Momentum & Value:¶
UMD-style long–short momentum:
- Signal: trailing m months excluding the most recent month (microstructure skip).
- Portfolio: long top-*x* and short bottom-*x* by the signal, with Equal-Weight (EW) and Value-Weight (VW) options.
- Rebalance: monthly.
AQR-style long-only momentum: AQR Momentum Index: https://www.aqr.com/Insights/Datasets/Momentum-Indices-Monthly
- Signal: trailing m months excluding the most recent month.
- Portfolio: long-only top fraction (default 1/3), EW and VW options.
- Rebalance: quarterly by default to mirror index methodology.
Value factor (EW):
- Default metric: Earnings Yield (E/P) derived from price_to_earnings.
- Portfolio: long high E/P and short low E/P (EW).
| ticker | AAPL | ABBV | ABT | ADM | ADP | AEE | AEP | AMD | AME | AMGN | ... | WDC | WEC | WM | WMB | WY | XEL | XOM | XYL | ZBH | ZTS |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024-01-31 | -0.042227 | 0.070976 | 0.032964 | -0.230407 | 0.054986 | -0.038291 | -0.037922 | 0.137575 | -0.017224 | 0.091105 | ... | 0.093183 | -0.040513 | 0.036460 | -0.004881 | -0.057521 | -0.032951 | 0.028306 | -0.016789 | 0.032046 | -0.046279 |
| 2024-02-29 | -0.018548 | 0.070864 | 0.048520 | -0.035405 | 0.021767 | 0.023286 | 0.102856 | 0.148130 | 0.111879 | -0.121869 | ... | 0.038777 | -0.017494 | 0.107849 | 0.036930 | 0.053525 | -0.119927 | 0.026163 | 0.133214 | -0.009873 | 0.056014 |
| 2024-03-31 | -0.051286 | 0.034365 | -0.041976 | 0.182640 | 0.000165 | 0.048535 | 0.010682 | -0.062536 | 0.016661 | 0.038308 | ... | 0.147469 | 0.046248 | 0.040166 | 0.098646 | 0.050581 | 0.030883 | 0.112132 | 0.017237 | 0.063194 | -0.146826 |
| 2024-04-30 | -0.006706 | -0.098334 | -0.062958 | -0.066072 | -0.031433 | -0.001217 | -0.000813 | -0.122500 | -0.045052 | -0.036508 | ... | 0.037954 | 0.006332 | -0.024068 | -0.015653 | -0.159844 | -0.000372 | 0.017464 | 0.011297 | -0.088650 | -0.056266 |
| 2024-05-31 | 0.130233 | -0.008608 | -0.035670 | 0.073298 | 0.012526 | -0.006769 | 0.059203 | 0.053795 | -0.029085 | 0.124467 | ... | 0.062968 | -0.009836 | 0.013028 | 0.082117 | -0.004640 | 0.032012 | -0.000535 | 0.078959 | -0.042650 | 0.064808 |
5 rows × 200 columns
| ticker | AAPL | ABBV | ABT | ADM | ADP | AEE | AEP | AMD | AME | AMGN | ... | WDC | WEC | WM | WMB | WY | XEL | XOM | XYL | ZBH | ZTS |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024-01-31 | 0.490041 | -0.002272 | 0.022640 | -0.203969 | -0.002427 | -0.160744 | -0.109725 | 1.275899 | 0.188080 | 0.134728 | ... | 0.659905 | -0.069978 | 0.161750 | 0.119481 | 0.181005 | -0.086932 | -0.062434 | 0.047822 | -0.038138 | 0.358991 |
| 2024-02-29 | 0.285091 | 0.157525 | 0.044305 | -0.313437 | 0.113247 | -0.173834 | -0.134462 | 1.231404 | 0.125720 | 0.288337 | ... | 0.302617 | -0.109840 | 0.220839 | 0.136822 | 0.002186 | -0.099814 | -0.083349 | 0.095208 | -0.006067 | 0.145111 |
| 2024-03-31 | 0.232682 | 0.190018 | 0.190026 | -0.314486 | 0.168475 | -0.112075 | 0.010087 | 1.450115 | 0.281374 | 0.221817 | ... | 0.545478 | -0.080541 | 0.397390 | 0.262614 | 0.132175 | -0.156239 | -0.014773 | 0.253542 | 0.011688 | 0.198319 |
| 2024-04-30 | 0.045424 | 0.188665 | 0.145253 | -0.189895 | 0.147368 | -0.115297 | -0.013007 | 0.841547 | 0.266650 | 0.215674 | ... | 0.811521 | -0.100229 | 0.327890 | 0.376993 | 0.226224 | -0.173762 | 0.098200 | 0.250183 | 0.029290 | 0.025815 |
| 2024-05-31 | 0.009161 | 0.120100 | -0.021138 | -0.228110 | 0.124588 | -0.141998 | -0.029068 | 0.772183 | 0.274480 | 0.181112 | ... | 1.056620 | -0.107525 | 0.273454 | 0.337522 | 0.037797 | -0.203251 | 0.035422 | 0.274777 | -0.124565 | -0.085310 |
5 rows × 200 columns
| UMD_LS_EW | UMD_LS_VW | AQR_LO_EW | AQR_LO_VW | VALUE_LS_EW | |
|---|---|---|---|---|---|
| 2024-01-31 | 0.065234 | 0.065235 | 0.030408 | 0.023142 | -0.027491 |
| 2024-02-29 | 0.076436 | 0.069813 | 0.047324 | 0.047602 | -0.039189 |
| 2024-03-31 | 0.009658 | -0.016238 | 0.038381 | 0.025756 | 0.029733 |
| 2024-04-30 | 0.019518 | 0.027387 | -0.056108 | -0.055568 | 0.003759 |
| 2024-05-31 | -0.004928 | -0.005938 | 0.029816 | 0.041782 | -0.015980 |
| Ann. Return | Ann. Vol | Sharpe | Skewness | Hit Rate | Avg Turnover (1w) | |
|---|---|---|---|---|---|---|
| UMD_LS_EW | -0.028312 | 0.264098 | -0.179739 | -0.619913 | 0.428571 | 0.543750 |
| UMD_LS_VW | 0.032158 | 0.258379 | 0.050769 | -0.595251 | 0.488095 | 0.678367 |
| AQR_LO_EW | 0.122248 | 0.162235 | 0.634983 | -0.077806 | 0.571429 | 0.321970 |
| AQR_LO_VW | 0.137373 | 0.165074 | 0.715593 | 0.264306 | 0.559524 | 0.359881 |
| VALUE_LS_EW | -0.132381 | 0.111633 | -1.350979 | -0.448396 | 0.321429 | 0.320683 |
| alpha | beta_mkt | |
|---|---|---|
| UMD_LS_EW | 0.048824 | -0.790342 |
| UMD_LS_VW | 0.092322 | -0.650893 |
| AQR_LO_EW | 0.003367 | 0.820169 |
| AQR_LO_VW | 0.018909 | 0.816742 |
| VALUE_LS_EW | -0.127339 | -0.198005 |
| alpha | beta_mkt | beta_smb | beta_hml | |
|---|---|---|---|---|
| UMD_LS_EW | 0.011302 | -0.657916 | -0.583836 | -0.255664 |
| UMD_LS_VW | 0.050552 | -0.489373 | -0.752848 | -0.103931 |
| AQR_LO_EW | 0.005746 | 0.822066 | -0.038100 | 0.148070 |
| AQR_LO_VW | 0.008440 | 0.855787 | -0.178199 | -0.044465 |
| VALUE_LS_EW | -0.120365 | -0.192546 | -0.110935 | 0.432727 |
| Mkt-RF | SMB | HML | |
|---|---|---|---|
| UMD_LS_EW | -0.529194 | -0.432790 | -0.234896 |
| UMD_LS_VW | -0.445594 | -0.442328 | -0.171482 |
| AQR_LO_EW | 0.891666 | 0.330435 | 0.164517 |
| AQR_LO_VW | 0.872664 | 0.197450 | -0.031018 |
| VALUE_LS_EW | -0.314886 | -0.045645 | 0.501792 |
| Ann. Return | Ann. Vol | Sharpe | Skewness | Hit Rate | |
|---|---|---|---|---|---|
| COMBO_LS_50_50 | -0.080346 | 0.154279 | -0.645593 | -1.459265 | 0.428571 |
| COMBO_LO_50_50 | 0.098146 | 0.165387 | 0.477076 | -0.259864 | 0.666667 |
| UMD_LS_VW | 0.032158 | 0.258379 | 0.050769 | -0.595251 | 0.488095 |
| AQR_LO_VW | 0.137373 | 0.165074 | 0.715593 | 0.264306 | 0.559524 |
| VALUE_LS_EW | -0.132381 | 0.111633 | -1.350979 | -0.448396 | 0.321429 |
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