Asset Allocation
Find the right asset allocation for factor
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in factor, 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 charts...
Returns By Period
As of Jun 13, 2026, the factor returned 21.05% Year-To-Date and 14.15% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | -0.93% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio factor | 0.84% | 4.26% | 21.05% | 21.03% | 37.00% | 22.84% | 12.34% | 14.15% |
| Portfolio components: | ||||||||
MTUM iShares MSCI USA Momentum Factor ETF | 1.69% | 5.58% | 29.72% | 30.51% | 42.02% | 33.16% | 14.96% | 17.15% |
QUAL iShares MSCI USA Quality Factor ETF | 0.47% | 2.14% | 9.44% | 9.29% | 22.87% | 19.30% | 11.97% | 14.46% |
SPLV Invesco S&P 500 Low Volatility ETF | 0.85% | 2.29% | 5.23% | 5.17% | 5.09% | 8.60% | 6.12% | 8.36% |
VBR Vanguard Small-Cap Value ETF | 0.87% | 4.49% | 14.60% | 12.92% | 29.93% | 16.09% | 8.36% | 10.99% |
VLUE iShares MSCI USA Value Factor ETF | 0.40% | 7.72% | 45.72% | 46.53% | 85.32% | 31.47% | 16.01% | 15.38% |
VTI Vanguard Total Stock Market ETF | 0.57% | -0.28% | 9.62% | 9.69% | 26.27% | 20.60% | 12.20% | 15.02% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 18, 2013, factor's average daily return is +0.05%, while the average monthly return is +1.12%. At this rate, an investment would double in approximately 5.2 years.
Historically, 70% of months were positive and 30% were negative. The best month was Nov 2020 with a return of +12.5%, while the worst month was Mar 2020 at -15.2%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.
On a daily basis, factor closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +10.1%, while the worst single day was Mar 16, 2020 at -12.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.81% | 1.72% | -5.31% | 11.22% | 7.40% | 1.36% | 21.05% | ||||||
| 2025 | 3.76% | -0.10% | -4.55% | -1.14% | 5.45% | 3.77% | 0.62% | 3.18% | 3.17% | 0.37% | 1.34% | 0.53% | 17.22% |
| 2024 | 1.29% | 5.24% | 3.93% | -5.16% | 4.31% | 1.50% | 2.67% | 2.42% | 1.76% | -0.98% | 6.52% | -5.41% | 18.76% |
| 2023 | 4.82% | -3.23% | 0.59% | 0.96% | -2.80% | 6.75% | 3.17% | -1.76% | -4.40% | -2.40% | 8.26% | 5.75% | 15.70% |
| 2022 | -5.55% | -2.12% | 3.14% | -7.57% | 0.82% | -8.33% | 7.09% | -3.22% | -8.93% | 10.45% | 5.57% | -4.86% | -14.71% |
| 2021 | 0.41% | 3.40% | 4.53% | 4.46% | 1.08% | 0.83% | 1.20% | 2.42% | -4.28% | 5.82% | -1.91% | 4.70% | 24.56% |
Benchmark Metrics
factor has an annualized alpha of 1.40%, beta of 0.96, and R2 of 0.96 versus S&P 500 Index. Calculated based on daily prices since July 18, 2013.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (98.34%) than losses (92.90%) - typical of diversified or defensive assets.
- With beta of 0.96 and R2 of 0.96, 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
- 1.40%
- Beta
- 0.96
- R²
- 0.96
- Upside Capture
- 98.34%
- Downside Capture
- 92.90%
Expense Ratio
factor has an expense ratio of 0.14%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
factor ranks 87 for risk / return — in the top 87% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for factor and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.72 | 1.86 | +0.86 |
| Sortino ratioReturn per unit of downside risk | 3.71 | 2.53 | +1.17 |
| Omega ratioGain probability vs. loss probability | 1.49 | 1.34 | +0.15 |
| Calmar ratioReturn relative to maximum drawdown | 4.40 | 2.53 | +1.87 |
| Martin ratioReturn relative to average drawdown | 20.05 | 11.37 | +8.68 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 71 | 1.96 | 2.62 | 1.36 | 3.55 | 13.66 |
QUAL iShares MSCI USA Quality Factor ETF | 57 | 1.74 | 2.46 | 1.31 | 2.32 | 10.60 |
SPLV Invesco S&P 500 Low Volatility ETF | 15 | 0.41 | 0.65 | 1.07 | 0.56 | 1.31 |
VBR Vanguard Small-Cap Value ETF | 64 | 1.83 | 2.67 | 1.31 | 3.17 | 11.22 |
VLUE iShares MSCI USA Value Factor ETF | 97 | 4.55 | 5.75 | 1.77 | 9.25 | 39.16 |
VTI Vanguard Total Stock Market ETF | 67 | 1.97 | 2.67 | 1.35 | 2.79 | 12.52 |
Loading charts...
Dividends
Dividend yield
factor provided a 1.26% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.26% | 1.50% | 1.60% | 1.87% | 2.10% | 1.40% | 1.64% | 1.93% | 2.08% | 1.73% | 1.85% | 1.87% |
| Portfolio components: | ||||||||||||
MTUM iShares MSCI USA Momentum Factor ETF | 0.61% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
QUAL iShares MSCI USA Quality Factor ETF | 0.87% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
SPLV Invesco S&P 500 Low Volatility ETF | 2.14% | 2.04% | 1.88% | 2.45% | 2.11% | 1.51% | 2.12% | 2.08% | 2.18% | 2.03% | 2.03% | 2.28% |
VBR Vanguard Small-Cap Value ETF | 1.71% | 1.95% | 1.98% | 2.12% | 2.03% | 1.75% | 1.68% | 2.06% | 2.35% | 1.79% | 1.77% | 1.99% |
VLUE iShares MSCI USA Value Factor ETF | 1.43% | 2.11% | 2.73% | 2.66% | 3.18% | 2.22% | 2.42% | 2.61% | 2.70% | 2.14% | 2.07% | 2.39% |
VTI Vanguard Total Stock Market ETF | 1.03% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
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.
Loading charts...
Worst Drawdowns
The table below displays the maximum drawdowns of the factor. 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 was 36.90%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.
The current factor drawdown is 0.09%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -36.90%Mar 2020 | 1mo 4d | 7mo 21d | 8mo 25dFeb 2020 - Nov 2020 |
Bear market2022 | -23.70%Sep 2022 | 8mo 28d | 1y 3mo | 2y 20dJan 2022 - Jan 2024 |
Rate-hike selloffLate 2018 | -19.79%Dec 2018 | 3mo 4d | 5mo 28d | 9mo 2dSep 2018 - Jun 2019 |
2025 selloff2025 | -17.10%Apr 2025 | 1mo 17d | 2mo 20d | 4mo 7dFeb 2025 - Jun 2025 |
2016 correction2016 | -12.60%Feb 2016 | 2mo 11d | 2mo 7d | 4mo 18dDec 2015 - Apr 2016 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 6 assets, with an effective number of assets of 5.71, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.19 | 1.13 | 1.11 | 1.08 | 1.08 |
The portfolio has a diversification ratio of 1.08, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
factor correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.90 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Jul 18, 2013 | 0.96 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while SPLV has the lowest at 0.68.
Asset Correlations Table
Find what factor is missing
See which holdings overlap, where factor is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification