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 |
| 7.76% |
| 340.09 |
| 14.71% |
| 0.58 |
| 0.15 |
| -52.56% |
| 1.56 |
| 0.85 |
| -0.62 |
| 1.49 |
| 0.93 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 8.74% | 10.87% | 10.40% | 11.13% | 9.75% | 9.12% | 9.61% | 9.47% | 6.37% | 6.67% |
| 426.51 | 673.60 | 612.09 | 711.18 | 532.43 | 464.76 | 517.40 | 501.60 | 240.13 | 260.15 |
| 27.06% | 20.66% | 18.69% | 18.27% | 17.32% | 16.46% | 15.94% | 16.08% | 17.15% | 19.15% |
| 0.44 | 0.60 | 0.63 | 0.67 | 0.63 | 0.62 | 0.66 | 0.65 | 0.45 | 0.43 |
| 0.12 | 0.17 | 0.21 | 0.23 | 0.21 | 0.20 | 0.21 | 0.20 | 0.11 | 0.11 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.50 | 1.68 | 1.68 | 1.75 | 1.68 | 1.65 | 1.69 | 1.67 | 1.43 | 1.42 |
| 0.71 | 0.97 | 0.95 | 1.05 | 0.96 | 0.92 | 1.01 | 0.99 | 0.67 | 0.66 |
| 0.73 | 0.24 | -0.36 | -0.21 | -0.43 | -0.55 | -0.35 | -0.35 | 0.06 | 0.30 |
| 9.18 | 5.27 | 5.28 | 4.71 | 4.79 | 4.14 | 2.81 | 3.20 | 4.81 | 5.31 |
| 0.96 | 1.06 | 0.92 | 1.00 | 1.22 | 0.95 | 1.22 | 1.14 | 0.92 | 0.91 |
| -0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| 2.08% | 4.54% | 4.38% | 5.07% | 4.04% | 3.61% | 4.17% | 4.19% | 1.27% | 1.65% |
| 1.56 | 1.25 | 1.15 | 1.13 | 1.07 | 1.02 | 0.99 | 0.97 | 1.00 | 1.04 |
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