00% | 17.28% | 19.18% |
| 0.50 | 0.64 | 0.67 | 0.72 | 0.69 | 0.66 | 0.69 | 0.70 | 0.50 | 0.49 |
| 0.15 | 0.19 | 0.22 | 0.25 | 0.24 | 0.22 | 0.22 | 0.22 | 0.13 | 0.13 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.60 | 1.76 | 1.77 | 1.84 | 1.79 | 1.72 | 1.74 | 1.76 | 1.51 | 1.48 |
| 0.83 | 1.03 | 1.02 | 1.13 | 1.06 | 0.99 | 1.06 | 1.08 | 0.76 | 0.75 |
| 0.77 | 0.25 | -0.39 | -0.20 | -0.47 | -0.60 | -0.37 | -0.37 | 0.07 | 0.36 |
| 9.47 | 5.71 | 5.90 | 5.16 | 5.44 | 4.88 | 3.26 | 3.68 | 5.15 | 5.71 |
| 1.11 | 1.03 | 0.98 | 1.00 | 1.24 | 0.96 | 1.22 | 1.37 | 0.97 | 0.91 |
| -0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| 2.23% | 4.09% | 4.14% | 4.88% | 4.08% | 3.33% | 3.66% | 4.08% | 1.32% | 1.68% |
| 1.62 | 1.28 | 1.17 | 1.16 | 1.09 | 1.03 | 1.01 | 0.99 | 1.03 | 1.07 |
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