ETF best Turnover Ratio

Asset Allocation

Position	Category/Sector	Target Weight
FDLO Fidelity Low Volatility Factor ETF	Volatility Hedged Equity	10%
FQAL Fidelity Quality Factor ETF	Large Cap Growth Equities	10%
IJK iShares S&P MidCap 400 Growth ETF	Mid Cap Growth Equities	10%
IJT iShares S&P SmallCap 600 Growth ETF	Small Cap Growth Equities	10%
IMCG iShares Morningstar Mid-Cap Growth ETF	Mid Cap Growth Equities	10%
MDYG SPDR S&P 400 Mid Cap Growth ETF	Mid Cap Growth Equities	10%
MTUM iShares MSCI USA Momentum Factor ETF	Large Cap Blend Equities	10%
QUAL iShares MSCI USA Quality Factor ETF	Large Cap Blend Equities	10%
SLYG SPDR S&P 600 Small Cap Growth ETF	Small Cap Growth Equities	10%
SPHQ Invesco S&P 500 Quality ETF	S&P 500, Large Cap Value Equities	10%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ETF best Turnover Ratio, 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.

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The earliest data available for this chart is Sep 15, 2016, corresponding to the inception date of FDLO

Returns By Period

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.72%	-4.45%	-3.95%	-2.02%	16.73%	16.96%	10.34%	12.24%
Portfolio ETF best Turnover Ratio	1.00%	-5.00%	0.90%	1.28%	16.79%	14.95%	7.86%	—
Portfolio components:
MTUM iShares MSCI USA Momentum Factor ETF	2.19%	-3.25%	-1.94%	-3.82%	21.46%	21.93%	9.69%	14.08%
SPHQ Invesco S&P 500 Quality ETF	0.89%	-5.57%	1.46%	3.57%	16.02%	18.54%	12.70%	13.63%
QUAL iShares MSCI USA Quality Factor ETF	0.50%	-5.52%	-2.74%	-1.05%	13.65%	17.10%	10.71%	12.99%
IJT iShares S&P SmallCap 600 Growth ETF	0.95%	-4.59%	3.64%	3.69%	18.27%	11.05%	3.29%	9.91%
IJK iShares S&P MidCap 400 Growth ETF	1.11%	-5.74%	5.12%	6.22%	22.12%	13.42%	5.91%	10.57%
MDYG SPDR S&P 400 Mid Cap Growth ETF	1.12%	-5.69%	5.12%	6.18%	22.14%	13.40%	5.95%	10.61%
SLYG SPDR S&P 600 Small Cap Growth ETF	0.93%	-4.59%	3.73%	3.71%	18.20%	10.99%	3.36%	10.00%
FDLO Fidelity Low Volatility Factor ETF	0.48%	-4.39%	-2.35%	-0.81%	8.58%	12.59%	9.51%	—
IMCG iShares Morningstar Mid-Cap Growth ETF	1.26%	-5.48%	0.05%	-2.78%	11.82%	12.40%	5.34%	12.72%
FQAL Fidelity Quality Factor ETF	0.54%	-5.02%	-3.09%	-2.03%	15.02%	16.93%	11.21%	—

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Sep 16, 2016, ETF best Turnover Ratio's average daily return is +0.05%, while the average monthly return is +1.06%. At this rate, your investment would double in approximately 5.5 years.

Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +12.9%, while the worst month was Mar 2020 at -14.4%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 3 months.

On a daily basis, ETF best Turnover Ratio 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 -12.1%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.07%	2.61%	-5.54%	1.00%									0.90%
2025	3.91%	-2.65%	-5.64%	-0.58%	6.19%	3.50%	1.08%	2.57%	1.97%	-0.08%	1.00%	-0.38%	10.85%
2024	0.68%	6.36%	3.57%	-4.92%	4.56%	1.24%	3.57%	1.25%	1.55%	-1.62%	7.74%	-5.74%	18.75%
2023	5.78%	-1.90%	0.72%	0.03%	-1.28%	7.22%	3.54%	-1.61%	-4.91%	-3.40%	8.15%	6.71%	19.51%
2022	-8.52%	-1.43%	1.99%	-8.61%	0.10%	-8.36%	9.81%	-3.95%	-8.62%	9.24%	5.58%	-5.61%	-19.11%
2021	1.01%	2.71%	2.23%	4.28%	-0.18%	2.56%	1.76%	2.41%	-4.41%	6.68%	-2.19%	3.87%	22.25%

Benchmark Metrics

ETF best Turnover Ratio has an annualized alpha of -0.23%, beta of 1.01, and R² of 0.94 versus S&P 500 Index. Calculated based on daily prices since September 16, 2016.

With beta of 1.01 and R² of 0.94, 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: -0.23%

Beta: 1.01

R²: 0.94

Upside Capture: 99.48%

Downside Capture: 100.59%

Expense Ratio

ETF best Turnover Ratio has an expense ratio of 0.19%, 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.

FDLO

Fidelity Low Volatility Factor ETF

FQAL

Fidelity Quality Factor ETF

IJT

iShares S&P SmallCap 600 Growth ETF

IJK

iShares S&P MidCap 400 Growth ETF

MTUM

iShares MSCI USA Momentum Factor ETF

SPHQ

Invesco S&P 500 Quality ETF

QUAL

iShares MSCI USA Quality Factor ETF

MDYG

SPDR S&P 400 Mid Cap Growth ETF

SLYG

SPDR S&P 600 Small Cap Growth ETF

IMCG

iShares Morningstar Mid-Cap Growth ETF

Return for Risk

Risk / Return Rank

ETF best Turnover Ratio ranks 25 for risk / return — below 25% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	0.89	0.92	-0.02
Sortino ratio Return per unit of downside risk	1.38	1.41	-0.03
Omega ratio Gain probability vs. loss probability	1.19	1.21	-0.02
Calmar ratio Return relative to maximum drawdown	1.37	1.41	-0.04
Martin ratio Return relative to average drawdown	6.40	6.61	-0.22
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 Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
MTUM iShares MSCI USA Momentum Factor ETF	58	0.94	1.42	1.20	1.82	6.83
SPHQ Invesco S&P 500 Quality ETF	54	0.94	1.44	1.20	1.45	6.35
QUAL iShares MSCI USA Quality Factor ETF	45	0.79	1.24	1.18	1.21	5.50
IJT iShares S&P SmallCap 600 Growth ETF	46	0.83	1.31	1.17	1.32	5.42
IJK iShares S&P MidCap 400 Growth ETF	59	0.99	1.53	1.21	1.68	7.18
MDYG SPDR S&P 400 Mid Cap Growth ETF	59	1.00	1.54	1.21	1.69	7.23
SLYG SPDR S&P 600 Small Cap Growth ETF	46	0.82	1.31	1.17	1.31	5.43
FDLO Fidelity Low Volatility Factor ETF	34	0.63	0.99	1.15	0.82	3.92
IMCG iShares Morningstar Mid-Cap Growth ETF	33	0.58	0.97	1.13	0.97	3.96
FQAL Fidelity Quality Factor ETF	52	0.90	1.39	1.20	1.33	6.29

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.

ETF best Turnover Ratio Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 0.89
5-Year: 0.44
All Time: 0.64

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 1.00 to 1.70, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of ETF best Turnover Ratio 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

