Working with our Datasheets

Our Datasheets present the results of our back tested portfolios comparatively.

We select benchmarks from high-volume ETFs that share similar objectives and equity liquidity limits. 

Our methodology consists of multiple layers to achieve our objective.   Metrics are developed that may demonstrate or model a characteristic of the equity.   They are combined with other metrics to produce inclusion criteria, exclusion criteria and ranking criteria in order to calculate portfolios. On a back-tested basis, the characteristics of the resulting portfolio are assessed along multiple dimensions.  

Each portfolio is presented, identifying the market, liquidity limit, benchmark, rebalance frequency, recommended number of equities held, and weighting method.

We present standard metrics.  Beta is the relative market risk. Mean active return is the net return above the benchmark on an annualized basis.  Standard Deviation is the yearly standard deviation in the gain.  Back test performance is annualized.

The top portion of the chart illustrates how the performance of the highest-ranked smaller groups compares with that of the larger groups, which contain lower-ranked equities.

The lower portion outlines the quarters in which the algorithm outperformed the benchmark and by how much, and groups these in 5 year groups and averages.

This chart shows how $100 would perform at different 5-year starting points.  To demonstrate the algorithm's capabilities in various market environments.