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 |
| 6.45% |
| 193.76 |
| 13.84% |
| 0.52 |
| 0.12 |
| -52.56% |
| 1.50 |
| 0.74 |
| -0.86 |
| 2.11 |
| 0.93 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 6.06% | 8.49% | 8.68% | 10.14% | 8.51% | 7.33% | 7.52% | 7.73% | 4.86% | 4.66% |
| 175.98 | 307.85 | 320.55 | 429.48 | 308.97 | 238.84 | 249.20 | 260.98 | 126.67 | 119.40 |
| 25.36% | 19.69% | 17.85% | 17.79% | 16.85% | 15.80% | 15.30% | 15.65% | 16.93% | 18.97% |
| 0.36 | 0.51 | 0.56 | 0.64 | 0.57 | 0.53 | 0.55 | 0.56 | 0.37 | 0.33 |
| 0.08 | 0.14 | 0.17 | 0.21 | 0.19 | 0.16 | 0.17 | 0.16 | 0.09 | 0.08 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.38 | 1.56 | 1.60 | 1.71 | 1.63 | 1.54 | 1.56 | 1.57 | 1.35 | 1.31 |
| 0.53 | 0.77 | 0.79 | 0.96 | 0.84 | 0.75 | 0.80 | 0.82 | 0.53 | 0.50 |
| -0.09 | -0.22 | -0.91 | -0.48 | -0.66 | -0.88 | -0.63 | -0.48 | 0.01 | 0.40 |
| 7.13 | 5.11 | 5.66 | 5.36 | 5.97 | 5.07 | 3.26 | 4.10 | 5.85 | 6.39 |
| 0.96 | 0.96 | 0.88 | 0.95 | 1.09 | 0.83 | 0.91 | 0.98 | 0.83 | 0.81 |
| -0.11 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| 1.36% | 3.81% | 4.15% | 5.44% | 4.11% | 3.14% | 3.38% | 3.62% | 0.90% | 0.82% |
| 1.56 | 1.27 | 1.17 | 1.17 | 1.11 | 1.05 | 1.02 | 1.02 | 1.06 | 1.11 |
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