Price Momentum Factor — US

Short, medium & long term, breadth momentum

product_id price_momentum_factor_us · 4800+ stocks · daily refresh · since 2003-01-01 · 10 data columns · API/CSV

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Overview

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.

Data Highlights

Being aware of the reversal affect, when comparing breadth momentum (BM) and BM - skipping the most recent month, both the annual returns and cumulative return improve for BM - skipping the most recent month.
For those investors looking to avoid market correlation, when looking at the top quantile of each price momentum factor (including BM), the beta increases when the most recent month is skipped for all price momentum factors.

Performance

Statistics

Metric	Q1	Q2	Q3	Q4	Q5	Q6	Q7	Q8	Q9	Q10	SPY
CAGR	9.16%	10.81%	10.45%	11.57%	11.17%	9.25%	10.46%	10.40%	7.85%	8.71%	9.37%
Cumulative Return	701.93	1045.60	960.55	1246.33	1135.78	718.34	961.35	948.53	501.55	626.62	678.46
Annual Volatility	25.77%	19.83%	18.01%	17.71%	16.85%	15.99%	15.59%	15.70%	16.85%	18.73%	14.47%
Sharpe	0.47	0.62	0.65	0.71	0.72	0.64	0.72	0.71	0.53	0.54	0.69
Calmar	0.13	0.17	0.21	0.24	0.25	0.21	0.23	0.22	0.14	0.15	0.18
Max Drawdown	-71.99%	-62.50%	-50.43%	-48.17%	-45.45%	-44.61%	-44.89%	-46.97%	-56.62%	-58.32%	-52.56%
Omega	1.52	1.68	1.69	1.79	1.78	1.66	1.75	1.74	1.52	1.53	1.68
Sortino	0.76	1.00	0.99	1.13	1.12	0.96	1.13	1.11	0.81	0.85	1.04
Skew	0.75	0.26	-0.34	-0.18	-0.43	-0.52	-0.33	-0.33	0.01	0.25	-0.61
Kurtosis	9.52	5.25	5.16	4.47	4.48	3.86	2.53	2.93	4.23	4.77	1.40
Tail	1.09	1.27	1.05	1.19	1.22	0.98	1.21	1.35	1.01	1.05	0.99
Value At Risk	-0.11	-0.08	-0.08	-0.07	-0.07	-0.07	-0.06	-0.07	-0.07	-0.08	-0.06
Alpha	-0.44%	2.20%	2.38%	3.45%	3.34%	1.81%	3.14%	3.23%	0.64%	1.52%	0.00%
Beta	1.49	1.20	1.11	1.10	1.05	1.00	0.97	0.95	1.00	1.03	1.00

Data through 2026-10-26

Comparison

Statistics · Q1

Metric	Price Momentum 1	Price Momentum 3	Price Momentum 6	Price Momentum 12	Price Momentum 1 Skip	Price Momentum 3 Skip	Price Momentum 6 Skip	Price Momentum 12 Skip	Breadth Momentum	Breadth Momentum Skip
CAGR	9.16%	11.90%	8.94%	10.08%	11.87%	10.61%	7.56%	8.70%	7.87%	9.91%
Cumulative Return	701.93	1345.68	663.95	879.56	1336.55	997.12	464.74	625.13	503.99	843.18
Annual Volatility	25.77%	27.49%	29.24%	30.85%	26.40%	26.15%	27.80%	29.61%	27.77%	26.77%
Sharpe	0.47	0.54	0.43	0.46	0.56	0.51	0.40	0.43	0.41	0.48
Calmar	0.13	0.17	0.12	0.13	0.18	0.15	0.10	0.11	0.10	0.14
Max Drawdown	-71.99%	-70.67%	-75.60%	-76.57%	-67.46%	-69.51%	-73.86%	-77.24%	-77.67%	-69.16%
Omega	1.52	1.63	1.48	1.52	1.64	1.55	1.41	1.46	1.45	1.53
Sortino	0.76	0.93	0.74	0.80	0.93	0.86	0.66	0.72	0.66	0.81
Skew	0.75	0.97	1.31	1.15	0.83	0.76	1.06	0.98	0.61	0.96
Kurtosis	9.52	8.80	10.13	8.66	8.66	6.36	8.17	7.11	8.67	8.31
Tail	1.09	1.11	1.05	1.14	1.13	1.07	1.03	1.19	1.18	1.04
Value At Risk	-0.11	-0.12	-0.13	-0.13	-0.11	-0.11	-0.12	-0.13	-0.12	-0.12
Alpha	-0.44%	1.94%	-0.84%	0.20%	2.15%	1.05%	-1.82%	-0.88%	-1.81%	0.44%
Beta	1.49	1.56	1.61	1.67	1.50	1.48	1.54	1.61	1.58	1.49

Data through 2026-10-26

Data

Price momentum factors are available for all the tradable stock equities on the US stock exchanges, including major securities markets such as NYSE, Nasdaq and Dow Jones Industrial.

Coverage · top 10 sectors

Sector	Count	Type	Start date
Finance	1,133	Equities	2003-01-01
Health Technology	775	Equities	2003-01-01
Technology Services	392	Equities	2003-01-01
Electronic Technology	387	Equities	2003-01-01
Producer Manufacturing	304	Equities	2003-01-01
Consumer Services	286	Equities	2003-01-01
Non-Energy Minerals	237	Equities	2003-01-01
Energy Minerals	223	Equities	2003-01-01
Commercial Services	223	Equities	2003-01-01
Industrial Services	194	Equities	2003-01-01

Delivery & access

Price momentum factors are calculated daily for thousands of stocks.

This data is available via API and CSV download.

Sample data

Documentation

Approach

Price momentum (PM) looks at short, medium- and long-term returns. We consider PM at one month, three-months, six-months and twelve months.

We also produce PM skipping the most recent month. The reason that the most recent month is skipped is due to the short-term reversal effect associated with the momentum factor. This is based on the academic finding that previous winners (measured over the past month) do poorly the next month, while the previous losers (measured over the past month) do well the next month.

Finally, we also provide breadth momentum, which is the weighted combination of one-month, three-month, six-month, and twelve-month momentums.

Factors evaluated

Price momentum considers the price and returns. Analysis is considered primarily on the cadence over short term, medium term, and long term, and then again short term, medium term, and long term skipping one month.

Price momentum:

·Momentum 1-month
·Momentum 3-months
·Momentum 6-months
·Momentum 12-months

Price momentum (skip the most recent month):

·Momentum 1-month
·Momentum 3-months
·Momentum 6-months
·Momentum 12-months

For Breadth momentum, heavier weights are applied to the more recent months. We provide this composite factor both with and without skipping the most recent one month.

·Breadth momentum
·Breadth momentum skip the most recent month"

Methodology

We applied the aforementioned price momentum metrics to a universe of the largest 500 US equities by market capitalization and ranked each stock on its price momentum factor. We then divided the universe into 10 quantiles of stocks, with the top quantile (Q_10) representing stocks with the highest value of that factor and the bottom quantile (Q_1) representing the lowest value of that factor.

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