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% |
520.64 |
14.70% |
0.65 |
0.17 |
-52.56% |
1.63 |
0.97 |
-0.60 |
1.34 |
0.98 |
-0.06 |
0.00% |
1.00 |
Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
9.02% | 11.01% | 10.49% | 11.38% | 10.04% | 9.28% | 9.79% | 9.71% | 6.28% | 6.60% |
540.55 | 844.68 | 753.21 | 914.20 | 682.81 | 573.88 | 644.66 | 632.85 | 270.10 | 294.88 |
26.77% | 20.51% | 18.51% | 18.15% | 17.15% | 16.34% | 15.83% | 16.02% | 17.12% | 18.79% |
0.45 | 0.61 | 0.63 | 0.69 | 0.65 | 0.63 | 0.67 | 0.66 | 0.44 | 0.43 |
0.13 | 0.18 | 0.21 | 0.24 | 0.22 | 0.21 | 0.22 | 0.21 | 0.11 | 0.11 |
-71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
1.51 | 1.68 | 1.69 | 1.76 | 1.70 | 1.65 | 1.70 | 1.68 | 1.41 | 1.41 |
0.74 | 0.99 | 0.97 | 1.09 | 1.00 | 0.95 | 1.04 | 1.03 | 0.66 | 0.66 |
0.74 | 0.25 | -0.33 | -0.17 | -0.40 | -0.52 | -0.32 | -0.31 | 0.05 | 0.30 |
8.87 | 4.96 | 5.03 | 4.44 | 4.57 | 3.86 | 2.60 | 2.94 | 4.38 | 5.31 |
1.00 | 1.16 | 1.01 | 1.20 | 1.22 | 1.00 | 1.20 | 1.32 | 0.94 | 0.91 |
-0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
0.78% | 3.42% | 3.31% | 4.18% | 3.26% | 2.75% | 3.36% | 3.44% | 0.18% | 0.60% |
1.54 | 1.24 | 1.14 | 1.12 | 1.06 | 1.02 | 0.99 | 0.97 | 1.00 | 1.02 |