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 (10y 2m 28d)

Returns (annualized)

Portfolio 0.73%
Benchmark 14.06%

Risk (annualized)

Portfolio 17.06%
Benchmark 17.93%

Sharpe (annualized)

Portfolio 0.00
Benchmark 0.70

Excess Return (annualized)

-13.33%

Tracking Error (annualized)

23.88%

Information Ratio

-0.56
Statistic Portfolio Benchmark
Downside Volatility 18.12% 19.10%
Sortino Ratio 0.00 0.66
Calmar Ratio 0.00 0.37
Ulcer Index 13.01 15.22
Max Drawdown 42.26% 33.70%
VaR (99% Confidence) $-3,967 $-4,169
VaR (99.9% Confidence) $-5,270 $-5,539
Beta to Benchmark 0.07 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.95

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.5067 0.0220 -0.5287
Size Factor 0.5633 -0.0539 0.6172
Market Factor -0.0682 0.9950 -1.0631
U.S. Tilt (Non U.S.) -0.1594 0.4020 -0.5614

Adjusted R2

Portfolio 0.16
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution