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MOM: AGFiQ U.S. Market Neutral Momentum Fund (ETF)
Basic Info
Asset Class: | Market Neutral |
MyPlanIQ Rating: | Not Rated |
Start Date: | 09/07/2011 |
Last Dividend Date: | 12/20/2011 |
12-Mo. Yield | 0.00% |
Expenses | 2.58% |
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Performance Analytics (As of 03/29/2021)
Not up-to-date? TryLast 1 Week* | 1 Yr | 3 Yr | 5 Yr | Since 09/07/2011 |
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 0.0 | -24.6 | -5.3 | -3.6 | -1.3 | -14.6 | 9.6 | -6.9 | 3.9 | 4.5 | -17.6 | 18.6 | -8.4 | 5.2 | 8.1 | -7.5 |
Sharpe Ratio | NA | -0.69 | -0.21 | -0.18 | -0.07 | -2.18 | 0.26 | -0.48 | 0.07 | 0.27 | -0.84 | 0.54 | -0.6 | 0.4 | 0.34 | -1.09 |
Draw Down(%) | NA | 34.4 | 34.4 | 34.4 | 34.4 | 20.2 | 25.2 | 17.2 | 19.2 | 5.1 | 23.1 | 14.7 | 11.3 | 7.5 | 16.6 | 11.5 |
Standard Deviation(%) | NA | 35.9 | 29.7 | 24.7 | 23.4 | 22.5 | 36.2 | 17.2 | 33.8 | 14.5 | 21.2 | 34.6 | 14.2 | 12.8 | 23.8 | 20.1 |
Treynor Ratio | NA | -0.17 | -0.06 | -0.05 | -0.02 | 10.7 | 0.07 | -0.16 | 0.02 | 0.33 | -0.33 | 0.17 | -1.53 | 0.13 | 0.1 | 0.35 |
Alpha | NA | -0.09 | 0.02 | 0.01 | 0.01 | -0.25 | 0.13 | 0.0 | 0.03 | 0.02 | -0.07 | 0.07 | -0.03 | 0.01 | 0.05 | -0.1 |
Beta | NA | 1.44 | 1.07 | 0.84 | 0.77 | -0.05 | 1.42 | 0.53 | 1.05 | 0.12 | 0.54 | 1.1 | 0.06 | 0.4 | 0.85 | -0.63 |
RSquared | NA | 0.08 | 0.05 | 0.03 | 0.03 | 0.0 | 0.08 | 0.02 | 0.03 | 0.0 | 0.01 | 0.03 | 0.0 | 0.01 | 0.02 | 0.02 |
Yield(%) | N/A | 0.0 | 0.0 | 0.0 | N/A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.5 |
Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | -100.0 | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 09/07/2011
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