Momentum Factor

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily
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%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (8y 3m 11d)

Returns (annualized)

Portfolio 0.19%
Benchmark 13.63%

Risk (annualized)

Portfolio 17.62%
Benchmark 18.20%

Sharpe (annualized)

Portfolio 0.00
Benchmark 0.70

Excess Return (annualized)

-13.43%

Tracking Error (annualized)

24.78%

Risk Free Rate (annualized)

1.72%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.24

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.5794 -0.5794
Size Factor 0.5811 0.5811
Market Factor -0.0842 -0.0842
U.S. Tilt (Non U.S.) -0.1384 -0.1384

Adjusted R2

Portfolio 0.17
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution