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 every 3 months.
The earliest data available for this chart is Apr 11, 2023, corresponding to the inception date of MAGS
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -10.18% | -6.92% | -9.92% | 5.42% | 12.98% | 9.70% |
| Factors & Thematic | -7.96% | -7.03% | -9.33% | 7.84% | N/A | N/A |
| Portfolio components: | ||||||
SPYG SPDR Portfolio S&P 500 Growth ETF | -12.75% | -6.73% | -9.05% | 9.64% | 14.88% | 13.23% |
SPYV SPDR Portfolio S&P 500 Value ETF | -6.71% | -6.93% | -10.80% | 2.34% | 13.30% | 9.12% |
SPYD SPDR Portfolio S&P 500 High Dividend ETF | -3.83% | -6.25% | -8.85% | 11.97% | 14.04% | N/A |
SPLV Invesco S&P 500® Low Volatility ETF | 3.47% | -1.84% | -0.54% | 16.50% | 9.19% | 9.01% |
MAGS Roundhill Magnificent Seven ETF | -21.94% | -9.13% | -9.66% | 13.27% | N/A | N/A |
SMH VanEck Vectors Semiconductor ETF | -20.50% | -15.34% | -23.11% | -7.31% | 24.77% | 22.64% |
AIQ Global X Artificial Intelligence & Technology ETF | -12.27% | -11.14% | -10.22% | 5.27% | 14.67% | N/A |
IBB iShares Nasdaq Biotechnology ETF | -10.45% | -12.10% | -18.82% | -4.84% | -0.77% | -0.04% |
ICLN iShares Global Clean Energy ETF | 1.23% | -2.78% | -13.45% | -10.62% | 3.01% | 0.97% |
XT iShares Exponential Technologies ETF | -8.87% | -10.40% | -10.49% | -0.89% | 7.58% | 8.79% |
BLOK Amplify Transformational Data Sharing ETF | -16.23% | -8.98% | -6.39% | 24.07% | 20.99% | N/A |
GDX VanEck Vectors Gold Miners ETF | 50.16% | 12.58% | 19.39% | 52.65% | 12.74% | 10.93% |
XME SPDR S&P Metals & Mining ETF | -3.44% | -6.67% | -17.69% | -9.72% | 26.39% | 8.85% |
JEPI JPMorgan Equity Premium Income ETF | -4.83% | -5.65% | -6.76% | 4.44% | 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 4.31% | -3.18% | -4.83% | -4.24% | -7.96% | ||||||||
| 2024 | -1.73% | 6.18% | 4.45% | -4.86% | 6.39% | 2.46% | 2.40% | 0.50% | 3.10% | -0.75% | 6.11% | -4.37% | 20.76% |
| 2023 | -0.63% | 0.46% | 5.42% | 4.49% | -4.42% | -5.30% | -3.01% | 10.60% | 7.72% | 15.02% |
Expense Ratio
Factors & Thematic has an expense ratio of 0.36%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Factors & Thematic is 44, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 | 0.33 | 0.62 | 1.09 | 0.36 | 1.36 |
SPYV SPDR Portfolio S&P 500 Value ETF | 0.16 | 0.33 | 1.05 | 0.14 | 0.56 |
SPYD SPDR Portfolio S&P 500 High Dividend ETF | 0.85 | 1.22 | 1.17 | 0.81 | 2.96 |
SPLV Invesco S&P 500® Low Volatility ETF | 1.35 | 1.82 | 1.27 | 1.90 | 6.20 |
MAGS Roundhill Magnificent Seven ETF | 0.35 | 0.71 | 1.09 | 0.38 | 1.20 |
SMH VanEck Vectors Semiconductor ETF | -0.27 | -0.11 | 0.99 | -0.33 | -0.84 |
AIQ Global X Artificial Intelligence & Technology ETF | 0.13 | 0.37 | 1.05 | 0.13 | 0.52 |
IBB iShares Nasdaq Biotechnology ETF | -0.32 | -0.30 | 0.96 | -0.26 | -0.89 |
ICLN iShares Global Clean Energy ETF | -0.45 | -0.48 | 0.94 | -0.23 | -0.67 |
XT iShares Exponential Technologies ETF | -0.11 | -0.00 | 1.00 | -0.11 | -0.46 |
