Trend Momentum Factor - US

Overview

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:

  • - Short-term reversal effects
  • - Momentum effects
  • - Long-term reversal effects

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.

Data Highlights

Investors seeking meaningful patterns, for trend momentum we apply a trend analysis to a security's price and return.

Performance Showcase

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
5.20%
132.86
13.84%
0.44
0.10
-50.83%
1.42
0.63
-0.46
2.63
0.99
-0.06
0.00%
1.00
Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 Q10
11.13% 9.37% 9.58% 8.29% 7.98% 10.42% 9.96% 9.50% 6.12% 9.38%
480.91 344.71 359.71 277.24 259.37 422.11 386.74 353.75 169.03 345.56
19.53% 15.96% 14.21% 15.08% 14.92% 15.02% 15.65% 17.65% 19.62% 25.47%
0.64 0.64 0.72 0.61 0.59 0.74 0.69 0.60 0.40 0.47
0.19 0.17 0.21 0.17 0.16 0.22 0.20 0.18 0.10 0.15
-59.54% -54.77% -45.64% -47.80% -51.16% -47.49% -49.11% -52.23% -63.34% -63.90%
1.66 1.64 1.73 1.62 1.61 1.80 1.73 1.68 1.44 1.57
1.00 0.96 1.10 0.90 0.89 1.17 1.06 0.96 0.62 0.88
-0.18 -0.64 -0.53 -0.70 -0.46 -0.25 -0.28 0.31 0.54 2.07
4.63 3.26 2.15 4.52 3.19 4.09 3.13 4.83 6.37 12.82
1.07 1.05 1.12 1.21 1.31 1.00 0.95 0.94 0.93 1.04
-0.08 -0.07 -0.06 -0.06 -0.06 -0.06 -0.07 -0.07 -0.09 -0.11
5.12% 3.88% 4.40% 2.90% 2.58% 4.82% 4.26% 3.61% 0.13% 2.78%
1.22 1.06 0.96 1.03 1.03 1.04 1.08 1.16 1.28 1.52