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 |
| 8.22% |
| 311.63 |
| 14.30% |
| 0.63 |
| 0.16 |
| -52.56% |
| 1.62 |
| 0.92 |
| -0.65 |
| 1.97 |
| 0.99 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 10.07% | 11.36% | 11.02% | 12.10% | 10.63% | 9.45% | 9.61% | 9.75% | 7.00% | 7.01% |
| 457.89 | 586.89 | 550.79 | 674.22 | 511.30 | 404.05 | 417.91 | 429.28 | 235.95 | 236.77 |
| 27.55% | 20.86% | 18.78% | 18.42% | 17.35% | 16.35% | 15.87% | 16.04% | 17.33% | 19.23% |
| 0.48 | 0.62 | 0.65 | 0.72 | 0.67 | 0.64 | 0.66 | 0.66 | 0.48 | 0.45 |
| 0.14 | 0.18 | 0.22 | 0.25 | 0.23 | 0.21 | 0.21 | 0.21 | 0.12 | 0.12 |
| -71.99% | -62.50% | -50.43% | -48.17% | -45.45% | -44.61% | -44.89% | -46.97% | -56.62% | -58.32% |
| 1.58 | 1.73 | 1.75 | 1.83 | 1.77 | 1.69 | 1.71 | 1.71 | 1.48 | 1.44 |
| 0.79 | 1.00 | 0.99 | 1.13 | 1.04 | 0.95 | 1.01 | 1.02 | 0.72 | 0.69 |
| 0.78 | 0.26 | -0.38 | -0.20 | -0.46 | -0.59 | -0.35 | -0.35 | 0.08 | 0.39 |
| 9.41 | 5.65 | 5.81 | 5.05 | 5.36 | 4.80 | 3.22 | 3.69 | 5.17 | 5.74 |
| 1.09 | 1.02 | 0.95 | 1.01 | 1.24 | 0.95 | 1.22 | 1.33 | 0.98 | 0.92 |
| -0.12 | -0.09 | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 | -0.08 |
| 1.95% | 3.94% | 4.04% | 5.05% | 4.04% | 3.16% | 3.42% | 3.67% | 1.03% | 1.13% |
| 1.62 | 1.28 | 1.17 | 1.16 | 1.09 | 1.03 | 1.00 | 0.99 | 1.03 | 1.07 |
Login
