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Factor ETFs (improved)
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

Factor ETFs (improved)

Currency in USD · Last updated Apr 3, 2026

Asset Allocation

1 position 4.00%24 positions 96.00%AlternativesAlternativesEquityEquity
PositionCategory/SectorTarget Weight
DBMF
iM DBi Managed Futures Strategy ETF		Hedge Fund, Actively Managed
4%
DYNF
BlackRock U.S. Equity Factor Rotation ETF		Large Cap Growth Equities, Actively Managed
4%
EFAV
iShares Edge MSCI Min Vol EAFE ETF		Foreign Large Cap Equities
4%
IDHQ
Invesco S&P International Developed High Quality ETF		Foreign Large Cap Equities
4%
IDLV
Invesco S&P International Developed Low Volatility ETF		Volatility Hedged Equity
4%
IDMO
Invesco S&P International Developed Momentum ETF		Global Equities
4%
IVLU
iShares MSCI Intl Value Factor ETF		Foreign Large Cap Equities
4%
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF		Small Cap Blend Equities
4%
RFG
Invesco S&P MidCap 400® Pure Growth ETF		Small Cap Growth Equities
4%
RFV
Invesco S&P MidCap 400® Pure Value ETF		Small Cap Value Equities
4%
RPG
Invesco S&P 500 Pure Growth ETF		Large Cap Growth Equities, S&P 500
4%
RPV
Invesco S&P 500® Pure Value ETF		Large Cap Value Equities, S&P 500
4%
RZG
Invesco S&P SmallCap 600® Pure Growth ETF		Small Cap Growth Equities
4%
RZV
Invesco S&P SmallCap 600® Pure Value ETF		Small Cap Value Equities
4%
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF		S&P 500, Dividend
4%
SPHQ
Invesco S&P 500 Quality ETF		S&P 500, Large Cap Value Equities
4%
SPLV
Invesco S&P 500 Low Volatility ETF		S&P 500, Large Cap Value Equities
4%
SPMO
Invesco S&P 500 Momentum ETF		S&P 500
4%
SPY
State Street SPDR S&P 500 ETF		S&P 500
4%
XMHQ
Invesco S&P MidCap Quality ETF		Mid Cap Blend Equities
4%
XMLV
Invesco S&P MidCap Low Volatility ETF		Volatility Hedged Equity
4%
XMMO
Invesco S&P MidCap Momentum ETF		Mid Cap Growth Equities
4%
XSHQ
Invesco S&P SmallCap Quality ETF		Small Cap Growth Equities
4%
XSLV
Invesco S&P SmallCap Low Volatility ETF		Volatility Hedged Equity
4%
XSMO
Invesco S&P SmallCap Momentum ETF		Small Cap Growth Equities
4%

S&P 500 Index

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Factor ETFs (improved), comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.

Loading graphics...

The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF

Returns By Period

1D1MYTD6M1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
0.11%-3.43%-3.84%-1.98%16.08%16.86%10.37%12.29%
Portfolio
Factor ETFs (improved)
0.12%-2.38%3.22%4.64%18.51%15.69%9.28%—
Portfolio components:
DBMF
iM DBi Managed Futures Strategy ETF		0.33%0.36%8.44%15.46%27.06%10.31%8.74%—
DYNF
BlackRock U.S. Equity Factor Rotation ETF		0.10%-2.65%-3.06%-0.32%20.85%22.75%13.05%—
EFAV
iShares Edge MSCI Min Vol EAFE ETF		0.14%0.55%6.71%9.88%22.08%14.12%7.69%6.52%
IDHQ
Invesco S&P International Developed High Quality ETF		-1.36%-4.33%2.09%5.15%21.13%12.88%6.59%8.74%
IDLV
Invesco S&P International Developed Low Volatility ETF		-0.17%-2.11%3.15%6.96%19.13%11.99%6.62%5.50%
IDMO
Invesco S&P International Developed Momentum ETF		-0.89%-1.97%1.06%6.02%29.40%22.78%14.31%11.76%
IVLU
iShares MSCI Intl Value Factor ETF		-0.55%-1.38%5.44%14.60%37.86%22.22%14.03%10.70%
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF		0.18%-2.12%-0.31%1.50%13.96%10.17%7.68%—
RFG
Invesco S&P MidCap 400® Pure Growth ETF		0.17%-3.55%6.06%8.66%23.66%15.33%5.14%9.33%
RFV
Invesco S&P MidCap 400® Pure Value ETF		-0.10%-1.70%2.69%2.22%14.83%13.47%9.48%11.87%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since May 9, 2019, Factor ETFs (improved)'s average daily return is +0.05%, while the average monthly return is +0.99%. At this rate, your investment would double in approximately 5.9 years.

