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P Composite Momentum Scoring Global Risk Assets
P Composite Momentum Scoring Global Risk Assets
live (public) 1.08% April 23
Use MPIQ composite market indicator to decide risk asset exposure. Investors should consider using these index funds' corresponding ETFs to invest in a real account.
Delayed
Holdings (As of 02/29/2024)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Asset0 | VFINX (VANGUARD 500 INDEX FUND INVESTOR SHARES) | 0.54% | 50.00% |
Asset1 | VGTSX (VANGUARD TOTAL INTERNATIONAL STOCK INDEX FUND INVESTOR SHARES) | 0.32% | 50.00% |
* Day change on 02/29/2024.
Performance (As of 04/23/2024)
Since 12/31/1996
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Composite Momentum Scoring Global Risk Assets | 2.5% | 15.4% | 3.7% | 8.1% | 9.2% | 12.3% |
VFINX (Vanguard (S&P 500) Index) | 6.7% | 24.4% | 8.2% | 13.6% | 12.4% | 14.7% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 2.5% | 13.8% | 2.5% | 7.8% | 7.7% | 9.7% |
* 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 12/31/1996 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 1.1 | 2.5 | 15.4 | 3.7 | 8.1 | 9.2 | 12.3 | 13.3 | 13.5 | 20.4 | -23.3 | 27.0 | 9.8 | 28.3 | -4.1 | 24.7 | 11.4 | -5.5 | 16.2 | 19.8 | 16.6 | 2.1 | 27.1 | 27.7 | 0.9 | 25.9 | 25.1 | 15.7 | 14.4 | 42.4 | 0.4 | -1.6 | -3.7 | 39.4 | 14.8 | 21.6 | 0.0 |
Sharpe Ratio | NA | 0.13 | 1.03 | 0.09 | 0.34 | 0.51 | NA | NA | 0.79 | 1.38 | -1.13 | 1.99 | 0.31 | 2.63 | -0.36 | 3.4 | 0.84 | -0.36 | 1.57 | 1.74 | 1.32 | 0.08 | 1.28 | 1.47 | 0.15 | 1.09 | 1.41 | 1.17 | 0.94 | 4.81 | -0.24 | -0.69 | -0.55 | 2.81 | 0.68 | 1.48 | NA |
Draw Down(%) | NA | 4.8 | 10.9 | 30.9 | 34.0 | 34.0 | NA | NA | 34.0 | 10.9 | 30.9 | 7.2 | 34.0 | 4.2 | 16.5 | 2.4 | 10.3 | 19.4 | 6.5 | 10.5 | 8.6 | 20.0 | 13.9 | 8.8 | 0.0 | 15.0 | 20.7 | 8.7 | 19.9 | 3.1 | 3.0 | 6.5 | 12.5 | 8.7 | 20.5 | 8.6 | 0.0 |
Standard Deviation(%) | NA | 10.9 | 11.3 | 15.9 | 19.2 | 16.2 | NA | NA | 15.3 | 11.7 | 21.9 | 13.5 | 30.4 | 10.2 | 14.8 | 7.1 | 13.3 | 15.2 | 10.3 | 11.3 | 12.5 | 26.3 | 21.1 | 18.8 | 0.0 | 21.0 | 15.5 | 11.6 | 14.4 | 8.7 | 2.9 | 5.7 | 14.1 | 12.9 | 16.9 | 12.2 | NA |
Treynor Ratio | NA | 0.02 | 0.13 | 0.02 | 0.08 | 0.13 | NA | NA | 0.58 | 0.2 | -0.29 | 0.31 | 0.11 | 0.4 | -0.35 | -13.62 | -1.95 | -1.1 | -2.85 | -4.58 | -10.91 | -0.13 | -2.98 | 104.98 | 31.56 | -2.07 | 0.75 | 0.82 | 0.49 | 8.68 | -4.55 | 21.79 | -0.39 | 1.49 | 1.06 | 2.04 | NA |
Alpha | NA | -0.04 | -0.02 | -0.01 | -0.01 | 0.01 | NA | NA | 0.04 | 0.0 | -0.04 | 0.01 | -0.02 | 0.02 | -0.01 | 0.09 | 0.05 | -0.02 | 0.06 | 0.08 | 0.06 | 0.02 | 0.11 | 0.1 | 0.0 | 0.09 | 0.07 | 0.05 | 0.04 | 0.13 | 0.0 | -0.02 | -0.02 | 0.11 | 0.04 | 0.06 | NA |
Beta | NA | 0.86 | 0.89 | 0.84 | 0.83 | 0.62 | NA | NA | 0.21 | 0.79 | 0.85 | 0.86 | 0.84 | 0.68 | 0.15 | -0.02 | -0.06 | 0.05 | -0.06 | -0.04 | -0.02 | -0.16 | -0.09 | 0.0 | 0.0 | -0.11 | 0.29 | 0.16 | 0.27 | 0.05 | 0.0 | 0.0 | 0.2 | 0.24 | 0.11 | 0.09 | NA |
RSquared | NA | 0.84 | 0.88 | 0.84 | 0.86 | 0.47 | NA | NA | 0.07 | 0.78 | 0.87 | 0.69 | 0.92 | 0.69 | 0.03 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.02 | 0.01 | 0.0 | 0.0 | 0.01 | 0.04 | 0.02 | 0.04 | 0.01 | 0.0 | 0.0 | 0.1 | 0.12 | 0.02 | 0.02 | NA |
Sortino Ratio | NA | 0.18 | 1.53 | 0.12 | 0.45 | 0.68 | NA | NA | 1.1 | 2.04 | -1.49 | 2.88 | 0.4 | 3.85 | -0.47 | 5.43 | 1.19 | -0.49 | 2.3 | 2.5 | 1.95 | 0.11 | 1.9 | 2.17 | NA | 1.49 | 2.02 | 1.66 | 1.28 | 8.56 | -0.36 | -0.93 | -0.73 | 4.31 | 0.94 | 2.07 | NA |
Yield(%) | N/A | 0.67 | 4.17 | 2.87 | 2.7 | 2.89 | N/A | N/A | 2.68 | 3.92 | 2.33 | 1.98 | 2.06 | 3.31 | 2.69 | 3.05 | 3.14 | 2.74 | 3.86 | 2.78 | 2.84 | 2.41 | 2.4 | 2.19 | 0.93 | 2.97 | 2.65 | 3.18 | 1.99 | 4.16 | 2.89 | 1.74 | 3.08 | 2.99 | 1.99 | 1.3 | 0.0 |
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 | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/1996
Strategies
Asset Strategy | Composite Momentum Scoring |