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 |
8.52% |
472.35 |
14.72% |
0.63 |
0.16 |
-52.56% |
1.61 |
0.94 |
-0.59 |
1.34 |
0.98 |
-0.06 |
0.00% |
1.00 |
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 |
8.99% | 11.01% | 8.88% | 10.07% | 10.23% | 10.05% | 7.37% | 8.28% | 7.93% | 8.86% |
527.64 | 827.49 | 513.73 | 673.67 | 699.43 | 671.19 | 355.87 | 445.54 | 409.05 | 511.96 |
26.88% | 28.70% | 30.43% | 32.12% | 27.32% | 27.17% | 28.85% | 30.79% | 29.01% | 27.77% |
0.45 | 0.50 | 0.42 | 0.45 | 0.49 | 0.49 | 0.39 | 0.41 | 0.41 | 0.44 |
0.12 | 0.16 | 0.12 | 0.13 | 0.15 | 0.14 | 0.10 | 0.11 | 0.10 | 0.13 |
-71.99% | -70.67% | -75.60% | -76.57% | -67.46% | -69.51% | -73.86% | -77.24% | -77.67% | -69.16% |
1.50 | 1.57 | 1.47 | 1.51 | 1.55 | 1.52 | 1.40 | 1.44 | 1.45 | 1.48 |
0.74 | 0.86 | 0.73 | 0.79 | 0.82 | 0.81 | 0.65 | 0.70 | 0.65 | 0.74 |
0.73 | 0.96 | 1.29 | 1.13 | 0.86 | 0.76 | 1.06 | 0.98 | 0.58 | 0.98 |
8.78 | 8.07 | 9.44 | 8.03 | 8.33 | 5.94 | 7.70 | 6.62 | 7.90 | 7.88 |
1.00 | 1.12 | 1.03 | 1.14 | 1.05 | 1.08 | 1.09 | 1.21 | 0.98 | 1.02 |
-0.12 | -0.12 | -0.13 | -0.14 | -0.12 | -0.12 | -0.13 | -0.14 | -0.13 | -0.12 |
1.25% | 3.03% | 1.14% | 2.29% | 2.58% | 2.41% | -0.09% | 0.74% | 0.13% | 1.39% |
1.55 | 1.62 | 1.67 | 1.74 | 1.54 | 1.53 | 1.59 | 1.67 | 1.66 | 1.54 |