Readers of Financial Research Should Maintain a Healthy Dose of Skepticism

Our firm mission is dedicated to investor education and we often highlight and discuss hypothetical results associated with our own research and/or the research of others. We rarely (if ever) discuss live performance on the “blog” area of our website, so the reader should assume that anything they read on the “blog” is hypothetical and subject to all the disclaimers below. We ask that you use your common sense when reviewing and interpreting research findings that use hypothetical results or live performance results. Clearly, there has never been a backtest published that wasn’t “good” and even live track records are subject to survivor bias. We must account for this intense selection bias when reviewing materials. See here for an article on this subject.

The Official Disclosures

Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only.

Past performance is not indicative of future results, which may vary.

There is a risk of substantial loss associated with trading commodities, futures, options and other financial instruments. Before trading, investors should carefully consider their financial position and risk tolerance to determine if the proposed trading style is appropriate. Investors should realize that when trading futures, commodities and/or granting/writing options one could lose the full balance of their account. It is also possible to lose more than the initial deposit when trading futures and/or granting/writing options. All funds committed to such a trading strategy should be purely risk capital.

Hypothetical performance results (e.g., quantitative backtests) have many inherent limitations, some of which, but not all, are described herein. No representation is being made that any fund or account will or is likely to achieve profits or losses similar to those shown herein. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently realized by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or adhere to a particular trading program in spite of trading losses are material points which can adversely affect actual trading results. The hypothetical performance results contained herein represent the application of the quantitative models as currently in effect on the date first written above and there can be no assurance that the models will remain the same in the future or that an application of the current models in the future will produce similar results because the relevant market and economic conditions that prevailed during the hypothetical performance period will not necessarily recur. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results, all of which can adversely affect actual trading results. Hypothetical performance results are presented for illustrative purposes only.

Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index.

There is no guarantee, express or implied, that long-term return and/or volatility targets will be achieved. Realized returns and/or volatility may come in higher or lower than expected.

Here is a link to our ADV

Third Party Authors and Data Sources

Certain economic and market information contained herein has been obtained from published sources prepared by other parties, which in certain cases have not been updated through the date hereof. While such sources are believed to be reliable, neither Alpha Architect nor its affiliates assumes any responsibility for the accuracy or completeness of such information and such information has not been independently verified by Alpha Architect.

Many authors provide material on our website. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. This material has been provided to you solely for information and educational purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and Alpha Architect to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission from Alpha Architect.

Tax-Related Matters

Neither Alpha Architect nor its affiliates provide tax advice. IRS Circular 230 disclosure: To ensure compliance with requirements imposed by the IRS, we inform you that any tax advice contained in this communication was not intended or written to be used, and cannot be used, for the purpose of (i) avoiding tax-related penalties under the Internal Revenue Code or (ii) promoting, marketing or recommending to another party any matters addressed herein. You should seek advice based on your particular circumstances from an independent tax advisor.

The information contained in this communication is not meant to substitute for a thorough estate planning and is not meant to be legal and/or estate advice. It is intended to provide you with a preliminary outline of your goals. Please consult your legal counsel for additional information.

Gross Performance Calculations

Results from the research we discuss may be shown gross of fees and do not reflect the effect of investment fees which would lower performance. Performance reflects the reinvestment of dividends and other earnings. Performance information shown does not reflect any charges or fees which may or may not be imposed by Alpha Architect or another money manager, which will reduce performance returns. The following hypothetical illustrates the compound effect fees have on investment return: For an account charged 1% with a stated annual return of 10%, the net total return before taxes would be reduced from 10% to 9%. A ten year investment of $100,000 at 10% would grow to $259,374, and at 9%, to $236,736 before taxes.

Investment Risk Definitions

All investments involve risk and may lose value. The value of your investment can go down depending upon market conditions. Moreover, there are additional risks associated with the various strategies we deploy that investors should understand:

Volatility Risk

The Strategy may have investments that appreciate or decrease significantly in value over short periods of time. This may cause the Strategy’s net asset value per share to experience significant increases or declines in value over short periods of time, however, all investments long- or short-term are subject to risk of loss.

Momentum Style Risk

Investing in or having exposure to securities with positive momentum entails investing in securities that have had above-average recent returns. These securities may be more volatile than a broad cross-section of securities. Returns on securities that have previously exhibited momentum may be less than returns on other styles of investing or the overall stock market. Momentum can turn quickly and cause significant variation from other types of investments, and stocks that previously exhibited high momentum may not experience continued positive momentum. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Strategy using a momentum strategy may suffer.

Value Style Investing Risk

A value stock may not increase in price if other investors fail to recognize the company’s value and bid up the price, or the markets favor faster-growing companies. Cyclical stocks in which the Strategy may invest tend to lose value more quickly in periods of anticipated economic downturns than non-cyclical stocks. Companies that may be considered out of favor, particularly companies emerging from bankruptcy, may tend to lose value more quickly in periods of anticipated economic downturns, may have difficulty retaining customers and suppliers and, during economic downturns, may have difficulty paying their debt obligations or finding additional financing.

Hedging Model Risk

The risk that the Strategy’s use of hedging strategies based on mathematical models may not produce the desired result or risk that the Adviser is unable to trade certain derivatives effectively or in a timely manner. The Strategy uses a mathematical approach to the implementation of hedging strategies. Maintenance of the hedging strategies will not ensure that the Strategy will deliver competitive returns. The use of derivatives in connection with the Strategy’s hedging strategies may expose the Strategy (and therefore the Strategy) to losses (some of which may be sudden) that it would not have otherwise been exposed to if it had only invested directly in equity securities. Hedging strategies could limit the Strategy’s gains in rising markets and may expose the Strategy to costs to which it would otherwise not have been exposed. The Strategy’s hedging strategies may result in the Strategy outperforming the general securities market during periods of flat or negative market performance, and underperforming the general securities market during periods of positive market performance.

Leverage Risk

A strategy may enter into short sales and/or make investments in futures contracts, forward contracts, options, swaps and other derivative instruments. These investment activities provide the economic effect of financial leverage by creating additional investment exposure to the underlying instrument, as well as the potential for greater loss. If a strategy uses leverage through activities such as entering into short sales or purchasing derivative instruments, the strategy has the risk that losses may exceed the net assets of the account. The net asset value of the account, while employing leverage, will be more volatile and sensitive to market movements.

Commodities Risk

Exposure to the commodities markets may subject the Strategy to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments.

Definitions for Common Terms Used in Our Research

  • CAGR: Compound annual growth rate

  • Standard Deviation: Sample standard deviation

  • Downside Deviation: Sample standard deviation, but only monthly observations below 41.67bps (5%/12) are included in the calculation

  • Sharpe Ratio (annualized): Average monthly return minus treasury bills divided by standard deviation

  • Sortino Ratio (annualized): Average monthly return minus treasury bills divided by downside deviation

  • Appraisal Ratio (annualized): CAPM regression intercept estimate divided by regression residual volatility

  • Worst Drawdown: Worst peak to trough performance (measured based on monthly returns)

  • Rolling X-Year Win %: Percentage of rolling X periods that a strategy outperforms

  • Sum (5-Year Rolling MaxDD): Sum of all 5-Year rolling drawdowns

  • Down %: The Down Number Ratio is a measure of the number of periods that the investment was down when the benchmark was down, divided by the number of periods that the benchmark was down. The smaller the ratio, the better

  • Up %: The Up Number Ratio is a measure of the number of periods that the investment was up when the benchmark was up, divided by the number of periods that the benchmark was up. The larger the ratio, the better

  • Tracking Error: Tracking Error is measured by taking the square root of the average of the squared deviations between the investment’s returns and the benchmark’s returns
  • Negative Correlation: Correlation of returns relative to benchmark returns when the benchmark is negative

  • Positive Correlation: Correlation of returns relative to benchmark returns when the benchmark is positive

Common descriptions of things discussed on the blog.

