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 |
| 7.46% |
| 252.38 |
| 14.08% |
| 0.58 |
| 0.14 |
| -52.56% |
| 1.57 |
| 0.84 |
| -0.74 |
| 2.15 |
| 0.96 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 8.96% | 10.51% | 10.39% | 11.62% | 9.76% | 8.70% | 8.90% | 8.85% | 6.39% | 5.90% |
| 348.87 | 474.41 | 464.07 | 585.10 | 410.54 | 330.52 | 344.93 | 341.14 | 195.79 | 172.84 |
| 27.57% | 20.78% | 18.68% | 18.39% | 17.25% | 16.30% | 15.83% | 15.96% | 17.34% | 19.17% |
| 0.45 | 0.59 | 0.63 | 0.69 | 0.63 | 0.60 | 0.62 | 0.61 | 0.44 | 0.39 |
| 0.12 | 0.17 | 0.21 | 0.24 | 0.21 | 0.20 | 0.20 | 0.19 | 0.11 | 0.10 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.52 | 1.68 | 1.71 | 1.80 | 1.71 | 1.64 | 1.66 | 1.65 | 1.44 | 1.38 |
| 0.72 | 0.93 | 0.94 | 1.08 | 0.96 | 0.88 | 0.94 | 0.93 | 0.67 | 0.60 |
| 0.79 | 0.26 | -0.43 | -0.22 | -0.49 | -0.62 | -0.37 | -0.38 | 0.09 | 0.40 |
| 9.62 | 5.89 | 6.04 | 5.21 | 5.60 | 4.95 | 3.33 | 3.83 | 5.31 | 5.99 |
| 1.02 | 0.99 | 0.91 | 0.97 | 1.20 | 0.92 | 1.14 | 1.25 | 0.92 | 0.86 |
| -0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 | -0.08 |
| 1.72% | 3.83% | 4.07% | 5.20% | 3.81% | 2.99% | 3.28% | 3.35% | 0.97% | 0.61% |
| 1.64 | 1.29 | 1.18 | 1.17 | 1.09 | 1.04 | 1.01 | 1.00 | 1.04 | 1.08 |
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