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P SPLV S and P Low Volatility Stocks With Momentum
P SPLV S and P Low Volatility Stocks With Momentum
(public) 0.29% February 26
Delayed
Holdings (As of 12/31/2014)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Asset0 | ROST (Ross Stores Inc) | 0.35% | 10.00% |
Asset1 | KR (Kroger Company) | 0.47% | 10.00% |
Asset2 | ORLY (O’Reilly Automotive Inc) | 0.79% | 10.00% |
Asset3 | TGT (Target Corporation) | 0.26% | 10.00% |
Asset4 | DLTR (Dollar Tree Inc) | 0.45% | 10.00% |
Asset5 | SHW (Sherwin-Williams Co) | 0.71% | 10.00% |
Asset6 | CVS (CVS Health Corp) | 1.25% | 10.00% |
Asset7 | HD (Home Depot Inc) | 0.67% | 10.00% |
Asset8 | PNW (Pinnacle West Capital Corp) | 1.57% | 10.00% |
Asset9 | TJX (The TJX Companies Inc) | 0.20% | 10.00% |
* Day change on 12/31/2014.
Performance (As of 02/26/2015)
Since 12/31/2000
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P SPLV S and P Low Volatility Stocks With Momentum | 1.0% | 19.4% | 27.9% | 22.1% | 11.2% | |
VFINX (Vanguard (S&P 500) Index) | 7.9% | 27.1% | 8.5% | 13.8% | 12.5% | 14.6% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 3.5% | 15.3% | 2.8% | 7.9% | 7.7% | 9.7% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | Since 01/02/2001 |
2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 0.0 | 19.4 | 27.9 | 22.1 | 11.2 | 8.3 | 1.0 | 27.1 | 41.3 | 20.7 | 6.5 | 17.3 | 6.4 | -20.1 | 6.9 | 12.6 | 6.1 | 1.6 | 23.8 | -17.2 | 0.2 |
Sharpe Ratio | NA | 1.63 | 2.2 | 1.62 | 0.64 | 0.45 | 0.07 | 2.19 | 3.2 | 1.76 | 0.4 | 1.19 | 0.36 | -0.74 | 0.25 | 0.97 | 0.33 | 0.06 | 1.38 | -0.92 | -0.12 |
Draw Down(%) | NA | 6.9 | 7.8 | 14.1 | 38.4 | 38.4 | 3.2 | 6.9 | 7.4 | 7.8 | 14.1 | 9.7 | 20.1 | 29.8 | 10.3 | 9.5 | 12.3 | 9.1 | 11.3 | 26.1 | 15.1 |
Standard Deviation(%) | NA | 11.9 | 12.6 | 13.6 | 15.9 | 16.1 | 14.9 | 12.4 | 12.9 | 11.7 | 16.3 | 14.4 | 17.7 | 28.6 | 15.2 | 9.6 | 11.9 | 10.3 | 16.7 | 19.8 | 17.7 |
Treynor Ratio | NA | 0.25 | 0.35 | 0.32 | 0.16 | 0.12 | 0.01 | 0.33 | 0.46 | 0.3 | 0.11 | 0.25 | 0.13 | -0.34 | 0.05 | 0.14 | 0.04 | 0.01 | 0.29 | -0.31 | -0.05 |
Alpha | NA | 0.03 | 0.05 | 0.04 | 0.03 | 0.02 | -0.02 | 0.06 | 0.05 | 0.04 | 0.02 | 0.03 | -0.02 | 0.03 | 0.01 | 0.01 | 0.01 | -0.02 | 0.01 | -0.01 | 0.02 |
Beta | NA | 0.76 | 0.8 | 0.69 | 0.64 | 0.63 | 0.74 | 0.82 | 0.9 | 0.7 | 0.62 | 0.68 | 0.48 | 0.62 | 0.83 | 0.68 | 0.91 | 0.71 | 0.8 | 0.6 | 0.47 |
RSquared | NA | 0.54 | 0.58 | 0.65 | 0.67 | 0.63 | 0.46 | 0.57 | 0.6 | 0.58 | 0.78 | 0.73 | 0.54 | 0.8 | 0.77 | 0.51 | 0.63 | 0.58 | 0.66 | 0.62 | 0.33 |
Sortino Ratio | NA | 2.46 | 3.27 | 2.34 | 0.9 | 0.64 | 0.1 | 3.32 | 4.6 | 2.65 | 0.55 | 1.71 | 0.49 | -1.03 | 0.33 | 1.41 | 0.44 | 0.09 | 2.07 | -1.28 | -0.17 |
Yield(%) | N/A | 2.58 | 2.59 | 2.65 | 2.32 | 2.05 | 0.34 | 2.74 | 2.46 | 2.92 | 2.91 | 2.5 | 2.63 | 1.61 | 1.8 | 1.53 | 1.91 | 2.34 | 0.91 | 0.97 | 1.13 |
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 | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Strategies
Asset Allocation Strategy | Momentum Scoring 2 |