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Advanced Strategies
P Momentum Scoring Style ETFs and Treasuries
P Momentum Scoring Style ETFs and Treasuries
live (public) 0.33% May 01
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 05/01/2024)
Since 01/01/2001
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Momentum Scoring Style ETFs and Treasuries | 4.4% | 20.5% | -1.4% | 7.5% | 5.9% | 8.7% |
VFINX (Vanguard (S&P 500) Index) | 5.6% | 22.1% | 7.5% | 13.0% | 12.3% | 14.4% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 1.8% | 12.7% | 2.1% | 7.4% | 7.6% | 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(%) | -0.9 | 4.4 | 20.5 | -1.4 | 7.5 | 5.9 | 8.7 | 8.9 | 8.4 | 19.7 | -24.5 | 12.6 | 34.3 | 8.7 | -4.6 | 12.2 | 11.7 | -11.0 | 8.6 | 38.9 | 10.2 | -1.4 | 6.1 | 17.8 | 4.5 | 5.0 | 14.0 | 10.5 | 17.2 | 35.9 | -9.5 | -3.3 |
Sharpe Ratio | NA | 0.22 | 1.27 | -0.24 | 0.36 | 0.32 | NA | NA | 0.48 | 1.21 | -1.65 | 0.6 | 1.79 | 0.66 | -0.34 | 1.03 | 0.85 | -0.81 | 0.68 | 2.82 | 1.07 | -0.07 | 0.29 | 1.03 | 0.38 | 0.13 | 0.76 | 0.7 | 1.05 | 2.11 | -0.8 | -0.56 |
Draw Down(%) | NA | 6.0 | 10.3 | 27.7 | 28.4 | 28.4 | NA | NA | 28.4 | 10.3 | 25.9 | 11.9 | 13.1 | 7.9 | 22.9 | 5.3 | 9.0 | 14.2 | 8.3 | 5.7 | 6.7 | 21.3 | 22.2 | 8.5 | 12.1 | 11.0 | 12.7 | 7.4 | 11.0 | 7.6 | 19.7 | 14.9 |
Standard Deviation(%) | NA | 14.2 | 13.1 | 15.1 | 16.6 | 15.1 | NA | NA | 15.0 | 12.7 | 15.6 | 21.0 | 19.1 | 11.1 | 17.5 | 11.2 | 13.6 | 13.6 | 12.7 | 13.8 | 9.5 | 20.9 | 20.9 | 17.2 | 9.3 | 15.7 | 14.1 | 12.0 | 15.4 | 16.7 | 13.3 | 10.0 |
Treynor Ratio | NA | 0.03 | 0.15 | -0.06 | 0.13 | 0.09 | NA | NA | 0.17 | 0.18 | -0.59 | 0.1 | 1.8 | 0.12 | -0.06 | 0.08 | 0.14 | -0.16 | 0.08 | 0.34 | 0.19 | -0.03 | 0.06 | 0.74 | -0.48 | 0.02 | 0.08 | 0.08 | 0.13 | 0.65 | -0.37 | -0.25 |
Alpha | NA | -0.02 | -0.01 | -0.03 | 0.01 | 0.0 | NA | NA | 0.02 | -0.01 | -0.08 | -0.07 | 0.11 | -0.04 | 0.0 | -0.06 | 0.01 | -0.05 | -0.02 | 0.01 | 0.01 | -0.01 | -0.03 | 0.04 | 0.0 | 0.0 | -0.02 | 0.02 | 0.02 | 0.07 | -0.02 | -0.01 |
Beta | NA | 1.18 | 1.09 | 0.64 | 0.44 | 0.56 | NA | NA | 0.43 | 0.85 | 0.44 | 1.26 | 0.19 | 0.63 | 0.97 | 1.42 | 0.8 | 0.7 | 1.06 | 1.13 | 0.53 | 0.54 | 0.98 | 0.24 | -0.07 | 0.93 | 1.29 | 1.06 | 1.21 | 0.54 | 0.28 | 0.22 |
RSquared | NA | 0.94 | 0.93 | 0.54 | 0.31 | 0.42 | NA | NA | 0.3 | 0.76 | 0.47 | 0.61 | 0.11 | 0.52 | 0.9 | 0.73 | 0.59 | 0.62 | 0.89 | 0.83 | 0.5 | 0.36 | 0.71 | 0.14 | 0.11 | 0.88 | 0.84 | 0.84 | 0.77 | 0.29 | 0.32 | 0.24 |
Sortino Ratio | NA | 0.33 | 1.86 | -0.33 | 0.48 | 0.43 | NA | NA | 0.66 | 1.76 | -2.05 | 0.85 | 2.38 | 0.86 | -0.44 | 1.46 | 1.17 | -1.04 | 0.92 | 4.17 | 1.62 | -0.09 | 0.39 | 1.5 | 0.51 | 0.17 | 1.09 | 0.97 | 1.47 | 3.13 | -1.09 | -0.76 |
Yield(%) | N/A | 0.26 | 1.58 | 1.51 | 1.27 | 1.32 | N/A | N/A | 1.53 | 1.62 | 1.79 | 1.02 | 0.89 | 1.13 | 1.43 | 1.11 | 1.5 | 1.18 | 1.5 | 1.5 | 2.17 | 1.08 | 1.04 | 1.97 | 3.03 | 1.72 | 1.72 | 1.68 | 1.67 | 1.12 | 0.92 | 2.2 |
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 |