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 |
| 7.95% |
| 267.21 |
| 13.39% |
| 0.64 |
| 0.15 |
| -52.56% |
| 1.63 |
| 0.93 |
| -0.80 |
| 2.21 |
| 1.01 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.56% | 11.24% | 11.35% | 12.82% | 11.26% | 9.91% | 9.50% | 9.88% | 6.90% | 6.67% |
| 372.45 | 511.99 | 521.68 | 677.02 | 513.83 | 398.20 | 367.94 | 395.87 | 211.03 | 199.54 |
| 23.87% | 18.62% | 16.75% | 16.60% | 15.56% | 14.58% | 14.53% | 14.90% | 16.32% | 18.59% |
| 0.50 | 0.67 | 0.73 | 0.81 | 0.77 | 0.72 | 0.70 | 0.71 | 0.49 | 0.44 |
| 0.13 | 0.18 | 0.23 | 0.27 | 0.25 | 0.22 | 0.21 | 0.21 | 0.12 | 0.11 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.56 | 1.76 | 1.82 | 1.95 | 1.89 | 1.77 | 1.74 | 1.77 | 1.49 | 1.44 |
| 0.81 | 1.08 | 1.11 | 1.34 | 1.25 | 1.12 | 1.08 | 1.11 | 0.75 | 0.68 |
| 0.47 | 0.21 | -0.57 | 0.09 | -0.01 | -0.29 | -0.35 | -0.23 | 0.21 | 0.46 |
| 6.61 | 4.54 | 5.34 | 4.04 | 4.27 | 3.05 | 2.78 | 4.02 | 6.33 | 7.05 |
| 1.06 | 1.09 | 1.15 | 1.08 | 1.16 | 0.92 | 1.04 | 1.18 | 0.90 | 0.87 |
| -0.10 | -0.08 | -0.07 | -0.07 | -0.06 | -0.06 | -0.06 | -0.06 | -0.07 | -0.08 |
| 1.87% | 4.16% | 4.64% | 5.90% | 4.84% | 3.84% | 3.50% | 3.88% | 1.00% | 0.65% |
| 1.53 | 1.25 | 1.14 | 1.14 | 1.07 | 1.01 | 1.01 | 1.01 | 1.06 | 1.14 |
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