Risk-adjusted momentum is similar to price momentum, except this factor takes into account the level of risk involved. This is done primarily because of the popularity of the momentum factor during periods of high volatility, and by taking into account volatility, we mitigate the momentum factor from suffering from swift changes in market direction.
| 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 |
| 9.37% |
| 678.46 |
| 14.47% |
| 0.69 |
| 0.18 |
| -52.56% |
| 1.68 |
| 1.04 |
| -0.61 |
| 1.40 |
| 0.99 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 9.80% | 10.12% | 7.98% | 8.80% | 9.45% | 10.23% | 10.25% | 9.85% | 10.45% | 11.77% |
| 751.93 | 811.47 | 481.10 | 590.33 | 691.31 | 831.60 | 836.02 | 760.53 | 874.58 | 1179.49 |
| 28.84% | 22.19% | 20.55% | 18.98% | 17.02% | 16.97% | 15.79% | 14.75% | 13.36% | 12.22% |
| 0.46 | 0.54 | 0.48 | 0.54 | 0.62 | 0.66 | 0.70 | 0.71 | 0.81 | 0.98 |
| 0.14 | 0.16 | 0.13 | 0.16 | 0.18 | 0.19 | 0.22 | 0.22 | 0.26 | 0.29 |
| -69.71% | -62.23% | -61.59% | -56.53% | -53.39% | -53.57% | -46.62% | -44.35% | -40.89% | -41.10% |
| 1.51 | 1.57 | 1.48 | 1.55 | 1.63 | 1.68 | 1.73 | 1.75 | 1.86 | 2.12 |
| 0.79 | 0.91 | 0.74 | 0.84 | 0.94 | 1.00 | 1.07 | 1.06 | 1.24 | 1.51 |
| 1.00 | 0.59 | 0.10 | -0.05 | -0.33 | -0.50 | -0.52 | -0.82 | -0.84 | -0.88 |
| 8.46 | 4.78 | 3.90 | 4.09 | 2.79 | 3.56 | 2.68 | 4.24 | 3.58 | 3.42 |
| 1.18 | 1.09 | 1.06 | 1.03 | 1.03 | 1.12 | 1.12 | 1.10 | 1.16 | 1.31 |
| -0.13 | -0.10 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.06 | -0.05 | -0.05 |
| -0.16% | 0.95% | -0.71% | 0.50% | 1.65% | 2.41% | 2.82% | 2.98% | 4.21% | 6.11% |
| 1.64 | 1.35 | 1.28 | 1.18 | 1.07 | 1.07 | 1.00 | 0.92 | 0.81 | 0.70 |