Trend momentum takes a rolling average of the price and return used in price momentum, looking to identify patterns of momentum among equities.
The trend momentums are constructed with a cross-section regression approach that provides a unified framework incorporating information used in the three major price patterns:
Stocks that have high forecasted expected returns from the cross-section regression yield higher future returns on average, and stocks that have low forecasted expected returns tend to yield lower future returns on average.
Investors seeking meaningful patterns, for trend momentum we apply a trend analysis to a security's price and return.
The demonstration of trend momentum performance shows the comparison of different trend momentum portfolios. Portfolios were rebalanced monthly 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 |
| 8.77% |
| 497.21 |
| 14.71% |
| 0.65 |
| 0.17 |
| -52.56% |
| 1.63 |
| 0.96 |
| -0.60 |
| 1.37 |
| 0.98 |
| -0.06 |
| 0.00% |
| 1.00 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 10.60% | 8.62% | 9.10% | 8.68% | 8.84% | 10.20% | 10.58% | 10.34% | 7.17% | 10.55% |
| 751.03 | 478.98 | 536.93 | 486.13 | 504.66 | 687.44 | 748.08 | 709.65 | 335.27 | 741.81 |
| 21.32% | 17.91% | 15.81% | 16.66% | 16.32% | 16.67% | 17.28% | 18.39% | 20.27% | 26.26% |
| 0.58 | 0.55 | 0.63 | 0.59 | 0.60 | 0.67 | 0.67 | 0.63 | 0.44 | 0.51 |
| 0.18 | 0.16 | 0.20 | 0.18 | 0.17 | 0.21 | 0.22 | 0.20 | 0.11 | 0.17 |
| -59.54% | -54.46% | -45.40% | -48.43% | -50.73% | -47.64% | -48.95% | -52.00% | -64.03% | -63.64% |
| 1.60 | 1.55 | 1.64 | 1.60 | 1.61 | 1.71 | 1.71 | 1.68 | 1.46 | 1.58 |
| 0.93 | 0.82 | 0.95 | 0.88 | 0.92 | 1.03 | 1.05 | 0.99 | 0.69 | 0.90 |
| 0.33 | -0.55 | -0.60 | -0.44 | -0.34 | -0.46 | -0.22 | 0.02 | 0.32 | 1.47 |
| 6.30 | 5.43 | 3.72 | 4.61 | 2.96 | 4.94 | 3.33 | 3.85 | 4.65 | 9.76 |
| 1.11 | 1.15 | 1.15 | 1.19 | 1.24 | 1.04 | 1.01 | 0.98 | 1.17 | 1.12 |
| -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 | -0.09 | -0.11 |
| 3.41% | 2.11% | 2.99% | 2.27% | 2.45% | 3.68% | 3.82% | 3.57% | 0.27% | 2.90% |
| 1.23 | 1.08 | 0.97 | 1.03 | 1.02 | 1.03 | 1.07 | 1.10 | 1.20 | 1.44 |