Historically, 63% of months were positive and 37% were negative. The best month was Nov 2020 with a return of +12.5%, while the worst month was Mar 2020 at -15.7%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Factor ETFs (improved) closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +8.7%, while the worst single day was Mar 16, 2020 at -11.5%.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20263.90%3.55%-5.10%1.09%3.22%
20253.36%-1.14%-2.78%-0.23%5.17%3.05%0.48%3.74%1.34%-0.53%1.87%0.27%15.30%
20240.12%5.02%4.49%-4.28%4.24%-0.46%4.59%1.12%1.18%-2.01%6.74%-5.40%15.55%
20236.17%-2.35%-1.22%0.52%-2.91%6.92%3.75%-1.96%-3.45%-3.39%7.40%6.52%16.01%
2022-5.37%-0.92%2.07%-5.92%1.62%-8.21%7.59%-3.70%-8.32%9.58%5.79%-4.60%-11.76%
20211.50%3.71%4.04%2.69%1.49%0.80%0.72%2.32%-3.39%5.10%-2.28%4.20%22.58%

Benchmark Metrics

Factor ETFs (improved) has an annualized alpha of 0.09%, beta of 0.89, and R² of 0.89 versus S&P 500 Index. Calculated based on daily prices since May 09, 2019.

  • This portfolio participated in 91.36% of S&P 500 Index downside but only 86.91% of its upside — more exposed to losses than it benefited from rallies.
  • With beta of 0.89 and R² of 0.89, this portfolio moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
Alpha
0.09%
Beta
0.89
R²
0.89
Upside Capture
86.91%
Downside Capture
91.36%

Expense Ratio

Factor ETFs (improved) has an expense ratio of 0.30%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

Top 10 holdings
DBMF
iM DBi Managed Futures Strategy ETF
XSMO
Invesco S&P SmallCap Momentum ETF
RFG
Invesco S&P MidCap 400® Pure Growth ETF
RFV
Invesco S&P MidCap 400® Pure Value ETF
RPG
Invesco S&P 500 Pure Growth ETF
RPV
Invesco S&P 500® Pure Value ETF
RZG
Invesco S&P SmallCap 600® Pure Growth ETF
RZV
Invesco S&P SmallCap 600® Pure Value ETF
XMMO
Invesco S&P MidCap Momentum ETF
DYNF
BlackRock U.S. Equity Factor Rotation ETF

Return for Risk

Risk / Return Rank

Factor ETFs (improved) ranks 42 for risk / return — on par with similar portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.

Factor ETFs (improved) Risk / Return Rank: 4242
Overall Rank
Factor ETFs (improved) Sharpe Ratio Rank: 4141
Sharpe Ratio Rank
Factor ETFs (improved) Sortino Ratio Rank: 4242
Sortino Ratio Rank
Factor ETFs (improved) Omega Ratio Rank: 3939
Omega Ratio Rank
Factor ETFs (improved) Calmar Ratio Rank: 3939
Calmar Ratio Rank
Factor ETFs (improved) Martin Ratio Rank: 4848
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