id Ticker Short Description Long Description FX
2 QV INDEX GROSS Alpha Architect Quantitative Value Index (Gross) At least quarterly rebalanced, equal-weight, total returns including dividends. Alpha Architect calculations through 10/31/2014 and 2/1/2022 thereafter; Solactive calculations otherwise. The Index was officially updated on 10/1/2023. Details are available upon request. USD
3 QV INDEX NET Alpha Architect Quantitative Value Index (Net) Index net of 2% in frictional costs (estimated fund/advisory fees and frictional costs) USD
4 QM INDEX GROSS Alpha Architect Quantitative Momentum Index (Gross) At least quarterly rebalanced, equal-weight, total returns including dividends. Alpha Architect calculations through 12/31/2015 and 2/1/2022 thereafter; Solactive calculations otherwise. The Index was officially updated on 10/1/2023. Details are available upon request. USD
5 QM INDEX NET Alpha Architect Quantitative Momentum Index (Net) Index net of 2% in frictional costs (estimated fund/advisory fees and frictional costs) USD
6 IQV INDEX GROSS Alpha Architect International Quantitative Value Index (Gross) At least quarterly rebalanced, equal-weight, total returns including dividends. Alpha Architect calculations through 12/31/2014 and 2/1/2022 thereafter; Solactive calculations otherwise. The Index was officially updated on 10/1/2023. Details are available upon request. USD
7 IQV INDEX NET Alpha Architect International Quantitative Value Index (Net) Index net of 2% in frictional costs (estimated fund/advisory fees and frictional costs) USD
8 IQM INDEX GROSS Alpha Architect International Quantitative Momentum Index (Gross) At least quarterly rebalanced, equal-weight, total returns including dividends. Alpha Architect calculations through 12/31/2015 and 2/1/2022 thereafter; Solactive calculations otherwise. The Index was officially updated on 10/1/2023. Details are available upon request. USD
9 IQM INDEX NET Alpha Architect International Quantitative Momentum Index (Net) Index net of 2% in frictional costs (estimated fund/advisory fees and frictional costs) USD
10 AALS INDEX GROSS Alpha Architect Long/Short Index (Gross) Annual rebalance (First day of June) across QV INDEX NET, QM INDEX NET, IQV INDEX NET, and IQM INDEX NET. Long positions are initially scaled to 150% and there is an initial 50% permanent hedge position. ROBUST Trend manages a dynamic 0-100% hedge component. Trend rules trigger index related trading for the hedge and components and are rebalanced monthly. Interest earned is assumed to be T-Bill minus 0.5%; Interest paid is assumed to be T-Bill plus 0.5%. Hedging can create exposures that drift from the model weights. We manage this risk by trading back to model weights when there is a trigger. Upside Rebalance: 10.00%. Downside Rebalance: 10.00%. Please note that the Index previously allocated the long stock positions via a risk-parity method and switched to a relative strength method. USD
11 AALS INDEX NET Alpha Architect Long/Short Index (Net) Index net of 1.5% in frictional costs (estimated fund/advisory fees and frictional costs) USD
12 GVMT INDEX GROSS Alpha Architect Global Value Momentum Trend Index (Gross) Quarterly rebalance across QV INDEX NET, QM INDEX NET, IQV INDEX NET, and IQM INDEX NET. ROBUST Trend manages a dynamic 0-100% hedge component. Trend rules trigger index related trading for the hedge and components and are rebalanced monthly. Interest earned is assumed to be T-Bill minus 0.5%; Interest paid is assumed to be T-Bill plus 0.5%. Hedging can create exposures that drift from the model weights. We manage this risk by trading back to model weights when long-only exposure shifts away from 100%. Upside Rebalance: 10.00%. Downside Rebalance: 10.00% Please note that the Index previously allocated the long stock positions via a risk-parity method and switched to a relative strength method. USD
13 GVMT INDEX NET Alpha Architect Global Value Momentum Trend Index (Net) Index net of 1% in frictional costs (estimated fund/advisory fees and frictional costs) USD
14 GMF INDEX GROSS Alpha Architect Global Multi-Factor Index (Gross) Annual rebalance across QV INDEX NET, QM INDEX NET, IQV INDEX NET, and IQM INDEX NET via simple risk parity weights. Details are available upon request. USD
15 GMF INDEX NET Alpha Architect Global Multi-Factor Index(Net) Index net of 1% in frictional costs (estimated fund/advisory fees and frictional costs) USD
16 HIDEF INDEX GROSS Alpha Architect Hyperinflation/Deflation Protection Index (Gross) 25% passive real estate investment trusts (REIT); 25% passive global commodities (COMM); 50% Intermediate-Term U.S. Treasury Bond (INT TBOND). ROBUST Trend rules trigger index related trading for the hedge and components and are rebalanced monthly. 50% 12-month time series momentum rule and 50% 12-month simple moving average rule. Details are available upon request. USD
17 HIDEF INDEX NET Alpha Architect Hyperinflation/Deflation Protection Index (Net) Index net of 0.5% in frictional costs (estimated fund/advisory fees and frictional costs) USD
18 RAA BAL INDEX GROSS Robust Asset Allocation Balanced Index (Gross) 40% Global Value Momentum Trend Index (Net), annually rebalanced; 60% Hyperinflation/Deflation Protection Index (Net). ROBUST Trend rules trigger index related trading for the hedge and components and are rebalanced monthly. 50% 12-month time series momentum rule and 50% 12-month simple moving average rule. For a given asset class, the rules are calculated based on the underlying passive index. i.e., S&P 500 Total Return Index is used for domestic equity; MSCI EAFE Total Return Index for international equity. Details are available upon request. USD
19 RAA BAL INDEX NET Robust Asset Allocation Balanced Index (Net) Index net of 0.75% in frictional costs (estimated fund/advisory fees and frictional costs) USD
20 RAA MOD INDEX GROSS Robust Asset Allocation Moderate Index (Gross) 60% Global Value Momentum Trend Index (Net), annually rebalanced; 40% Hyperinflation/Deflation Protection Index (Net). ROBUST Trend rules trigger index related trading for the hedge and components and are rebalanced monthly. 50% 12-month time series momentum rule and 50% 12-month simple moving average rule. For a given asset class, the rules are calculated based on the underlying passive index. i.e., S&P 500 Total Return Index is used for domestic equity; MSCI EAFE Total Return Index for international equity. Details are available upon request. USD
21 RAA MOD INDEX NET Robust Asset Allocation Moderate Index (Net) Index net of 0.85% in frictional costs (estimated fund/advisory fees and frictional costs) USD
22 RAA AGG INDEX GROSS Robust Asset Allocation Aggressive Index (Gross) 80% Global Value Momentum Trend Index (Net), annually rebalanced; 20% Hyperinflation/Deflation Protection Index (Net). ROBUST Trend rules trigger index related trading for the hedge and components and are rebalanced monthly. 50% 12-month time series momentum rule and 50% 12-month simple moving average rule. For a given asset class, the rules are calculated based on the underlying passive index. i.e., S&P 500 Total Return Index is used for domestic equity; MSCI EAFE Total Return Index for international equity. Details are available upon request. USD
23 RAA AGG INDEX NET Robust Asset Allocation Aggressive Index (Net) Index net of 0.95% in frictional costs (estimated fund/advisory fees and frictional costs) USD
24 US MKT AA Market-cap weight U.S. Universe (top 1500 by market-cap). U.S. Market Return USD
25 US MKT AA RF Market-cap weight U.S. Universe (top 1500 by market-cap) in excess of the risk-free rate U.S. Market Excess Return (minus RF) USD
26 US SMB AA SMB_Value = 1/3(small value + small middle + small growth) - 1/3(large value + large middle + large growth); SMB_Mom = 1/3(small high mom + small middle + small low mom) - 1/3(large high mom+ large middle + large low mom); SMB_Quality = 1/3(small high quality + small middle + small low quality) - 1/3(large high quality + large middle + large low quality). SMB = 1/3*(SMB_Value + SMB_Mom + SMB_Quality). All portfolios are market-cap weighted. U.S. L/S Size Factor USD
27 US HML AA Within the large-cap universe (top 1000) and the small-cap universe (next 2000), go long top 1/3 on factor and short bottom 1/3 on the factor. Market-cap weighted portfolios. 1/2*(large value - large growth) + 1/2*(small value - small growth). Value = EBIT/TEV. U.S. L/S Value Factor USD
28 US MOM AA Within the large-cap universe (top 1000) and the small-cap universe (next 2000), go long top 1/3 on factor and short bottom 1/3 on the factor. Market-cap weighted portfolios. 1/2*(large high mom - large low mom) + 1/2*(small high mom - small low mom). Mom = 2-12 momentum. U.S. L/S Momentum Factor USD
