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 |
| 7.75% |
| 271.79 |
| 14.09% |
| 0.60 |
| 0.15 |
| -52.56% |
| 1.59 |
| 0.87 |
| -0.74 |
| 2.13 |
| 0.95 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.17% | 10.72% | 10.59% | 11.80% | 10.07% | 9.01% | 9.11% | 9.17% | 6.72% | 6.21% |
| 367.99 | 499.68 | 486.97 | 610.31 | 440.71 | 356.05 | 362.86 | 367.60 | 213.62 | 188.50 |
| 27.52% | 20.75% | 18.65% | 18.36% | 17.25% | 16.30% | 15.81% | 15.97% | 17.35% | 19.16% |
| 0.45 | 0.60 | 0.64 | 0.70 | 0.65 | 0.61 | 0.63 | 0.63 | 0.46 | 0.41 |
| 0.13 | 0.17 | 0.21 | 0.24 | 0.22 | 0.20 | 0.20 | 0.20 | 0.12 | 0.11 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.53 | 1.70 | 1.72 | 1.82 | 1.74 | 1.66 | 1.67 | 1.67 | 1.46 | 1.40 |
| 0.74 | 0.95 | 0.95 | 1.10 | 0.98 | 0.91 | 0.96 | 0.96 | 0.70 | 0.63 |
| 0.78 | 0.25 | -0.44 | -0.23 | -0.50 | -0.62 | -0.38 | -0.38 | 0.08 | 0.38 |
| 9.65 | 5.90 | 6.06 | 5.24 | 5.57 | 4.92 | 3.33 | 3.80 | 5.26 | 5.96 |
| 1.03 | 0.99 | 0.91 | 0.97 | 1.20 | 0.92 | 1.14 | 1.27 | 0.91 | 0.86 |
| -0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 | -0.08 |
| 1.52% | 3.71% | 3.96% | 5.07% | 3.82% | 3.01% | 3.21% | 3.39% | 1.01% | 0.63% |
| 1.64 | 1.29 | 1.18 | 1.17 | 1.09 | 1.04 | 1.01 | 1.00 | 1.04 | 1.08 |
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