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P Momentum Scoring Factor ETFs Momentum Value Low Volatility Quality
P Momentum Scoring Factor ETFs Momentum Value Low Volatility Quality
live (public) 0.61% April 18
Delayed
Holdings (As of 02/29/2024)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Asset0 | MTUM (iShares MSCI USA Momentum Factor ETF) | 1.08% | 100.00% |
* Day change on 02/29/2024.
Performance (As of 04/18/2024)
Since 07/19/2013
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Momentum Scoring Factor ETFs Momentum Value Low Volatility Quality | 10.1% | 30.1% | 11.9% | 17.2% | 16.5% | |
VFINX (Vanguard (S&P 500) Index) | 5.5% | 22.3% | 7.7% | 13.3% | 12.5% | 14.5% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 1.5% | 12.4% | 2.1% | 7.5% | 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(%) | -4.9 | 10.1 | 30.1 | 11.9 | 17.2 | 16.5 | 16.4 | 18.2 | -2.1 | 23.4 | 24.3 | 27.9 | 1.0 | 29.8 | 16.1 | 6.3 | 17.0 | 8.1 |
Sharpe Ratio | NA | 0.5 | 1.83 | 0.62 | 0.75 | 0.87 | 0.89 | 1.07 | -0.18 | 1.55 | 0.67 | 2.74 | -0.02 | 3.36 | 1.4 | 0.41 | 1.46 | 0.81 |
Draw Down(%) | NA | 5.8 | 8.8 | 17.0 | 34.1 | 34.1 | 34.1 | 8.8 | 17.0 | 9.2 | 34.1 | 4.0 | 18.0 | 3.4 | 7.5 | 10.8 | 8.6 | 5.0 |
Standard Deviation(%) | NA | 18.0 | 14.4 | 15.5 | 21.0 | 17.7 | 17.3 | 13.0 | 18.7 | 15.1 | 35.9 | 9.7 | 19.3 | 8.7 | 11.4 | 15.4 | 11.6 | 10.0 |
Treynor Ratio | NA | 0.06 | 0.23 | 0.12 | 0.17 | 0.17 | 0.17 | 0.15 | -0.05 | 0.24 | 0.25 | 0.4 | 0.0 | 0.25 | 0.2 | 0.07 | 0.17 | 0.08 |
Alpha | NA | 0.04 | 0.02 | 0.02 | 0.02 | 0.03 | 0.02 | -0.02 | 0.05 | -0.01 | 0.03 | 0.03 | 0.03 | 0.02 | 0.03 | 0.03 | 0.02 | -0.01 |
Beta | NA | 1.39 | 1.13 | 0.82 | 0.9 | 0.91 | 0.91 | 0.93 | 0.72 | 0.98 | 0.97 | 0.66 | 1.05 | 1.17 | 0.78 | 0.94 | 0.98 | 1.0 |
RSquared | NA | 0.78 | 0.85 | 0.82 | 0.83 | 0.84 | 0.84 | 0.88 | 0.87 | 0.72 | 0.88 | 0.74 | 0.87 | 0.82 | 0.8 | 0.89 | 0.91 | 0.96 |
Sortino Ratio | NA | 0.84 | 2.89 | 0.9 | 1.03 | 1.21 | 1.24 | 1.56 | -0.26 | 2.24 | 0.9 | 4.07 | -0.02 | 5.37 | 1.98 | 0.57 | 2.07 | 1.29 |
Yield(%) | N/A | 0.1 | 0.86 | 1.69 | 1.86 | 1.84 | 1.94 | 1.33 | 2.41 | 3.07 | 1.02 | 1.08 | 1.48 | 1.61 | 2.65 | 1.32 | 2.1 | 1.27 |
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 | Momentum Scoring |