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)

Policy Report

Backtest Report

From to (9y 6m 5d)

Returns (annualized)

Portfolio -0.02%
Benchmark 14.55%

Risk (annualized)

Portfolio 17.17%
Benchmark 18.30%

Sharpe (annualized)

Portfolio -0.04
Benchmark 0.72

Excess Return (annualized)

-14.58%

Tracking Error (annualized)

24.40%

Information Ratio

-0.60
Statistic Portfolio Benchmark
Downside Volatility 18.25% 19.53%
Sortino Ratio -0.03 0.68
Calmar Ratio -0.01 0.39
Ulcer Index 13.17 15.19
Max Drawdown 42.26% 33.70%
VaR (99% Confidence) $-3,993 $-4,256
VaR (99.9% Confidence) $-5,304 $-5,653
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

5.12

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.5054 -0.5054
Size Factor 0.5525 0.5525
Market Factor -0.0781 -0.0781
U.S. Tilt (Non U.S.) -0.1266 -0.1266

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution