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 |
| 9.17% |
| 414.05 |
| 14.12% |
| 0.69 |
| 0.17 |
| -52.56% |
| 1.71 |
| 1.03 |
| -0.69 |
| 2.08 |
| 1.00 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 10.94% | 12.24% | 11.80% | 12.45% | 11.30% | 10.24% | 10.36% | 10.33% | 7.67% | 8.13% |
| 594.31 | 762.55 | 701.84 | 793.58 | 637.21 | 516.76 | 529.95 | 526.54 | 296.98 | 330.31 |
| 27.11% | 20.55% | 18.46% | 18.09% | 17.05% | 16.09% | 15.62% | 15.84% | 17.10% | 19.01% |
| 0.52 | 0.67 | 0.70 | 0.74 | 0.72 | 0.69 | 0.71 | 0.70 | 0.52 | 0.51 |
| 0.15 | 0.20 | 0.23 | 0.26 | 0.25 | 0.23 | 0.23 | 0.22 | 0.14 | 0.14 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.62 | 1.80 | 1.82 | 1.88 | 1.84 | 1.77 | 1.78 | 1.77 | 1.52 | 1.51 |
| 0.85 | 1.08 | 1.07 | 1.18 | 1.11 | 1.04 | 1.10 | 1.08 | 0.79 | 0.79 |
| 0.76 | 0.24 | -0.41 | -0.22 | -0.49 | -0.62 | -0.38 | -0.37 | 0.06 | 0.35 |
| 9.67 | 5.80 | 6.07 | 5.31 | 5.62 | 5.00 | 3.38 | 3.77 | 5.28 | 5.78 |
| 1.12 | 1.04 | 1.03 | 1.00 | 1.24 | 0.97 | 1.22 | 1.41 | 0.96 | 0.89 |
| -0.12 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.06 | -0.07 | -0.07 | -0.08 |
| 1.67% | 3.88% | 3.96% | 4.60% | 3.92% | 3.20% | 3.44% | 3.56% | 0.98% | 1.47% |
| 1.61 | 1.28 | 1.17 | 1.15 | 1.08 | 1.03 | 1.00 | 0.99 | 1.03 | 1.07 |
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