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 |
| 8.29% |
| 369.66 |
| 14.28% |
| 0.63 |
| 0.16 |
| -52.56% |
| 1.62 |
| 0.93 |
| -0.66 |
| 1.81 |
| 0.98 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.72% | 11.44% | 10.90% | 11.86% | 10.33% | 9.63% | 10.15% | 10.17% | 7.03% | 7.63% |
| 505.14 | 718.63 | 645.82 | 781.76 | 574.45 | 496.28 | 553.06 | 556.29 | 273.70 | 317.00 |
| 26.94% | 20.50% | 18.50% | 18.00% | 17.06% | 16.19% | 15.67% | 15.85% | 17.01% | 18.82% |
| 0.48 | 0.63 | 0.66 | 0.72 | 0.66 | 0.65 | 0.70 | 0.69 | 0.48 | 0.48 |
| 0.14 | 0.18 | 0.22 | 0.25 | 0.23 | 0.22 | 0.23 | 0.22 | 0.12 | 0.13 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.56 | 1.73 | 1.73 | 1.83 | 1.75 | 1.70 | 1.75 | 1.74 | 1.48 | 1.48 |
| 0.78 | 1.02 | 0.99 | 1.13 | 1.02 | 0.98 | 1.08 | 1.07 | 0.73 | 0.75 |
| 0.76 | 0.26 | -0.38 | -0.20 | -0.45 | -0.56 | -0.35 | -0.35 | 0.07 | 0.35 |
| 9.56 | 5.59 | 5.71 | 5.17 | 5.31 | 4.60 | 3.15 | 3.55 | 5.17 | 5.81 |
| 1.03 | 1.09 | 0.96 | 1.04 | 1.20 | 0.98 | 1.24 | 1.38 | 0.95 | 0.89 |
| -0.12 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| 1.95% | 4.24% | 4.10% | 5.04% | 3.92% | 3.47% | 4.06% | 4.25% | 1.26% | 1.92% |
| 1.58 | 1.26 | 1.16 | 1.13 | 1.07 | 1.02 | 0.99 | 0.97 | 1.01 | 1.04 |
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