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 |
| Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
| 8.63% | 9.34% | 9.67% | 9.05% | 9.61% | 10.27% | 9.46% | 10.25% | 10.04% | 13.93% |
| 566.45 | 674.27 | 729.55 | 628.52 | 718.11 | 838.97 | 694.36 | 835.85 | 795.64 | 1884.65 |
| 18.04% | 16.51% | 15.49% | 15.83% | 17.05% | 17.36% | 17.32% | 18.27% | 21.56% | 22.91% |
| 0.55 | 0.63 | 0.68 | 0.63 | 0.63 | 0.65 | 0.61 | 0.63 | 0.55 | 0.69 |
| 0.16 | 0.18 | 0.19 | 0.20 | 0.19 | 0.18 | 0.17 | 0.19 | 0.16 | 0.27 |
| -55.03% | -51.49% | -50.51% | -45.63% | -51.06% | -57.02% | -57.05% | -54.61% | -61.06% | -52.14% |
| 1.52 | 1.63 | 1.68 | 1.64 | 1.66 | 1.70 | 1.65 | 1.66 | 1.60 | 1.79 |
| 0.85 | 0.95 | 1.04 | 0.96 | 0.96 | 1.03 | 0.91 | 0.99 | 0.87 | 1.14 |
| -0.16 | -0.28 | -0.32 | -0.44 | -0.38 | -0.13 | -0.74 | -0.01 | 0.04 | 0.28 |
| 1.40 | 2.31 | 1.91 | 2.87 | 4.08 | 4.15 | 5.43 | 4.01 | 6.42 | 6.94 |
| 1.10 | 1.00 | 1.15 | 1.10 | 1.16 | 1.16 | 1.14 | 1.02 | 1.04 | 1.24 |
| -0.08 | -0.07 | -0.06 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 | -0.09 | -0.10 |
| 0.81% | 1.75% | 2.45% | 1.75% | 1.89% | 2.47% | 1.79% | 2.30% | 1.39% | 4.73% |
| 1.11 | 1.04 | 0.97 | 0.99 | 1.06 | 1.07 | 1.07 | 1.11 | 1.28 | 1.33 |