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P Composite Momentum Scoring SP Good Sectors
P Composite Momentum Scoring SP Good Sectors
live (public) 1.52% May 03
Use MPIQ composite market indicator to decide stock exposure.
The portfolio selects 2 sector funds from a select list of candidate S&P sectors.
Delayed
Holdings (As of 03/28/2024)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Asset0 | XLK (Technology Select Sector SPDR® Fund) | 0.22% | 50.00% |
Asset1 | XLV (Health Care Select Sector SPDR® Fund) | 0.01% | 50.00% |
* Day change on 03/28/2024.
Performance (As of 05/03/2024)
Since 06/19/2000
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Composite Momentum Scoring SP Good Sectors | 0.7% | 17.4% | 9.4% | 13.3% | 12.7% | 15.2% |
VFINX (Vanguard (S&P 500) Index) | 7.9% | 27.1% | 8.5% | 13.5% | 12.5% | 14.6% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 3.5% | 15.3% | 2.8% | 7.7% | 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 06/19/2000 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 1.0 | 0.7 | 17.4 | 9.4 | 13.3 | 12.7 | 15.2 | 13.7 | 12.2 | 17.4 | -9.6 | 34.0 | 19.6 | 22.5 | 2.6 | 22.5 | 7.5 | 0.6 | 20.3 | 34.7 | 6.1 | 7.6 | 24.1 | 25.6 | 13.3 | 6.5 | 18.3 | -1.7 | 8.5 | 24.1 | 6.6 | 4.1 | -10.2 |
Sharpe Ratio | NA | -0.04 | 1.09 | 0.47 | 0.58 | 0.69 | NA | NA | 0.74 | 1.08 | -0.6 | 2.32 | 0.58 | 1.77 | 0.07 | 2.68 | 0.59 | 0.03 | 1.6 | 3.2 | 0.55 | 0.37 | 1.29 | 1.59 | 1.64 | 0.25 | 1.32 | -0.32 | 0.6 | 1.97 | 0.77 | 0.22 | -0.83 |
Draw Down(%) | NA | 6.8 | 10.7 | 20.0 | 29.2 | 29.2 | NA | NA | 29.2 | 10.7 | 19.9 | 7.1 | 29.2 | 6.4 | 16.7 | 4.3 | 7.8 | 12.6 | 7.6 | 5.8 | 9.5 | 19.0 | 12.2 | 6.8 | 5.0 | 8.7 | 10.0 | 9.9 | 14.2 | 5.3 | 4.7 | 5.4 | 14.4 |
Standard Deviation(%) | NA | 13.5 | 12.4 | 15.1 | 20.0 | 17.0 | NA | NA | 14.9 | 12.2 | 18.5 | 14.6 | 33.5 | 11.9 | 17.7 | 8.1 | 12.5 | 15.3 | 12.7 | 10.8 | 10.9 | 20.7 | 18.6 | 16.0 | 7.6 | 13.7 | 11.3 | 11.8 | 12.6 | 11.9 | 7.1 | 8.1 | 14.9 |
Treynor Ratio | NA | -0.01 | 0.14 | 0.1 | 0.14 | 0.18 | NA | NA | 0.51 | 0.16 | -0.17 | 0.33 | 0.21 | 0.28 | 0.1 | -1.34 | -0.7 | 1.94 | 6.24 | -4.11 | 3.64 | -0.75 | -3.88 | -29.1 | 4.36 | -0.55 | 1.51 | -4.4 | -2.99 | -6.76 | -2.93 | -1.27 | -2.54 |
Alpha | NA | -0.08 | -0.03 | 0.01 | 0.01 | 0.02 | NA | NA | 0.04 | -0.02 | 0.01 | 0.02 | 0.01 | 0.0 | 0.01 | 0.09 | 0.04 | 0.01 | 0.07 | 0.13 | 0.02 | 0.04 | 0.1 | 0.1 | 0.05 | 0.02 | 0.05 | -0.01 | 0.03 | 0.09 | 0.02 | 0.01 | -0.09 |
Beta | NA | 1.06 | 0.98 | 0.75 | 0.86 | 0.63 | NA | NA | 0.21 | 0.83 | 0.65 | 1.02 | 0.93 | 0.77 | 0.13 | -0.16 | -0.1 | 0.0 | 0.03 | -0.08 | 0.02 | -0.1 | -0.06 | -0.01 | 0.03 | -0.06 | 0.1 | 0.01 | -0.03 | -0.03 | -0.02 | -0.01 | 0.05 |
RSquared | NA | 0.88 | 0.85 | 0.75 | 0.84 | 0.44 | NA | NA | 0.08 | 0.79 | 0.73 | 0.83 | 0.92 | 0.64 | 0.02 | 0.02 | 0.01 | 0.0 | 0.0 | 0.01 | 0.0 | 0.01 | 0.0 | 0.0 | 0.02 | 0.01 | 0.01 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Sortino Ratio | NA | -0.06 | 1.64 | 0.66 | 0.81 | 0.95 | NA | NA | 1.04 | 1.61 | -0.79 | 3.51 | 0.79 | 2.52 | 0.1 | 3.97 | 0.81 | 0.05 | 2.32 | 4.72 | 0.82 | 0.5 | 1.89 | 2.41 | 2.51 | 0.34 | 1.95 | -0.44 | 0.84 | 2.98 | 1.08 | 0.3 | -1.05 |
Yield(%) | N/A | 0.54 | 2.66 | 2.09 | 2.13 | 2.18 | N/A | N/A | 3.1 | 2.4 | 1.75 | 1.78 | 1.76 | 3.21 | 2.15 | 1.95 | 3.02 | 1.98 | 1.87 | 2.35 | 2.79 | 2.71 | 2.65 | 4.38 | 6.1 | 1.82 | 3.07 | 2.91 | 3.85 | 4.87 | 5.85 | 4.95 | 0.6 |
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 |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 06/19/2000
Strategies
Asset Strategy | Composite Momentum Scoring |