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Advanced Investors
Advanced Strategies
P Momentum Scoring Style ETFs
P Momentum Scoring Style ETFs
live (public) 1.20% May 06
Delayed
Holdings (As of 03/28/2024)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Asset0 | IWF (iShares Russell 1000 Growth ETF) | 0.26% | 50.00% |
Asset1 | IWB (iShares Russell 1000 ETF) | 0.02% | 50.00% |
* Day change on 03/28/2024.
Performance (As of 05/06/2024)
Since 01/01/2001
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Momentum Scoring Style ETFs | 8.4% | 30.3% | 3.3% | 6.9% | 8.3% | 11.9% |
VFINX (Vanguard (S&P 500) Index) | 9.0% | 29.4% | 9.1% | 13.8% | 12.6% | 14.3% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 3.5% | 15.3% | 2.8% | 7.7% | 7.7% | 9.5% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 01/02/2001 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 1.8 | 8.4 | 30.3 | 3.3 | 6.9 | 8.3 | 11.9 | 8.4 | 8.0 | 17.2 | -14.3 | 12.6 | 4.6 | 31.1 | -3.8 | 11.3 | 19.6 | -5.3 | 8.6 | 38.9 | 16.5 | -1.4 | 23.7 | 25.2 | -40.9 | 4.7 | 14.0 | 10.4 | 17.2 | 40.3 | -14.9 | 0.4 |
Sharpe Ratio | NA | 0.5 | 1.97 | 0.05 | 0.2 | 0.34 | NA | NA | 0.31 | 0.85 | -0.71 | 0.6 | 0.1 | 2.12 | -0.28 | 0.95 | 1.29 | -0.34 | 0.68 | 2.82 | 1.24 | -0.06 | 1.05 | 0.85 | -0.96 | 0.11 | 0.76 | 0.69 | 1.05 | 1.96 | -0.66 | -0.09 |
Draw Down(%) | NA | 6.0 | 10.3 | 23.9 | 33.1 | 33.1 | NA | NA | 58.6 | 15.0 | 22.0 | 11.9 | 33.1 | 7.1 | 22.2 | 5.3 | 11.1 | 15.7 | 8.3 | 5.7 | 9.8 | 22.8 | 18.9 | 27.7 | 53.7 | 11.3 | 12.7 | 7.4 | 11.0 | 13.6 | 34.6 | 25.7 |
Standard Deviation(%) | NA | 14.4 | 13.5 | 18.2 | 26.1 | 21.2 | NA | NA | 21.9 | 15.2 | 22.2 | 21.0 | 45.2 | 14.0 | 18.2 | 11.3 | 15.1 | 15.8 | 12.7 | 13.8 | 13.2 | 26.2 | 22.6 | 29.3 | 43.3 | 16.3 | 14.1 | 12.0 | 15.4 | 20.3 | 24.2 | 22.3 |
Treynor Ratio | NA | 0.06 | 0.23 | 0.01 | 0.05 | 0.07 | NA | NA | 0.07 | 0.12 | -0.18 | 0.1 | 0.04 | 0.27 | -0.05 | 0.08 | 0.18 | -0.06 | 0.08 | 0.34 | 0.16 | -0.01 | 0.2 | 0.24 | -0.43 | 0.02 | 0.08 | 0.08 | 0.14 | 0.39 | -0.19 | -0.02 |
Alpha | NA | -0.02 | 0.01 | -0.01 | -0.01 | -0.01 | NA | NA | 0.01 | -0.03 | 0.01 | -0.07 | -0.03 | 0.0 | 0.01 | -0.06 | 0.03 | -0.02 | -0.01 | 0.02 | 0.01 | 0.0 | 0.03 | 0.0 | -0.01 | 0.0 | -0.01 | 0.03 | 0.02 | 0.04 | 0.03 | 0.05 |
Beta | NA | 1.18 | 1.13 | 0.97 | 1.0 | 1.01 | NA | NA | 1.01 | 1.09 | 0.89 | 1.25 | 0.99 | 1.09 | 1.02 | 1.42 | 1.08 | 0.97 | 1.05 | 1.13 | 1.02 | 1.08 | 1.2 | 1.03 | 0.98 | 0.97 | 1.28 | 1.08 | 1.2 | 1.02 | 0.85 | 0.98 |
RSquared | NA | 0.95 | 0.95 | 0.86 | 0.71 | 0.75 | NA | NA | 0.82 | 0.89 | 0.93 | 0.61 | 0.63 | 0.95 | 0.92 | 0.71 | 0.88 | 0.91 | 0.89 | 0.83 | 0.96 | 0.93 | 0.93 | 0.92 | 0.87 | 0.91 | 0.82 | 0.86 | 0.75 | 0.73 | 0.85 | 0.89 |
Sortino Ratio | NA | 0.75 | 2.98 | 0.08 | 0.25 | 0.43 | NA | NA | 0.42 | 1.18 | -0.97 | 0.85 | 0.11 | 3.02 | -0.36 | 1.34 | 1.82 | -0.45 | 0.92 | 4.17 | 1.89 | -0.07 | 1.48 | 1.2 | -1.24 | 0.14 | 1.09 | 0.96 | 1.47 | 2.9 | -0.91 | -0.12 |
Yield(%) | N/A | 0.26 | 1.48 | 1.44 | 1.16 | 1.3 | N/A | N/A | 1.41 | 1.37 | 1.73 | 1.02 | 0.74 | 0.89 | 1.37 | 1.1 | 2.02 | 1.13 | 1.5 | 1.5 | 2.21 | 1.04 | 1.74 | 1.36 | 1.08 | 1.38 | 1.72 | 1.58 | 1.67 | 1.16 | 1.43 | 1.44 |
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 | 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 01/01/2001
Strategies
Asset Allocation Strategy | Momentum Scoring |