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 |
| 8.23% |
| 412.34 |
| 14.67% |
| 0.61 |
| 0.16 |
| -52.56% |
| 1.59 |
| 0.91 |
| -0.61 |
| 1.43 |
| 0.95 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.17% | 11.09% | 10.62% | 11.30% | 9.75% | 9.01% | 9.56% | 9.31% | 6.03% | 6.42% |
| 512.73 | 778.91 | 705.35 | 814.75 | 583.86 | 494.71 | 559.61 | 529.04 | 235.50 | 261.91 |
| 26.99% | 20.62% | 18.59% | 18.23% | 17.24% | 16.42% | 15.87% | 16.07% | 17.15% | 18.98% |
| 0.46 | 0.61 | 0.64 | 0.68 | 0.63 | 0.61 | 0.66 | 0.64 | 0.43 | 0.42 |
| 0.13 | 0.18 | 0.21 | 0.23 | 0.21 | 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 | 1.69 | 1.70 | 1.76 | 1.68 | 1.63 | 1.68 | 1.65 | 1.40 | 1.40 |
| 0.74 | 1.00 | 0.97 | 1.08 | 0.97 | 0.92 | 1.01 | 0.98 | 0.64 | 0.64 |
| 0.74 | 0.25 | -0.34 | -0.19 | -0.41 | -0.52 | -0.33 | -0.32 | 0.05 | 0.30 |
| 8.92 | 5.05 | 5.16 | 4.52 | 4.64 | 3.95 | 2.70 | 3.03 | 4.57 | 5.27 |
| 0.99 | 1.12 | 0.95 | 1.11 | 1.21 | 0.98 | 1.21 | 1.22 | 0.91 | 0.89 |
| -0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 | -0.08 |
| 1.73% | 4.14% | 4.02% | 4.69% | 3.55% | 3.03% | 3.67% | 3.59% | 0.48% | 0.92% |
| 1.55 | 1.24 | 1.15 | 1.13 | 1.06 | 1.02 | 0.99 | 0.97 | 1.00 | 1.04 |
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