Factor Investing remains the go-to solution for many investors. While no single value metric is able to fully explain the long-term risk and return performance of equities, we aim to capture the return of factors which have demonstrated excess historical market returns.
| Annual Return |
| Cumulative Return |
| Volatility |
| Sharpe ratio |
| Calmar ratio |
| Max Drawdown |
| Omega ratio |
| Sortino ratio |
| Skew |
| Kurtosis |
| Tail ratio |
| Monthly value at risk |
| Alpha |
| Beta |
| SPY |
| 9.37% |
| 678.46 |
| 14.47% |
| 0.69 |
| 0.18 |
| -52.56% |
| 1.68 |
| 1.04 |
| -0.61 |
| 1.40 |
| 0.99 |
| -0.06 |
| 0.00% |
| 1.00 |
| VC 1 | VC 2 | VC 3 | Earnings Yield | Buyback Yield | Shareholder Yield | Book to Price | Sales to Price | FCF to Price | EBITDA/EV |
| 8.63% | 9.37% | 9.20% | 10.68% | 8.85% | 9.30% | 8.31% | 8.50% | 9.50% | 10.28% |
| 566.45 | 678.59 | 651.12 | 923.55 | 598.19 | 668.18 | 523.51 | 548.20 | 699.97 | 841.53 |
| 18.04% | 19.22% | 18.65% | 24.29% | 20.18% | 19.98% | 19.75% | 16.66% | 22.18% | 19.97% |
| 0.55 | 0.56 | 0.57 | 0.54 | 0.52 | 0.55 | 0.50 | 0.57 | 0.52 | 0.59 |
| 0.16 | 0.16 | 0.16 | 0.16 | 0.14 | 0.16 | 0.14 | 0.17 | 0.14 | 0.17 |
| -55.03% | -57.14% | -58.27% | -65.49% | -61.91% | -59.48% | -58.60% | -49.86% | -69.06% | -61.86% |
| 1.52 | 1.54 | 1.55 | 1.59 | 1.54 | 1.55 | 1.53 | 1.56 | 1.53 | 1.59 |
| 0.85 | 0.88 | 0.88 | 0.88 | 0.80 | 0.86 | 0.80 | 0.89 | 0.82 | 0.93 |
| -0.16 | -0.01 | -0.04 | 0.32 | -0.09 | 0.01 | 0.13 | -0.10 | 0.10 | -0.06 |
| 1.40 | 1.55 | 1.57 | 4.81 | 3.57 | 2.70 | 5.11 | 1.74 | 4.08 | 1.84 |
| 1.10 | 1.05 | 0.96 | 1.18 | 0.93 | 1.00 | 1.19 | 1.06 | 1.06 | 1.23 |
| -0.08 | -0.08 | -0.08 | -0.10 | -0.09 | -0.09 | -0.09 | -0.07 | -0.10 | -0.08 |
| 0.81% | 1.24% | 1.16% | 1.41% | 0.38% | 0.87% | 0.34% | 1.17% | 0.72% | 1.78% |
| 1.11 | 1.16 | 1.14 | 1.42 | 1.23 | 1.22 | 1.17 | 1.02 | 1.31 | 1.22 |