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 |
| 5.20% |
| 132.86 |
| 13.84% |
| 0.44 |
| 0.10 |
| -50.83% |
| 1.42 |
| 0.63 |
| -0.46 |
| 2.63 |
| 0.99 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 8.53% | 10.99% | 10.58% | 12.30% | 10.87% | 9.27% | 8.87% | 9.14% | 6.49% | 5.98% |
| 291.24 | 468.87 | 434.66 | 591.51 | 458.65 | 337.95 | 312.43 | 329.44 | 185.17 | 163.23 |
| 24.00% | 18.73% | 16.91% | 16.77% | 15.64% | 14.68% | 14.67% | 14.98% | 16.33% | 18.74% |
| 0.46 | 0.65 | 0.68 | 0.78 | 0.74 | 0.68 | 0.66 | 0.66 | 0.47 | 0.40 |
| 0.12 | 0.18 | 0.21 | 0.25 | 0.24 | 0.21 | 0.20 | 0.19 | 0.12 | 0.10 |
| -71.99% | -62.35% | -51.12% | -48.81% | -45.39% | -44.50% | -43.97% | -47.27% | -55.83% | -58.62% |
| 1.50 | 1.74 | 1.75 | 1.90 | 1.85 | 1.71 | 1.68 | 1.70 | 1.46 | 1.39 |
| 0.74 | 1.05 | 1.03 | 1.28 | 1.20 | 1.05 | 1.01 | 1.03 | 0.71 | 0.62 |
| 0.50 | 0.23 | -0.56 | 0.11 | -0.00 | -0.26 | -0.30 | -0.21 | 0.25 | 0.48 |
| 6.60 | 4.52 | 5.22 | 3.95 | 4.25 | 3.00 | 2.74 | 3.99 | 6.47 | 6.92 |
| 1.06 | 1.08 | 1.13 | 1.06 | 1.19 | 0.93 | 1.08 | 1.21 | 0.88 | 0.84 |
| -0.10 | -0.08 | -0.07 | -0.07 | -0.06 | -0.06 | -0.06 | -0.06 | -0.07 | -0.08 |
| 1.82% | 4.65% | 4.60% | 6.08% | 5.10% | 3.84% | 3.49% | 3.79% | 1.23% | 0.68% |
| 1.53 | 1.25 | 1.15 | 1.15 | 1.07 | 1.01 | 1.01 | 1.01 | 1.06 | 1.14 |
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