ETF best Turnover Ratio provided a 0.94% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	0.94%	0.94%	1.02%	1.21%	1.37%	0.81%	0.95%	1.23%	1.35%	1.67%	1.11%	1.59%
Portfolio components:
MTUM iShares MSCI USA Momentum Factor ETF	0.80%	0.91%	0.75%	1.35%	1.80%	0.55%	0.83%	1.48%	1.27%	1.02%	1.43%	1.12%
SPHQ Invesco S&P 500 Quality ETF	1.18%	1.09%	1.15%	1.42%	1.85%	1.19%	1.55%	1.51%	1.85%	1.57%	1.67%	2.29%
QUAL iShares MSCI USA Quality Factor ETF	0.98%	0.94%	1.02%	1.23%	1.59%	1.20%	1.39%	1.60%	2.00%	1.76%	1.96%	1.63%
IJT iShares S&P SmallCap 600 Growth ETF	0.86%	0.91%	1.06%	1.02%	1.08%	0.63%	0.68%	0.92%	0.92%	0.86%	1.03%	1.14%
IJK iShares S&P MidCap 400 Growth ETF	0.61%	0.66%	0.79%	1.13%	1.08%	0.50%	0.70%	1.09%	1.13%	0.93%	1.15%	1.12%
MDYG SPDR S&P 400 Mid Cap Growth ETF	0.69%	0.75%	0.87%	1.20%	1.16%	0.69%	0.71%	1.21%	1.36%	2.23%	1.25%	2.51%
SLYG SPDR S&P 600 Small Cap Growth ETF	0.79%	0.86%	1.22%	1.18%	1.18%	0.68%	0.71%	1.08%	1.06%	4.74%	1.13%	5.75%
FDLO Fidelity Low Volatility Factor ETF	1.46%	1.37%	1.40%	1.35%	1.49%	1.11%	1.38%	1.55%	1.76%	1.61%	0.55%	0.00%
IMCG iShares Morningstar Mid-Cap Growth ETF	0.79%	0.78%	0.78%	0.85%	0.91%	0.41%	0.09%	0.30%	0.35%	0.45%	0.52%	0.38%
FQAL Fidelity Quality Factor ETF	1.24%	1.12%	1.20%	1.35%	1.52%	1.17%	1.46%	1.55%	1.73%	1.53%	0.43%	0.00%

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 ETF best Turnover Ratio. 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 ETF best Turnover Ratio was 35.92%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.

The current ETF best Turnover Ratio drawdown is 5.02%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-35.92%	Feb 20, 2020	23	Mar 23, 2020	94	Aug 5, 2020	117
-26.76%	Nov 17, 2021	219	Sep 30, 2022	342	Feb 12, 2024	561
-21.92%	Sep 17, 2018	69	Dec 24, 2018	131	Jul 3, 2019	200
-20.35%	Dec 5, 2024	84	Apr 8, 2025	72	Jul 23, 2025	156
-9.5%	Jan 29, 2018	9	Feb 8, 2018	80	Jun 5, 2018	89

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 10 assets, with an effective number of assets of 10.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	Benchmark	MTUM	FDLO	SLYG	IJT	IMCG	SPHQ	QUAL	FQAL	MDYG	IJK	Portfolio
Benchmark	1.00	0.86	0.91	0.81	0.81	0.87	0.94	0.97	0.97	0.86	0.86	0.94
MTUM	0.86	1.00	0.76	0.70	0.70	0.83	0.84	0.83	0.84	0.78	0.78	0.86
FDLO	0.91	0.76	1.00	0.74	0.74	0.80	0.89	0.91	0.91	0.79	0.79	0.88
SLYG	0.81	0.70	0.74	1.00	1.00	0.83	0.78	0.79	0.79	0.94	0.94	0.93
IJT	0.81	0.70	0.74	1.00	1.00	0.83	0.78	0.79	0.79	0.94	0.94	0.93
IMCG	0.87	0.83	0.80	0.83	0.83	1.00	0.85	0.86	0.87	0.91	0.91	0.94
SPHQ	0.94	0.84	0.89	0.78	0.78	0.85	1.00	0.95	0.93	0.84	0.84	0.92
QUAL	0.97	0.83	0.91	0.79	0.79	0.86	0.95	1.00	0.96	0.85	0.85	0.93
FQAL	0.97	0.84	0.91	0.79	0.79	0.87	0.93	0.96	1.00	0.85	0.85	0.93
MDYG	0.86	0.78	0.79	0.94	0.94	0.91	0.84	0.85	0.85	1.00	1.00	0.97
IJK	0.86	0.78	0.79	0.94	0.94	0.91	0.84	0.85	0.85	1.00	1.00	0.97
Portfolio	0.94	0.86	0.88	0.93	0.93	0.94	0.92	0.93	0.93	0.97	0.97	1.00

The correlation results are calculated based on daily price changes starting from Sep 16, 2016

ETF best Turnover Ratio

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table