PortfolioBenchmarkDifference

Sharpe ratio

Return per unit of total volatility

1.15

0.88

+0.27

Sortino ratio

Return per unit of downside risk

1.72

1.37

+0.35

Omega ratio

Gain probability vs. loss probability

1.25

1.21

+0.04

Calmar ratio

Return relative to maximum drawdown

1.70

1.39

+0.31

Martin ratio

Return relative to average drawdown

7.99

6.43

+1.55

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Risk / Return RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
DBMF
iM DBi Managed Futures Strategy ETF		942.253.051.484.3818.76
DYNF
BlackRock U.S. Equity Factor Rotation ETF		651.151.701.261.878.80
EFAV
iShares Edge MSCI Min Vol EAFE ETF		851.822.421.353.0611.14
IDHQ
Invesco S&P International Developed High Quality ETF		571.121.641.221.606.51
IDLV
Invesco S&P International Developed Low Volatility ETF		771.542.151.322.368.78
IDMO
Invesco S&P International Developed Momentum ETF		791.542.141.322.489.91
IVLU
iShares MSCI Intl Value Factor ETF		902.112.801.423.1912.14
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF		470.841.301.181.456.75
RFG
Invesco S&P MidCap 400® Pure Growth ETF		601.031.591.211.968.35
RFV
Invesco S&P MidCap 400® Pure Value ETF		320.611.061.141.063.44

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Factor ETFs (improved) Sharpe ratios as of Apr 3, 2026 (values are recalculated daily):

  • 1-Year: 1.15
  • 5-Year: 0.61
  • All Time: 0.60

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.98 to 1.67, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Factor ETFs (improved) compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Factor ETFs (improved) provided a 2.00% dividend yield over the last twelve months.

TTM20252024202320222021202020192018201720162015
Portfolio2.00%2.01%1.99%2.02%2.40%1.79%1.51%2.23%1.80%1.37%1.47%1.44%
Portfolio components:
DBMF
iM DBi Managed Futures Strategy ETF		5.28%5.91%5.75%2.91%7.72%10.38%0.86%9.35%0.00%0.00%0.00%0.00%
DYNF
BlackRock U.S. Equity Factor Rotation ETF		1.02%1.01%0.65%1.11%1.66%2.89%1.52%1.22%0.00%0.00%0.00%0.00%
EFAV
iShares Edge MSCI Min Vol EAFE ETF		3.00%3.20%3.24%3.08%2.53%2.47%1.33%4.19%3.34%2.45%3.94%2.49%
IDHQ
Invesco S&P International Developed High Quality ETF		2.36%2.46%2.41%2.52%3.33%2.10%1.60%2.10%2.67%1.68%2.36%1.71%
IDLV
Invesco S&P International Developed Low Volatility ETF		4.67%4.63%3.41%3.59%4.69%2.99%2.30%4.92%3.94%3.05%3.92%3.93%
IDMO
Invesco S&P International Developed Momentum ETF		3.77%3.71%2.24%2.89%3.66%1.81%1.63%2.78%3.27%3.08%2.18%2.52%
IVLU
iShares MSCI Intl Value Factor ETF		3.52%3.71%4.46%4.69%3.59%3.47%2.05%3.53%2.82%2.87%2.53%0.93%
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF		0.85%0.80%1.22%1.37%1.55%0.95%1.48%1.53%1.39%0.32%0.00%0.00%
RFG
Invesco S&P MidCap 400® Pure Growth ETF		0.36%0.43%0.38%0.99%0.78%0.05%0.27%0.64%0.76%0.66%0.35%0.61%
RFV
Invesco S&P MidCap 400® Pure Value ETF		2.03%2.07%1.31%1.27%2.05%1.60%1.52%1.71%1.39%1.36%0.88%1.79%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Factor ETFs (improved). A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Factor ETFs (improved) was 35.79%, occurring on Mar 23, 2020. Recovery took 162 trading sessions.

The current Factor ETFs (improved) drawdown is 4.45%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.79%Jan 21, 202044Mar 23, 2020162Nov 10, 2020206
-21.42%Nov 17, 2021219Sep 30, 2022306Dec 19, 2023525
-15.98%Dec 5, 202484Apr 8, 202552Jun 24, 2025136
-7.76%Feb 27, 202622Mar 30, 2026———
-7.03%Jul 17, 202414Aug 5, 202414Aug 23, 202428

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 25 assets, with an effective number of assets of 25.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
BenchmarkDBMFSPLVEFAVSPHDIDMOIDLVSPMOIDHQIVLURZVXSLVRPVXMLVRPGRFVXSHQXMMOXSMODYNFRZGSPHQOMFLRFGSPYXMHQPortfolio
Benchmark1.000.180.630.650.610.710.670.860.760.700.670.680.700.700.890.730.750.810.770.970.800.940.870.831.000.830.90
DBMF0.181.000.070.110.070.200.110.200.170.170.130.100.120.100.180.140.150.180.180.180.150.180.160.160.180.170.21
SPLV0.630.071.000.630.770.500.640.550.540.520.480.670.610.820.520.520.530.570.530.580.510.660.600.530.630.570.67
EFAV0.650.110.631.000.590.790.930.550.840.820.520.560.570.620.590.550.550.570.550.630.580.660.620.600.660.600.72
SPHD0.610.070.770.591.000.450.620.430.540.640.740.790.860.830.480.760.680.560.610.570.630.610.690.580.620.670.75
IDMO0.710.200.500.790.451.000.790.720.830.790.520.520.530.550.710.550.580.690.650.710.630.700.640.680.710.650.75
IDLV0.670.110.640.930.620.791.000.570.820.840.560.600.610.660.590.590.580.600.580.650.600.670.640.610.670.630.75
SPMO0.860.200.550.550.430.720.571.000.670.570.490.510.500.570.870.540.600.800.710.850.670.840.720.750.860.690.77
IDHQ0.760.170.540.840.540.830.820.671.000.810.560.560.580.600.710.610.620.670.640.730.660.750.690.690.760.680.78
IVLU0.700.170.520.820.640.790.840.570.811.000.680.630.720.630.620.710.670.630.650.680.670.690.700.660.700.700.80
RZV0.670.130.480.520.740.520.560.490.560.681.000.850.880.760.610.930.890.710.820.660.840.650.770.750.680.830.86
XSLV0.680.100.670.560.790.520.600.510.560.630.851.000.820.900.600.840.870.720.810.650.810.660.740.730.680.800.85
RPV0.700.120.610.570.860.530.610.500.580.720.880.821.000.800.580.910.820.680.740.670.760.690.800.710.700.810.85
XMLV0.700.100.820.620.830.550.660.570.600.630.760.900.801.000.630.790.790.750.770.680.760.700.750.740.710.810.85
RPG0.890.180.520.590.480.710.590.870.710.620.610.600.580.631.000.660.710.850.790.890.800.870.790.890.890.810.85
RFV0.730.140.520.550.760.550.590.540.610.710.930.840.910.790.661.000.880.750.810.720.840.710.820.790.730.870.89
XSHQ0.750.150.530.550.680.580.580.600.620.670.890.870.820.790.710.881.000.800.890.740.910.740.810.840.750.900.91
XMMO0.810.180.570.570.560.690.600.800.670.630.710.720.680.750.850.750.801.000.890.820.850.800.800.920.810.890.90
XSMO0.770.180.530.550.610.650.580.710.640.650.820.810.740.770.790.810.890.891.000.780.930.760.790.880.770.870.91
DYNF0.970.180.580.630.570.710.650.850.730.680.660.650.670.680.890.720.740.820.781.000.790.920.860.830.970.820.89
RZG0.800.150.510.580.630.630.600.670.660.670.840.810.760.760.800.840.910.850.930.791.000.770.810.900.800.890.92
SPHQ0.940.180.660.660.610.700.670.840.750.690.650.660.690.700.870.710.740.800.760.920.771.000.840.810.940.820.88
OMFL0.870.160.600.620.690.640.640.720.690.700.770.740.800.750.790.820.810.800.790.860.810.841.000.820.870.860.90
RFG0.830.160.530.600.580.680.610.750.690.660.750.730.710.740.890.790.840.920.880.830.900.810.821.000.830.920.92
SPY1.000.180.630.660.620.710.670.860.760.700.680.680.700.710.890.730.750.810.770.970.800.940.870.831.000.830.90
XMHQ0.830.170.570.600.670.650.630.690.680.700.830.800.810.810.810.870.900.890.870.820.890.820.860.920.831.000.94
Portfolio0.900.210.670.720.750.750.750.770.780.800.860.850.850.850.850.890.910.900.910.890.920.880.900.920.900.941.00
The correlation results are calculated based on daily price changes starting from May 9, 2019