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 11m 28d)

Returns (annualized)

Portfolio -0.12%
Benchmark 14.87%

Risk (annualized)

Portfolio 16.92%
Benchmark 18.01%

Sharpe (annualized)

Portfolio -0.05
Benchmark 0.74

Excess Return (annualized)

-14.99%

Tracking Error (annualized)

23.97%

Information Ratio

-0.63
Statistic Portfolio Benchmark
Downside Volatility 17.99% 19.22%
Sortino Ratio -0.05 0.69
Calmar Ratio -0.02 0.40
Ulcer Index 13.05 15.21
Max Drawdown 42.26% 33.70%
VaR (99% Confidence) $-3,936 $-4,188
VaR (99.9% Confidence) $-5,228 $-5,564
Beta to Benchmark 0.06 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.21

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.5015 0.0222 -0.5237
Size Factor 0.5476 -0.0541 0.6017
Market Factor -0.0781 0.9947 -1.0728
U.S. Tilt (Non U.S.) -0.1246 0.4032 -0.5278

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution