Post #1684 by mapg on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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No. of Recommendations: 4

Out of date maybe can follow up with Mar-2024 version later.

Long-term Performance                   
Comparisons by Factor                   
Apr-4-2024 11:29 AM ET                  
                                          ISHARES      ISHARES      ISHARES      ISHARES      ISHARES
                                            USA        MSCI USA     MSCI USA     MSCI USA     MSCI USA
                                          EQUITY       MOMENTUM     QUALITY        SIZE        VALUE
Name                                      FACTOR       FACTOR       FACTOR       FACTOR       FACTOR
Issue type                                  ETF          ETF          ETF          ETF          ETF
Market price                              $53.82       $189.06      $163.79      $141.37      $107.48
                                        Apr-4-2024   Apr-4-2024   Apr-4-2024   Apr-4-2024   Apr-4-2024
Market total return (1 year)              30.15%       32.84%       36.83%       16.89%       12.96%
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Market total return (3 years)             11.93%        5.17%       12.79%        7.26%        5.20%
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Market total return (5 years)             12.61%       12.02%       14.82%       11.01%        7.83%
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Market total return (10 years)              --         12.68%       12.78%       10.75%        8.28%
                                                     Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Premium / discount (1 year avg.)           0.01%        0.00%        0.01%        0.00%        0.00%
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Beta (month-end 3 years)                    0.98         0.93         1.06         1.01         0.93
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Standard deviation (month-end 3 years)     17.48        19.33        18.92         18.6        18.78
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Sharpe ratio (month-end 3 years)            0.58         0.21         0.59         0.32         0.22
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Alpha (month-end 3 years)                   0.26        -5.25         0.42         -4.3        -5.32
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
R2 (month-end 3 years)                     97.61        72.67         97.9        92.22        76.42
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024

GD_

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