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Static Portfolio
Multi-factor Value Momentum Quality Low Volatility
Multi-factor Value Momentum Quality Low Volatility (Static Portfolio)
live (public) 0.06% April 24
Buy and Hold (Annually Rebalance)
Value VTV 25%
Momentum MTUM 25%
Quality QUAL 25%
LowVol USMV 25%
Simulated from 07/19/2013
Holdings (As of 04/24/2024)
Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Value | VTV (Vanguard Value Index Fund ETF Shares) | 0.07% | 25.68% |
Momentum | MTUM (iShares MSCI USA Momentum Factor ETF) | 0.46% | 24.18% |
Quality | QUAL (iShares MSCI USA Quality Factor ETF) | 0.07% | 28.30% |
LowVol | USMV (iShares MSCI USA Min Vol Factor ETF) | 0.22% | 21.84% |
* Day change on 04/24/2024.
Performance (As of 04/24/2024)
Since 07/19/2013
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
Multi-factor Value Momentum Quality Low Volatility | 8.2% | 20.1% | 6.0% | 10.6% | 11.5% | |
VFINX (Vanguard (S&P 500) Index) | 6.7% | 24.3% | 8.6% | 13.4% | 12.4% | 14.6% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 2.5% | 13.6% | 2.7% | 7.6% | 7.6% | 9.6% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | Since 07/19/2013 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 0.9 | 8.2 | 20.1 | 6.0 | 10.6 | 11.5 | 11.8 | 14.2 | -13.0 | 22.1 | 13.8 | 27.8 | -2.8 | 23.6 | 10.4 | 4.7 | 13.9 | 10.0 |
Sharpe Ratio | NA | 0.64 | 1.51 | 0.24 | 0.46 | 0.63 | 0.67 | 0.87 | -0.68 | 1.7 | 0.41 | 2.36 | -0.25 | 3.7 | 0.87 | 0.32 | 1.25 | 1.1 |
Draw Down(%) | NA | 5.3 | 8.3 | 22.3 | 34.4 | 34.4 | 34.4 | 8.3 | 22.0 | 5.8 | 34.4 | 5.4 | 17.9 | 1.9 | 8.4 | 10.5 | 6.6 | 4.3 |
Standard Deviation(%) | NA | 11.0 | 10.8 | 15.4 | 19.8 | 16.5 | 16.2 | 11.4 | 21.1 | 13.0 | 33.0 | 11.2 | 16.3 | 6.2 | 11.7 | 14.7 | 11.2 | 9.0 |
Treynor Ratio | NA | 0.08 | 0.18 | 0.04 | 0.1 | 0.11 | 0.12 | 0.12 | -0.17 | 0.23 | 0.14 | 0.3 | -0.04 | 0.25 | 0.12 | 0.05 | 0.14 | 0.11 |
Alpha | NA | 0.03 | 0.0 | 0.0 | 0.0 | 0.01 | 0.01 | -0.02 | 0.02 | -0.01 | -0.01 | 0.01 | 0.01 | 0.02 | 0.01 | 0.02 | 0.01 | 0.01 |
Beta | NA | 0.94 | 0.88 | 0.86 | 0.91 | 0.91 | 0.92 | 0.82 | 0.86 | 0.98 | 0.94 | 0.87 | 0.95 | 0.9 | 0.87 | 0.94 | 0.97 | 0.89 |
RSquared | NA | 0.96 | 0.93 | 0.95 | 0.97 | 0.97 | 0.97 | 0.89 | 0.97 | 0.96 | 0.98 | 0.95 | 0.99 | 0.94 | 0.95 | 0.98 | 0.98 | 0.95 |
Sortino Ratio | NA | 1.02 | 2.29 | 0.34 | 0.63 | 0.87 | 0.92 | 1.27 | -0.92 | 2.49 | 0.55 | 3.4 | -0.33 | 5.98 | 1.24 | 0.45 | 1.75 | 1.76 |
Yield(%) | N/A | 0.55 | 1.68 | 1.55 | 1.75 | 1.85 | 1.97 | 1.26 | 1.63 | 1.95 | 1.96 | 1.56 | 1.94 | 1.93 | 2.11 | 1.89 | 1.84 | 1.04 |
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 |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 07/19/2013
Strategies
Asset Allocation Strategy | Rebalance for Static Portfolios |