39 slides from Alpha Architect Global Factor Equity ETF's conference presentation, April 2024
Slide 1: Factor Update: Quantitative Momentum
Build with conviction Factor Update: Quantitative Momentum 1
Slide 2: Standardized Returns as of 3/31/2024
Build with conviction Standardized Returns as of 3/31/2024 Annualized 3 Yr. Annualized 5 Yr. Annualized Total YTD 1 Yr. Total Return Total Return Return Since Incept. Expense Ratios Name Ticker Inception Date NAV Mkt. NAV Mkt. NAV Mkt. NAV Mkt. NAV Mkt. Gross Net Alpha Architect US QMOM 12/1/2015 18
Slide 3: Featured speakers
Build with conviction Jack R. Vogel, PhD | co-CIO, Portfolio Manager • Ph.D. Finance and an MS in Mathematics from Drexel University • BS in Mathematics and Education, summa cum laude from The University of Scranton Featured • Published in multiple academic journals, including the Journal of Portfol
Slide 4: Agenda
Build with conviction 1. Operational improvements 2. How has QMOM responded to the AI-fueled bull market? 3. Where’s NVDA? Agenda 4. How is QMOM currently positioned? 5. Where has IMOM found momentum in international markets? 6. Three ideas to implement QMOM & IMOM 7. Audience Q&A 4
Slide 5: 1. Operational improvements
Build with conviction 1. Operational improvements Fee cuts and updated rebalancing speed 5
Slide 6: We reduced fees (again!)
Build with conviction We reduced fees (again!) Alpha Architect Net Expense Ratio History Alpha Architect approved a second round of fee cuts, effective 1/31/2024. Ticker 2015 2016 2017 2018 2019* 2020 2021 2022 2023* 2024* MOMENTUM The fee reduction aligns with our mission QMOM 0.79% 0.79% 0.79% 0.7
Slide 7: We increased our rebalancing frequency
Build with conviction 40% 35% QMOM 30% We increased our rebalancing 25% Rebalancing change frequency 20% went into effect Total return 15% IMOM Our focused factor ETFs changed from a quarterly rebalance cycle to a monthly rebalance cycle. 10% The change is consistent with academic research into opti
Slide 8: 2. How did QMOM respond to AI bull market?
Build with conviction 2. How did QMOM respond to AI bull market? What’s going on in tech? 8
Slide 9: 179 companies mentioned AI on Q4 earnings calls
Build with conviction 179 companies mentioned “AI” on Q4 earnings calls Unsurprisingly, 52 of 179 tech stocks mentioned AI on their earnings calls Industrials were next highest mention at 27 of 179 The term “AI” was mentioned more than 50 times on the earnings calls of nine S&P 500 companies, led by
Slide 10: The market responded
Build with conviction The market responded S&P 500 companies that cited “AI” on Q4 earnings calls have seen a better average stock price performance over the past 12 months For S&P 500 companies that cited “AI” on Q4 earnings calls • Companies that mentioned “AI” saw an average change in price of 28
Slide 11: How did QMOM respond? Tech positions
Build with conviction 2023 - Apr 2023 - Sep 2023 - Dec 2024 - Feb 2024 - Mar 19 How did QMOM respond? QMOM steadily built a …and cut when position in tech as momentum faded The Fund’s six existing tech positions grew to 19 momentum strengthened… positions by February 2024 11 # of holdings However, m
Slide 12: Industrials have led the way
Build with conviction Biz. Svcs. Cons. Cycl. Cons. Non-Cycl. Industrials have led the way Cons. Svcs. Interestingly, Industrials have been QMOM’s most Energy profitable sector year-to-date, contributing 5.00%. Finance Comfort Systems USA, Inc. (FIX), Vertiv Holdings Healthcare Co. Cl. A (VRT), and C
Slide 13: 2. Where's NVDA?
Build with conviction 2. Where’s NVDA? NVDA has been one of the hottest stocks on the market. Why hasn’t QMOM owned it recently? 13
Slide 14: 2-12 Momentum: profile of a portfolio stock
Build with conviction AVOID TARGET High momentum/discrete path High momentum/continuous path Profile of a portfolio stock HIGH • Higher probability that momentum • Higher probability that momentum QMOM and IMOM targets stocks featuring a reverses relative to more continuous continues relative to mor
Slide 15: NVDA (NVDA) in QMOM since inception
Build with conviction 900 NVDA, Corp. (NVDA) 100 800 QMOM has owned Nvidia four times since fund inception, most profitably in 2017. 700 NVDA has contributed approx. 14.01% to QMOM’s 75 30-day avg. volume (millions) 600 total return since fund inception, or about 8.39% of QMOM’s total return. Total
Slide 16: AppLovin Corp (APP)
Build with conviction 350% 300% APP 298.09% AppLovin Corp (APP) 250% NVDA 232.37% AppLovin is a mid-cap mobile app technology 200% company that focuses on growing the mobile app Total return ecosystem by enabling the success of mobile app developers. 150% APP has contributed 1.21% to QMOM’s total re
Slide 17: e.l.f. Beauty (ELF)
Build with conviction 300% 250% NVDA 232.37% e.l.f. Beauty (ELF) 200% ELF is a mid-cap cosmetics brand that sells skin- ELF care products, makeup, beauty care tools, and 150% 162.51% Total return more. ELF has contributed approx. 2.35% to QMOM’s 100% total return since fund inception. 50% 0% Mar-23
Slide 18: Vertiv Holdings (VRT)
Build with conviction 550% 450% VRT 445.56% Vertiv Holdings (VRT) 350% Vertiv is a mid-cap electrical equipment and parts company that services data centers, Total return communication networks and commercial and industrial facilities with a portfolio of power, 250% NVDA cooling and IT infrastructur
Slide 19: Abercrombie & Fitch (ANF)
Build with conviction 550% 450% ANF Abercrombie & Fitch (ANF) 387.11% 350% Abercrombie & Fitch is a small-cap retail apparel Total return company that sells casual clothing, personal-care products, and accessories for men, women, and 250% NVDA children. 232.37% ANF has contributed approx. 0.26% to Q
Slide 20: 3. How is QMOM positioned now?
Build with conviction 3. How is QMOM positioned now? 20
Slide 21: QMOM returns to a diversified portfolio
Build with conviction 2023 - Dec 2024 - Jan 2024 - Feb 2024 - Mar 1919 QMOM returns to a diversified 12 portfolio as of 3/31/2024 # of holdings 11 10 10 9 9 31 positions (62% of the fund) are spread between 8 industrial (10), consumer cyclical (eight), tech 7 7 7 (seven), and financial services (six
Slide 22: QMOM holdings by sector
Build with conviction Sector Ticker Name Weight Mom. Score Sector Ticker Name Weight Mom. Score Industrials UBER Uber Technologies, Inc. 1.98% 157.57% Finance KKR KKR & Co Inc 1.95% 92.48% Industrials SAIA Saia, Inc. 1.98% 118.98% Finance APPF AppFolio Inc Class A 1.92% 89.77% Industrials FIX Comfor
Slide 23: 4. Where is momentum in international markets?
Build with conviction 4. Where is momentum in international markets? International tech drives IMOM’s returns 23
Slide 24: Japanese tech companies drive 60% of IMOM's returns
Build with conviction Biz. Svcs. Cons. Cycl. Cons. Non-Cycl. Japanese tech companies Cons. Svcs. drive 60% of IMOM’s returns Energy International tech stocks contributed 6.46% to Finance IMOM’s year-to-date return, approx. 60% of Healthcare IMOM’s 10.58%/10.62% (MKT/NAV) return Industrials Japanese
Slide 25: Financial services momentum rebounds
Build with conviction 2023 - Dec 2024 - Jan 2024 - Feb 2024 - Mar 15 14 13 13 Financial services momentum rebounds # of holdings 9 9 8 8 8 International financial services stocks roar back, 7 jumping from four positions in February to 15 6 6 6 6 positions through March 31, 2024. 5 5 5 5 5 4 4 4 4 In
Slide 26: IMOM holdings by sector
Build with conviction Sector Ticker Name Weight Mom. Score Sector Ticker Name Weight EBIT/TEV Finance UCG-MIL UniCredit S.p.A. 2.08% 81.03% Industrials LDO-MIL Leonardo SpA 2.02% 86.15% Finance 8697-TKS Japan Exchange Group, Inc. 1.92% 74.54% Industrials 8058-TKS Mitsubishi Corporation 1.97% 82.54%
