Momentum Factor

Portfolio Specification

Assets

Alpha Architect U.S. Quantitative Momentum ETF (QMOM) 100.00%
iShares Russell 3000 ETF (IWV) -100.00%
iShares 1-3 Year Treasury Bond ETF (SHY) 100.00%

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (9y 8m 11d)

Returns (annualized)

Portfolio -0.29%
Benchmark 14.88%

Risk (annualized)

Portfolio 17.05%
Benchmark 18.17%

Sharpe (annualized)

Portfolio -0.06
Benchmark 0.74

Excess Return (annualized)

-15.18%

Tracking Error (annualized)

24.24%

Information Ratio

-0.63
Statistic Portfolio Benchmark
Downside Volatility 18.12% 19.36%
Sortino Ratio -0.05 0.69
Calmar Ratio -0.02 0.40
Ulcer Index 13.12 15.20
Max Drawdown 42.26% 33.70%
VaR (99% Confidence) $-3,965 $-4,225
VaR (99.9% Confidence) $-5,267 $-5,612
Beta to Benchmark 0.05 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.19

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.5016 0.0224 -0.5240
Size Factor 0.5434 -0.0540 0.5975
Market Factor -0.0795 0.9946 -1.0741
U.S. Tilt (Non U.S.) -0.1255 0.4038 -0.5293

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution