ETF best Turnover Ratio

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

ETF best Turnover Ratio

Currency in USD · Last updated May 23, 2025

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 Edge MSCI USA Momentum Factor ETF	Large Cap Growth Equities	10%
QUAL iShares Edge MSCI USA Quality Factor ETF	Large Cap Growth Equities	10%
SLYG SPDR S&P 600 Small Cap Growth ETF	Small Cap Growth Equities	10%
SPHQ Invesco S&P 500® Quality ETF	Large Cap Blend Equities	10%

Benchmark

S&P 500

Rebalance

Performance

Performance Chart

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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

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	-0.67%	10.48%	-1.79%	10.08%	14.60%	10.64%
ETF best Turnover Ratio	-0.22%	9.99%	-4.01%	6.91%	13.23%	N/A
Portfolio components:
MTUM iShares Edge MSCI USA Momentum Factor ETF	9.63%	15.57%	6.47%	20.99%	14.09%	13.49%
SPHQ Invesco S&P 500® Quality ETF	3.98%	9.71%	2.87%	14.41%	16.92%	13.20%
QUAL iShares Edge MSCI USA Quality Factor ETF	-1.05%	8.69%	-2.93%	7.18%	15.04%	12.15%
IJT iShares S&P SmallCap 600 Growth ETF	-5.73%	8.93%	-12.35%	-1.36%	10.98%	8.00%
IJK iShares S&P MidCap 400 Growth ETF	-3.57%	10.54%	-8.70%	-1.86%	11.31%	8.37%
MDYG SPDR S&P 400 Mid Cap Growth ETF	-3.54%	10.71%	-8.61%	-1.68%	11.34%	8.43%
SLYG SPDR S&P 600 Small Cap Growth ETF	-5.67%	9.02%	-12.17%	-1.35%	11.07%	8.10%
FDLO Fidelity Low Volatility Factor ETF	0.36%	5.19%	-1.06%	8.75%	12.93%	N/A
IMCG iShares Morningstar Mid-Cap Growth ETF	1.68%	12.04%	-2.42%	11.32%	11.62%	11.15%
FQAL Fidelity Quality Factor ETF	1.80%	9.34%	-0.19%	13.52%	15.08%	N/A

*Annualized

Monthly Returns

The table below presents the monthly returns of ETF best Turnover Ratio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2025	3.91%	-2.65%	-5.64%	-0.58%	5.15%								-0.22%
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%	19.52%
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%
2020	-0.05%	-7.94%	-14.38%	12.89%	6.89%	2.06%	5.67%	5.23%	-3.04%	-1.17%	12.46%	5.39%	22.55%
2019	8.53%	4.47%	0.92%	3.27%	-5.60%	6.74%	1.38%	-2.04%	0.71%	1.55%	3.57%	2.47%	28.36%
2018	4.81%	-3.21%	-0.34%	-0.45%	3.98%	0.63%	2.81%	4.89%	-0.51%	-8.97%	2.03%	-9.67%	-5.18%
2017	1.66%	3.35%	0.30%	1.38%	0.89%	1.21%	1.51%	-0.42%	3.48%	2.56%	3.41%	0.41%	21.53%
2016									1.15%	-3.08%	5.18%	2.02%	5.20%

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 Edge MSCI USA Momentum Factor ETF

SPHQ

Invesco S&P 500® Quality ETF

QUAL

iShares Edge 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

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ETF best Turnover Ratio is 16, meaning it’s performing worse than 84% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
MTUM iShares Edge MSCI USA Momentum Factor ETF	0.84	1.26	1.18	0.99	3.41
SPHQ Invesco S&P 500® Quality ETF	0.83	1.27	1.18	0.87	3.59
QUAL iShares Edge MSCI USA Quality Factor ETF	0.39	0.66	1.09	0.39	1.45
IJT iShares S&P SmallCap 600 Growth ETF	-0.06	0.04	1.00	-0.08	-0.23
IJK iShares S&P MidCap 400 Growth ETF	-0.08	-0.00	1.00	-0.11	-0.32
MDYG SPDR S&P 400 Mid Cap Growth ETF	-0.07	0.00	1.00	-0.10	-0.30
SLYG SPDR S&P 600 Small Cap Growth ETF	-0.06	0.05	1.01	-0.08	-0.21
FDLO Fidelity Low Volatility Factor ETF	0.61	0.95	1.14	0.65	2.75
IMCG iShares Morningstar Mid-Cap Growth ETF	0.54	0.86	1.12	0.50	1.71
FQAL Fidelity Quality Factor ETF	0.75	1.14	1.16	0.78	3.11

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 May 23, 2025 (values are recalculated daily):

1-Year: 0.35
5-Year: 0.71
All Time: 0.62

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 0.47 to 0.99, 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. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

ETF best Turnover Ratio provided a 1.06% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	1.06%	1.02%	1.21%	1.37%	0.81%	0.95%	1.23%	1.34%	1.67%	1.11%	1.59%	1.24%
Portfolio components:
MTUM iShares Edge MSCI USA Momentum Factor ETF	0.85%	0.75%	1.35%	1.80%	0.55%	0.83%	1.48%	1.27%	1.02%	1.43%	1.12%	1.04%
SPHQ Invesco S&P 500® Quality ETF	1.10%	1.15%	1.42%	1.85%	1.19%	1.55%	1.51%	1.85%	1.57%	1.67%	2.29%	1.66%
QUAL iShares Edge MSCI USA Quality Factor ETF	1.04%	1.02%	1.23%	1.59%	1.20%	1.39%	1.60%	2.00%	1.76%	1.96%	1.63%	1.35%
IJT iShares S&P SmallCap 600 Growth ETF	1.15%	1.06%	1.02%	1.08%	0.63%	0.68%	0.92%	0.92%	0.86%	1.03%	1.14%	0.78%
IJK iShares S&P MidCap 400 Growth ETF	0.79%	0.79%	1.13%	1.08%	0.50%	0.70%	1.09%	1.13%	0.93%	1.15%	1.12%	0.91%
MDYG SPDR S&P 400 Mid Cap Growth ETF	0.92%	0.87%	1.19%	1.16%	0.69%	0.71%	1.21%	1.36%	2.23%	1.25%	2.48%	1.60%
SLYG SPDR S&P 600 Small Cap Growth ETF	1.33%	1.22%	1.18%	1.18%	0.68%	0.71%	1.08%	1.06%	4.74%	1.13%	5.75%	4.42%
FDLO Fidelity Low Volatility Factor ETF	1.43%	1.40%	1.35%	1.49%	1.11%	1.38%	1.55%	1.76%	1.61%	0.55%	0.00%	0.00%
IMCG iShares Morningstar Mid-Cap Growth ETF	0.75%	0.78%	0.85%	0.91%	0.41%	0.09%	0.30%	0.35%	0.45%	0.52%	0.38%	0.60%
FQAL Fidelity Quality Factor ETF	1.24%	1.20%	1.35%	1.52%	1.17%	1.46%	1.55%	1.73%	1.53%	0.43%	0.00%	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 6.21%.

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	—	—	—
-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 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.

	^GSPC	MTUM	FDLO	SLYG	IJT	IMCG	SPHQ	QUAL	FQAL	MDYG	IJK	Portfolio
^GSPC	1.00	0.86	0.91	0.81	0.81	0.87	0.95	0.97	0.97	0.87	0.87	0.94
MTUM	0.86	1.00	0.77	0.70	0.70	0.83	0.85	0.83	0.84	0.79	0.78	0.86
FDLO	0.91	0.77	1.00	0.74	0.74	0.80	0.89	0.91	0.92	0.80	0.80	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	0.93
SPHQ	0.95	0.85	0.89	0.78	0.78	0.85	1.00	0.95	0.94	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	0.86	0.86	0.93
FQAL	0.97	0.84	0.92	0.79	0.79	0.87	0.94	0.96	1.00	0.86	0.86	0.94
MDYG	0.87	0.79	0.80	0.94	0.94	0.91	0.84	0.86	0.86	1.00	1.00	0.97
IJK	0.87	0.78	0.80	0.94	0.94	0.91	0.84	0.86	0.86	1.00	1.00	0.97
Portfolio	0.94	0.86	0.88	0.93	0.93	0.93	0.92	0.93	0.94	0.97	0.97	1.00

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

Performance Analysis

Risk Analysis

Optimization

Factor Model

ETF best Turnover Ratio

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

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