Slide 27: 5. Three ideas to implement QMOM & IMOM
Build with conviction 5. Three ideas to implement QMOM & IMOM 27
Slide 28: Use QMOM and IMOM instead of thematic or sector-specific funds
Build with conviction 2023 - Dec 2024 - Jan 2024 - Feb 2024 - Mar 1919 Use QMOM and IMOM instead of thematic or sector-specific 12 # of holdings 11 funds 10 9 9 10 8 7 7 7 Let our system find momentum in the US and 6 International markets 5 4 4 4 3 3 3 3 3 3 3 3 2 2 2 2 2 2 2 1 1 1 1 1 1 1 1 1 1 1 S
Slide 29: Use QMOM and IMOM to complement market-cap weighted strategies
Build with conviction Use QMOM and IMOM to complement market-cap weighted strategies S&P 500: market-cap weighted QMOM: equal-weighted ANF URBN ETN CNM SFM BAH JBL MLM 2.15% 2.05% 2.03% 2.02% 2.02% 2.02% 2.01% 2.01% RCL AMR FIX KBH EXP PHM TOL NVDA AMZN META WFRD 2.04% 2.01% 1.99% 1.99% 1.99% 1.99%
Slide 30: Replace existing momentum funds with QMOM & IMOM
Build with conviction 9.00% Rolling 5-Yr. Excess Returns Won Lost Count Win % Avg. excess return 8.00% QMOM vs. US 40 0 40 100.00% 3.84% Momentum ETFs* 7.00% Replace existing momentum 6.00% 3.84% average Excess returns funds with QMOM & IMOM 5.00% excess return QMOM’s concentrated, systematic approa
Slide 31: Use our model portfolios
Build with conviction Ticker 0/100 10/90 20/80 30/70 40/60 50/50 60/40 70/30 80/20 90/10 100/0 Passive US market -- 3.90% 7.80% 11.70% 15.60% 19.50% 23.40% 27.30% 31.20% 35.10% 39.00% index strategy US STOCKS Value: QVAL -- 1.30% 2.60% 3.90% 5.20% 6.50% 7.80% 9.10% 10.40% 11.70% 13.00% Use our model
Slide 32: Let's talk next steps.
Build with conviction See a model portfolio Visit advisors.alphaarchitect.com to download the model portfolio brochures. Let’s talk Attend our next webinar Visit advisors.alphaarchitect.com/events to register for a live webinar with the next steps. Alpha Architect team. Schedule a consultation Wheth
Slide 33: Join our Virtual workshop Thursday, April 25th
Build with conviction Join our Virtual workshop Thursday, April 25th at 1pm ET • We’ve recently published two new pieces specific to QMOM: an Overview pitchdeck and a Process & Trade Examples deck • We’ll host a LIVE walk through of how to use these th decks on Thursday, April 25 at 1pm ET Source: A
Slide 34: Important Information
Build with conviction IMPORTANT INFORMATION IMPORTANT RISK INFORMATION: Investors should carefully consider the investment objectives, risk, charges, and expenses of the funds. This and other important information is in the indicated fund’s prospectus, which can be obtained by calling (215) 882-9983
Slide 35: Important Information
Build with conviction IMPORTANT INFORMATION A fund's use of derivatives may reduce a fund's returns and/or increase volatility and subject the fund to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. A fund could suffer losses
Slide 36: Important Information
Build with conviction IMPORTANT INFORMATION Quantitative security selection risk. The Adviser uses a quantitative model, and its processes could be adversely affected if erroneous or outdated data is utilized. In addition, securities selected using a quantitative model could perform differently from
Slide 37: Important Information
Build with conviction IMPORTANT INFORMATION Non-Diversification Risk. The Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified funds. Selling or Writing Options Risk. Writing option contracts can result in losses that exc
Slide 38: Definitions
Build with conviction DEFINITIONS Large-cap stocks represented by stocks in the top 70% of the capitalization of the U.S. equity market. Mid-cap stocks represented by stocks in the middle 20% of the capitalization of the U.S. equity market. Small-cap stocks represented by stocks in the last 10% of t
Slide 39: Definitions
Build with conviction DEFINITIONS Industrials composed of companies that offer products and services for industrial use or with applications in aerospace, defense, or security; transportation, construction, and related infrastructure; or farming, including equipment and machinery manufacture, wholes