29 US QMJ AA Within the large-cap universe (top 1000) and the small-cap universe (next 2000), go long top 1/3 on factor and short bottom 1/3 on the factor. Market-cap weighted portfolios. 1/2*(large high quality - large low quality) + 1/2*(small high quality - small low quality). Quality = Financial Strength Score (FS Score). U.S. L/S Quality Factor USD
30 DEV MKT AA Market-cap weight Developed International Universe (top 1500 by market-cap) International Developed Market Return USD
31 DEV MKT AA RF Market-cap weight Developed International Universe (top 1500 by market-cap) in excess of the risk-free rate. International Developed Market Excess Return (minus RF) USD
32 DEV SMB AA SMB_Value = 1/3(small value + small middle + small growth) - 1/3(large value + large middle + large growth); SMB_Mom = 1/3(small high mom + small middle + small low mom) - 1/3(large high mom+ large middle + large low mom); SMB_Quality = 1/3(small high quality + small middle + small low quality) - 1/3(large high quality + large middle + large low quality). SMB = 1/3*(SMB_Value + SMB_Mom + SMB_Quality) International L/S Size Factor USD
33 DEV HML AA Within the large-cap universe (top 1000) and the small-cap universe (next 2000), go long top 1/3 on factor and short bottom 1/3 on the factor. Market-cap weighted portfolios. 1/2*(large value - large growth) + 1/2*(small value - small growth). Value = EBIT/TEV. International L/S Value Factor USD
34 DEV MOM AA Within the large-cap universe (top 1000) and the small-cap universe (next 2000), go long top 1/3 on factor and short bottom 1/3 on the factor. Market-cap weighted portfolios. 1/2*(large high mom - large low mom) + 1/2*(small high mom - small low mom). Mom = 2-12 momentum. International L/S Momentum Factor USD
35 DEV QMJ AA Within the large-cap universe (top 1000) and the small-cap universe (next 2000), go long top 1/3 on factor and short bottom 1/3 on the factor. Market-cap weighted portfolios. 1/2*(large high quality - large low quality) + 1/2*(small high quality - small low quality). Quality = Financial Strength Score (FS Score). International L/S Quality Factor USD
36 CAD MKT AA CAD Market-cap weight Canadian Universe (top 150 by market-cap). Canada Market Excess Return CAD
37 CAD MKT AA RF CAD Market-cap weight Canadian Universe (top 150 by market-cap) in excess of the risk-free rate. Canada Market Excess Return (minus RF) CAD
38 CAD SMB AA CAD Canada_Equal_Tercile_150_Size_L_S_Return:Long small stocks and short large stocks. Equal-weight construction; terciles. Canada L/S Size Factor; no adjustments CAD
39 CAD HML AA CAD Long high EBIT/TEV and short low EBIT/TEV stocks. Equal-weight construction; terciles. Canada L/S Value Factor; no adjustments CAD
40 CAD MOM AA CAD Long winners (2-12 momentum) and short losers (2-12 momentum). Equal-weight construction; terciles. Canada L/S Momentum Factor; no adjustments CAD
41 CAD QMJ AA CAD Long high quality (Gross Profits / Total Assets) and short low quality. Equal-weight construction; deciles. Canada L/S Quality Factor; no adjustments CAD
42 US TREND L/S INDEX US Trend Factor Long/Short Long the S&P 500 TR Index in accordance with ROBUST Trend rules, otherwise in treasury bills; short the Index. Monthly rebalanced. USD
43 DEV TREND L/S INDEX Developed Trend Factor Long/Short Long the MSCI EAFE TR Index in accordance with ROBUST Trend rules, otherwise in treasury bills; short the Index. Monthly rebalanced. USD
44 CAD TREND L/S INDEX Canada Trend Factor Long/Short Long the TSX/S&P Capped Composite Total Return Index in accordance with ROBUST Trend rules, otherwise in treasury bills; short the Index. Monthly rebalanced. USD
45 TREND 3 L/S INDEX Diversifier Trend Factor Long/Short Long a basket of 25% passive real estate investment trusts (REIT); 25% passive global commodities (COMM); 50% Intermediate-Term U.S. Treasury Bond (INT TBOND_Year) in accordance with ROBUST Trend rules applied to each component of the basket, otherwise in treasury bills; short the 25%/25%/50% Index basket. Monthly rebalanced. USD
46 US TREND LONG INDEX US Trend Factor Long/Flat Long the S&P 500 TR Index in accordance with ROBUST Trend rules, otherwise in treasury bills. Monthly rebalanced. USD
47 DEV TREND LONG INDEX Developed Trend Factor Long/Flat Long the MSCI EAFE TR Index in accordance with ROBUST Trend rules, otherwise in treasury bills. Monthly rebalanced. USD
48 CAD TREND LONG INDEX Canada Trend Factor Long/flat Long the TSX/S&P Capped Composite Total Return Index in accordance with ROBUST Trend rules, otherwise in treasury bills. Monthly rebalanced. USD
