Small Cap Fiscal Momentum - (PFC)

Holdings protected for Charter members only

Model (%) -12-2135474257393228211-914
Benchmark (%) -2-382313-0133011-11019-625
Excess (%) -101833162265964119-7-8-3-12

Risk Measurements Since Inception Trailing 3 Year
  Model S&P 500 ($SP500)   Model S&P 500 ($SP500)
Total Return 3,489.54% 109.35%   1.37% 39.04%
Annualized Return 34.26% 6.27%   0.45% 11.61%
Max Drawdown -34.78% -56.34%   -33.79% -19.78%
Standard Deviation 33.55% 14.97%   23.92% 12.23%
Sharpe Ratio 1.02 0.42   0.17 0.88
Sortino Ratio 1.65 0.55   0.22 1.09
Correlation with S&P 500 ($SP500) 0.53 -   0.68 -
R-Squared 0.28 -   0.46 -
Beta 1.18 -   1.33 -
Alpha (annualized) 30.26% -   -9.78% -

This portfolio strategy is to search for stocks with upgraded earnings forecasts with other associated events such as earnings surprises and improving margins. In addition to having upwards expectations, this strategy also looks for current deep value - which we take as a metric that allows for more upside movement. Investors wishing to invest in this portfolio should note that these are smaller market capitalization stocks with less than average trading volume. This strategy can experience high volatility and quick downside losses in bear markets. Only small amounts of capital should be strategically invested according to the higher risk/higher reward speculative allocation in your overall investment plan. Optimal portfolio size is 10 stocks but this is highly dependant on market conditions. The Small Fiscal Momentum Portfolio will hold varying amounts of cash. The below figures do not include transaction costs or slippage which can have a wide variance depending on trading skill, brokerage and amount of capital used. Read this back-testing post for an example of theoretical vs. real world performance. Please be familiar with how to use limit orders and and other risk management techniques when buying thinly traded stocks.

Key Stats
Annualized Return (CAGR) 34.26%
Alpha 30.26%
Rebalance Frequency Every Week
Last Rebalance 12/09/19
% Cash Invested 100.31%

Trading Stats
Average Days Held 53
Average Annual Turnover 595.04 %
Average Return 1.95%
Average Return Winners 16.02%
Average Return Losers -11.37%
Winners 51.90%