| Ticker |
Name |
Allocation |
| QMOM |
Alpha Architect US Quantitative Momt ETF |
100.00% |
|
Save portfolio »
|
Portfolio performance statistics| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
|---|
| Alpha Architect US Quantitative Momt ETF | $10,000 | $13,776 | 8.34% | 17.23% | 28.39% | -11.75% | -25.76% | 0.48 | 0.70 | 0.78 |
| Vanguard 500 Index Investor | $10,000 | $17,058 | 14.28% | 11.58% | 31.33% | -4.52% | -13.55% | 1.10 | 1.68 | 1.00 |
Trailing Returns| Name | Total Return | Annualized Return | Annualized Standard Deviation |
|---|
| 3 Month | Year To Date | 1 year | 3 year | Full | 3 year |
|---|
| Alpha Architect US Quantitative Momt ETF | 7.88% | 28.39% | 28.39% | 9.51% | 8.34% | 18.44% |
| Vanguard 500 Index Investor | 9.03% | 31.33% | 31.33% | 15.12% | 14.28% | 12.10% |
| Trailing return and volatility are as of last calendar month ending December 2019 |
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- Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
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- Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
- Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
- Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
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- Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
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- Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
- Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
- Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
- Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
- Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
- Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
- Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
- Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
- All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
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Alpha Architect US Quantitative Momt ETF vs. Vanguard 500 Index Investor
Up vs. Down Market Performance - Alpha Architect US Quantitative Momt ETF vs. Vanguard 500 Index Investor| Market Type | Occurrences | Average Active Return |
|---|
| Above Benchmark | Below Benchmark | Total | % Above Benchmark | Above Benchmark | Below Benchmark | Total |
|---|
| Up Market | 17 | 22 | 39 | 44% | 2.42% | -2.49% | -0.35% |
| Down Market | 6 | 3 | 9 | 67% | 1.55% | -4.62% | -0.51% |
| Total | 23 | 25 | 48 | 48% | 2.19% | -2.75% | -0.38% |
Equity Market Capitalization
Equity Sectors
Fund fundamentals data as of 09/27/2023. (c) 2023 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
Performance of portfolio assets| Name | Total Return | Annualized Return | Expense Ratio |
|---|
| 3 Month | Year To Date | 1 year | 3 year | Net | Gross |
|---|
| Alpha Architect US Quantitative Momt ETF | 7.88% | 28.39% | 28.39% | 9.51% | 0.39% | 0.39% |
| Trailing returns as of last calendar month ending December 2019 |