Factors & Thematic
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Factors & Thematic, 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 Quarterly
The earliest data available for this chart is Apr 11, 2023, corresponding to the inception date of MAGS
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| Factors & Thematic | 20.90% | 1.67% | 10.69% | 33.93% | N/A | N/A |
| Portfolio components: | ||||||
SPYG SPDR Portfolio S&P 500 Growth ETF | 35.08% | 4.48% | 17.41% | 41.61% | 17.93% | 15.25% |
SPYV SPDR Portfolio S&P 500 Value ETF | 17.81% | 1.20% | 9.40% | 26.92% | 12.31% | 10.65% |
SPYD SPDR Portfolio S&P 500 High Dividend ETF | 20.52% | -0.02% | 13.06% | 33.61% | 8.16% | N/A |
SPLV Invesco S&P 500® Low Volatility ETF | 19.07% | 1.13% | 12.24% | 23.87% | 7.31% | 9.48% |
MAGS Roundhill Magnificent Seven ETF | 55.78% | 10.61% | 28.07% | 61.63% | N/A | N/A |
SMH VanEck Vectors Semiconductor ETF | 41.61% | 0.19% | 6.65% | 54.53% | 32.95% | 28.62% |
AIQ Global X Artificial Intelligence & Technology ETF | 24.43% | 3.55% | 12.88% | 32.86% | 18.37% | N/A |
IBB iShares Nasdaq Biotechnology ETF | 6.10% | -1.39% | 4.89% | 22.23% | 5.52% | 4.35% |
ICLN iShares Global Clean Energy ETF | -22.62% | -10.54% | -15.45% | -13.63% | 3.30% | 3.69% |
XT iShares Exponential Technologies ETF | 1.68% | 0.46% | 2.64% | 12.99% | 8.95% | N/A |
BLOK Amplify Transformational Data Sharing ETF | 59.06% | 20.84% | 45.91% | 110.66% | 24.99% | N/A |
GDX VanEck Vectors Gold Miners ETF | 14.67% | -12.59% | -0.28% | 28.22% | 7.23% | 7.48% |
XME SPDR S&P Metals & Mining ETF | 10.60% | 2.55% | 5.13% | 27.72% | 21.11% | 8.03% |
JEPI JPMorgan Equity Premium Income ETF | 15.89% | 1.40% | 8.77% | 19.34% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of Factors & Thematic, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -2.00% | 5.17% | 4.46% | -4.38% | 6.28% | 1.27% | 3.31% | 0.81% | 2.87% | -1.30% | 20.90% | ||
| 2023 | -0.63% | 0.46% | 5.41% | 4.37% | -4.48% | -5.28% | -3.04% | 10.49% | 7.90% | 14.85% |
Expense Ratio
Factors & Thematic features an expense ratio of 0.36%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Factors & Thematic is 51, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
SPYG SPDR Portfolio S&P 500 Growth ETF | 2.59 | 3.32 | 1.47 | 3.44 | 13.70 |
SPYV SPDR Portfolio S&P 500 Value ETF | 3.00 | 4.23 | 1.55 | 5.59 | 18.07 |
SPYD SPDR Portfolio S&P 500 High Dividend ETF | 2.96 | 4.19 | 1.54 | 5.34 | 20.60 |
SPLV Invesco S&P 500® Low Volatility ETF | 2.75 | 3.84 | 1.50 | 5.14 | 18.38 |
MAGS Roundhill Magnificent Seven ETF | 2.61 | 3.26 | 1.44 | 3.58 | 11.63 |
SMH VanEck Vectors Semiconductor ETF | 1.73 | 2.24 | 1.30 | 2.39 | 6.56 |
AIQ Global X Artificial Intelligence & Technology ETF | 1.98 | 2.60 | 1.35 | 2.68 | 10.34 |
IBB iShares Nasdaq Biotechnology ETF | 1.45 | 2.11 | 1.25 | 2.04 | 6.77 |
ICLN iShares Global Clean Energy ETF | -0.26 | -0.20 | 0.98 | -0.17 | -0.61 |
XT iShares Exponential Technologies ETF | 0.99 | 1.45 | 1.18 | 1.52 | 4.22 |
BLOK Amplify Transformational Data Sharing ETF | 3.05 | 3.67 | 1.43 | 5.43 | 13.37 |
GDX VanEck Vectors Gold Miners ETF | 1.05 | 1.56 | 1.19 | 1.25 | 4.42 |
XME SPDR S&P Metals & Mining ETF | 1.32 | 1.89 | 1.24 | 2.04 | 5.29 |
JEPI JPMorgan Equity Premium Income ETF | 2.89 | 4.02 | 1.58 | 5.23 | 20.45 |
Dividends
Dividend yield
Factors & Thematic provided a 1.55% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.55% | 1.83% | 2.16% | 2.47% | 1.62% | 1.77% | 1.72% | 1.38% | 1.33% | 1.35% | 0.99% | 0.96% |
| Portfolio components: | ||||||||||||
SPYG SPDR Portfolio S&P 500 Growth ETF | 0.65% | 1.15% | 1.03% | 0.62% | 0.90% | 1.36% | 1.51% | 1.41% | 1.55% | 1.57% | 1.37% | 1.42% |
SPYV SPDR Portfolio S&P 500 Value ETF | 1.94% | 1.75% | 2.23% | 2.10% | 2.38% | 2.25% | 2.97% | 2.77% | 2.39% | 2.53% | 2.19% | 1.96% |
SPYD SPDR Portfolio S&P 500 High Dividend ETF | 4.05% | 4.66% | 5.01% | 3.69% | 4.96% | 4.42% | 4.75% | 4.64% | 4.34% | 1.13% | 0.00% | 0.00% |
SPLV Invesco S&P 500® Low Volatility ETF | 1.88% | 2.45% | 2.11% | 1.50% | 2.13% | 2.08% | 2.17% | 2.03% | 2.03% | 2.28% | 2.20% | 2.60% |
MAGS Roundhill Magnificent Seven ETF | 0.28% | 0.44% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SMH VanEck Vectors Semiconductor ETF | 0.42% | 0.60% | 2.37% | 1.02% | 1.38% | 6.00% | 3.75% | 2.85% | 1.61% | 4.28% | 2.31% | 3.11% |
AIQ Global X Artificial Intelligence & Technology ETF | 0.16% | 0.16% | 0.56% | 0.15% | 0.50% | 0.51% | 0.51% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IBB iShares Nasdaq Biotechnology ETF | 0.31% | 0.26% | 0.31% | 0.21% | 0.20% | 0.17% | 0.19% | 0.30% | 0.19% | 0.03% | 0.15% | 0.03% |
ICLN iShares Global Clean Energy ETF | 1.83% | 1.59% | 0.89% | 1.18% | 0.34% | 1.36% | 2.77% | 2.49% | 3.88% | 2.36% | 2.83% | 2.11% |
XT iShares Exponential Technologies ETF | 0.44% | 0.41% | 0.78% | 0.84% | 0.77% | 1.55% | 1.45% | 0.97% | 1.37% | 1.34% | 0.00% | 0.00% |
BLOK Amplify Transformational Data Sharing ETF | 0.72% | 1.15% | 0.00% | 14.31% | 1.88% | 2.05% | 1.30% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
GDX VanEck Vectors Gold Miners ETF | 1.41% | 1.61% | 1.66% | 1.67% | 0.53% | 0.65% | 0.50% | 0.76% | 0.26% | 0.85% | 0.66% | 0.90% |
XME SPDR S&P Metals & Mining ETF | 0.61% | 1.00% | 1.64% | 0.70% | 0.99% | 2.43% | 2.23% | 1.15% | 1.02% | 2.61% | 2.21% | 1.32% |
JEPI JPMorgan Equity Premium Income ETF | 7.06% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Factors & Thematic. 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 Factors & Thematic was 13.17%, occurring on Oct 27, 2023. Recovery took 32 trading sessions.
The current Factors & Thematic drawdown is 1.69%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -13.17% | Jul 20, 2023 | 71 | Oct 27, 2023 | 32 | Dec 13, 2023 | 103 |
| -9.95% | Jul 17, 2024 | 14 | Aug 5, 2024 | 35 | Sep 24, 2024 | 49 |
| -5.61% | Apr 10, 2024 | 8 | Apr 19, 2024 | 17 | May 14, 2024 | 25 |
| -4.95% | Dec 28, 2023 | 13 | Jan 17, 2024 | 18 | Feb 12, 2024 | 31 |
| -4.17% | Apr 14, 2023 | 9 | Apr 26, 2023 | 26 | Jun 2, 2023 | 35 |
Volatility
Volatility Chart
The current Factors & Thematic volatility is 4.12%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| GDX | SPLV | MAGS | BLOK | SMH | ICLN | SPYD | IBB | XME | JEPI | SPYG | AIQ | SPYV | XT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GDX | 1.00 | 0.28 | 0.18 | 0.32 | 0.23 | 0.43 | 0.35 | 0.34 | 0.57 | 0.32 | 0.27 | 0.31 | 0.35 | 0.40 |
| SPLV | 0.28 | 1.00 | 0.13 | 0.25 | 0.09 | 0.37 | 0.71 | 0.52 | 0.37 | 0.78 | 0.33 | 0.26 | 0.76 | 0.37 |
| MAGS | 0.18 | 0.13 | 1.00 | 0.50 | 0.73 | 0.35 | 0.19 | 0.32 | 0.35 | 0.43 | 0.87 | 0.83 | 0.42 | 0.69 |
| BLOK | 0.32 | 0.25 | 0.50 | 1.00 | 0.49 | 0.44 | 0.45 | 0.46 | 0.54 | 0.43 | 0.55 | 0.61 | 0.52 | 0.65 |
| SMH | 0.23 | 0.09 | 0.73 | 0.49 | 1.00 | 0.40 | 0.22 | 0.35 | 0.44 | 0.45 | 0.82 | 0.84 | 0.45 | 0.77 |
| ICLN | 0.43 | 0.37 | 0.35 | 0.44 | 0.40 | 1.00 | 0.57 | 0.58 | 0.57 | 0.48 | 0.45 | 0.52 | 0.55 | 0.71 |
| SPYD | 0.35 | 0.71 | 0.19 | 0.45 | 0.22 | 0.57 | 1.00 | 0.58 | 0.59 | 0.67 | 0.34 | 0.39 | 0.85 | 0.54 |
| IBB | 0.34 | 0.52 | 0.32 | 0.46 | 0.35 | 0.58 | 0.58 | 1.00 | 0.48 | 0.64 | 0.46 | 0.50 | 0.65 | 0.66 |
| XME | 0.57 | 0.37 | 0.35 | 0.54 | 0.44 | 0.57 | 0.59 | 0.48 | 1.00 | 0.53 | 0.48 | 0.55 | 0.63 | 0.65 |
| JEPI | 0.32 | 0.78 | 0.43 | 0.43 | 0.45 | 0.48 | 0.67 | 0.64 | 0.53 | 1.00 | 0.64 | 0.60 | 0.85 | 0.67 |
| SPYG | 0.27 | 0.33 | 0.87 | 0.55 | 0.82 | 0.45 | 0.34 | 0.46 | 0.48 | 0.64 | 1.00 | 0.90 | 0.59 | 0.80 |
| AIQ | 0.31 | 0.26 | 0.83 | 0.61 | 0.84 | 0.52 | 0.39 | 0.50 | 0.55 | 0.60 | 0.90 | 1.00 | 0.62 | 0.90 |
| SPYV | 0.35 | 0.76 | 0.42 | 0.52 | 0.45 | 0.55 | 0.85 | 0.65 | 0.63 | 0.85 | 0.59 | 0.62 | 1.00 | 0.72 |
| XT | 0.40 | 0.37 | 0.69 | 0.65 | 0.77 | 0.71 | 0.54 | 0.66 | 0.65 | 0.67 | 0.80 | 0.90 | 0.72 | 1.00 |