MOM004Factor HubMomentum FactorsMedium
Price Momentum Factor
Blends one-, three- and six-month returns into one multi-horizon momentum score.
Formula
PM = 0.2*R_1m + 0.3*R_3m + 0.5*R_6mPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
11.64%
Sharpe ratio
0.71
Max drawdown
-23.57%
Total return
200.75%
Cumulative performance（2016-09 … 2026-08）
2016 -3.3%2017 +0.3%2018 -11.6%2019 +13.0%2020 +60.8%2021 +3.0%2022 +37.5%2023 -12.5%2024 +8.1%2025 +22.3%2026 +17.8%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | PLD | Prologis | 0.997 |
| 2 | CDNS | Cadence | 0.649 |
| 3 | RIO | Rio Tinto | 0.582 |
| 4 | ISRG | Intuitive Surgical | 0.571 |
| 5 | PPG | PPG Industries | 0.564 |
| 6 | ZS | Zscaler | 0.535 |
| 7 | DD | DuPont | 0.524 |
| 8 | GIS | General Mills | 0.520 |
| 9 | PEG | Public Service Enterprise | 0.510 |
| 10 | CI | Cigna | 0.502 |
| 11 | NKE | Nike | 0.499 |
| 12 | GME | GameStop | 0.494 |
| 13 | SLB | SLB | 0.490 |
| 14 | CARR | Carrier Global | 0.463 |
| 15 | ABNB | Airbnb | 0.453 |
| 16 | CCI | Crown Castle | 0.445 |
| 17 | PFE | Pfizer | 0.414 |
| 18 | CHTR | Charter Communications | 0.408 |
| 19 | USB | U.S. Bancorp | 0.399 |
| 20 | VZ | Verizon | 0.388 |
| 21 | D | Dominion Energy | 0.384 |
| 22 | MAA | Mid-America Apartment | 0.380 |
| 23 | TRV | Travelers | 0.373 |
| 24 | ROKU | Roku | 0.348 |
| 25 | INTU | Intuit | 0.346 |
| 26 | SOFI | SoFi Technologies | 0.343 |
| 27 | LMT | Lockheed Martin | 0.331 |
| 28 | KMB | Kimberly-Clark | 0.317 |
| 29 | LNG | Cheniere Energy | 0.307 |
| 30 | TGT | Target | 0.300 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.