49 TREND 3 LONG INDEX Diversifier Trend Factor Long/Flat Long a basket of 25% passive real estate investment trusts (REIT); 25% passive global commodities (COMM); 50% Intermediate-Term U.S. Treasury Bond (INT TBOND_Year) in accordance with ROBUST Trend rules applied to each component of the basket, otherwise in treasury bills. Monthly rebalanced. USD
50 WORLD TREND LONG INDEX World Trend Factor Long/Flat 50% US_TREND_LONG (Long the S&P 500 TR Index in accordance with ROBUST Trend rules, otherwise in treasury bills) and 50% DEV_TREND_LONG (Long the MSCI EAFE TR Index in accordance with ROBUST Trend rules, otherwise in treasury bills). Monthly rebalanced. USD
51 WORLD 70/30 INDEX 70% Global Stock / 30% T-Bills 70% MSCI World and 30% 90-Day T-Bills. Monthly rebalanced. USD
52 GLOBAL 40/60 INDEX 40% Global Stock / 60% Global Bond 40% MSCI World Total Return Index and 60% Barclays Global Aggregate Bond. Monthly rebalanced. USD
53 GLOBAL 60/40 INDEX 60% Global Stock / 40% Global Bond 60% MSCI World Total Return Index and 40% Barclays Global Aggregate Bond. Monthly rebalanced. USD
54 GLOBAL 80/20 INDEX 80% Global Stock / 20% Global Bond 80% MSCI World Total Return Index and 20% Barclays Global Aggregate Bond. Monthly rebalanced. USD
55 SP500 INDEX S&P 500 S&P 500 USD
56 MSCI EAFE INDEX MSCI EAFE MSCI EAFE USD
57 TSX CAPPED INDEX Returns in USD. TSX CAPPED INDEX Returns in USD. Returns in USD. TSX CAPPED INDEX. Alpha Architect USD
58 COMM INDEX S&P GSCI S&P GSCI USD
59 REIT INDEX FTSE Nareit / All Equity REITs -INV FTSE Nareit / All Equity REITs -INV USD
60 TBOND 7-10YR INDEX Bloomberg Barclays US Aggregate Government - Treasury (7-10 Y) Bloomberg Barclays US Aggregate Government - Treasury (7-10 Y) USD
61 GOLD INDEX Gold NYMEX Near Term ($/ozt) Gold NYMEX Near Term ($/ozt) USD
62 RF INDEX Bloomberg Barclays 3 Month T-Bill Bloomberg Barclays 1 to 3-month Treasury Bill Index; before 1/1/2006 Ibbotson Associates 1-month T-bills USD
63 ROBUST Trend 50% 12-month time series momentum rule and 50% 12-month simple moving average rule. For a given asset class, the rules are generally calculated based on the underlying passive index. 50% 12-month time series momentum rule and 50% 12-month simple moving average rule. For a given asset class, the rules are generally calculated based on the underlying passive index. N/A
64 Excess Return (minus RF) A _RF designator implies the time series is in excess of the risk-free rate. A _RF designator implies the time series is in excess of the risk-free rate. N/A
65 Long/Short Factor Library Name Template Market, Weighting, Split, Universe#, Metric, Portfolio, Description The naming convention is best described via an example. Consider Canada_Value_Tercile_150_EBITDA_TEV_L_S_Return, which would be translated as Canadian market, value-weighted portfolios, cut into thirds (tercile), 150 largest stock universe, EBITDA_TEV is the sorting variable, Long/Short construction. All returns are total returns and include dividends and distributions. N/A
66 Universe Factor Library Name Template Market, Weighting, Split, Universe#, Portfolio, Description The naming convention is best described via an example. Please note that the split is not applicable to the universe factor. Consider US_Equal_Quintile_1500_Passive Universe_Universe_Return, which would be translated as US market, equal-weight portfolio construction, 20% splits (N_A for the universe), top 1500 largest stocks, and the portfolio reflects the returns of the entire universe. All returns are total returns and include dividends and distributions. N/A
67 STR INDEX GROSS Alpha Architect Short-Term Reserve Index (Gross) Annual rebalance across 80% TBOND 7-10YR INDEX and 20% RF INDEX. Details are available upon request. USD
68 LTG INDEX GROSS Alpha Architect Long-Term Growth Index (Gross) Annual rebalance across 12.5% QV INDEX NET, 12.5% QM INDEX NET, 25% SP500 INDEX, 12.5% IQV INDEX NET, 12.5% IQM INDEX NET, and 25% MSCI EAFE INDEX. Details are available upon request. USD
69 STR INDEX NET Alpha Architect Short-Term Reserve Index (Gross) Index net of 0.5% in frictional costs (estimated fund/advisory fees and frictional costs) USD
70 LTG INDEX NET Alpha Architect Long-Term Growth Index (Gross) Index net of 0.5% in frictional costs (estimated fund/advisory fees and frictional costs) USD