BLOK Amplify Transformational Data Sharing ETF | 0.53 | 1.03 | 1.12 | 0.67 | 2.00 |
GDX VanEck Vectors Gold Miners ETF | 1.68 | 2.19 | 1.29 | 2.49 | 6.06 |
XME SPDR S&P Metals & Mining ETF | -0.34 | -0.29 | 0.96 | -0.34 | -0.88 |
JEPI JPMorgan Equity Premium Income ETF | 0.30 | 0.51 | 1.08 | 0.30 | 1.54 |
Dividends
Dividend yield
Factors & Thematic provided a 2.19% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.19% | 2.03% | 1.83% | 2.08% | 2.43% | 1.58% | 1.45% | 1.59% | 1.28% | 1.27% | 1.20% | 0.91% |
| Portfolio components: | ||||||||||||
SPYG SPDR Portfolio S&P 500 Growth ETF | 0.71% | 0.60% | 1.15% | 1.03% | 0.62% | 0.90% | 1.37% | 1.51% | 1.41% | 1.55% | 1.57% | 1.37% |
SPYV SPDR Portfolio S&P 500 Value ETF | 2.30% | 2.29% | 1.75% | 2.23% | 2.10% | 2.38% | 2.25% | 2.97% | 2.77% | 2.39% | 2.53% | 2.19% |
SPYD SPDR Portfolio S&P 500 High Dividend ETF | 4.64% | 4.31% | 4.66% | 5.01% | 3.69% | 4.96% | 4.42% | 4.75% | 4.64% | 4.34% | 1.13% | 0.00% |
SPLV Invesco S&P 500® Low Volatility ETF | 1.75% | 1.88% | 2.45% | 2.11% | 1.51% | 2.12% | 2.08% | 2.18% | 2.03% | 2.03% | 2.28% | 2.20% |
MAGS Roundhill Magnificent Seven ETF | 1.04% | 0.81% | 0.44% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SMH VanEck Vectors Semiconductor ETF | 0.56% | 0.44% | 0.60% | 1.18% | 0.51% | 0.69% | 1.50% | 1.88% | 1.43% | 0.80% | 2.14% | 1.16% |
AIQ Global X Artificial Intelligence & Technology ETF | 0.16% | 0.14% | 0.16% | 0.56% | 0.15% | 0.50% | 0.51% | 0.51% | 0.00% | 0.00% | 0.00% | 0.00% |
IBB iShares Nasdaq Biotechnology ETF | 0.32% | 0.29% | 0.26% | 0.31% | 0.21% | 0.20% | 0.17% | 0.19% | 0.30% | 0.19% | 0.03% | 0.15% |
ICLN iShares Global Clean Energy ETF | 1.82% | 1.85% | 1.59% | 0.89% | 1.18% | 0.34% | 1.36% | 2.77% | 2.49% | 3.88% | 2.36% | 2.83% |
XT iShares Exponential Technologies ETF | 0.72% | 0.66% | 0.41% | 0.78% | 0.84% | 0.77% | 1.55% | 1.45% | 0.97% | 1.37% | 1.34% | 0.00% |
BLOK Amplify Transformational Data Sharing ETF | 7.16% | 6.00% | 1.15% | 0.00% | 14.31% | 1.88% | 2.05% | 1.30% | 0.00% | 0.00% | 0.00% | 0.00% |
GDX VanEck Vectors Gold Miners ETF | 0.79% | 1.19% | 1.61% | 1.66% | 1.67% | 0.53% | 0.65% | 0.50% | 0.76% | 0.26% | 0.85% | 0.66% |
XME SPDR S&P Metals & Mining ETF | 0.61% | 0.65% | 1.00% | 1.64% | 0.70% | 0.99% | 2.43% | 2.23% | 1.15% | 1.02% | 2.61% | 2.21% |
JEPI JPMorgan Equity Premium Income ETF | 8.06% | 7.33% | 8.40% | 11.67% | 6.59% | 5.79% | 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 20.54%, occurring on Apr 8, 2025. The portfolio has not yet recovered.
The current Factors & Thematic drawdown is 11.31%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -20.54% | Feb 21, 2025 | 33 | Apr 8, 2025 | — | — | — |
| -13.18% | Aug 1, 2023 | 63 | Oct 27, 2023 | 32 | Dec 13, 2023 | 95 |
| -11.47% | Jul 17, 2024 | 14 | Aug 5, 2024 | 37 | Sep 26, 2024 | 51 |
| -6.32% | Apr 1, 2024 | 15 | Apr 19, 2024 | 18 | May 15, 2024 | 33 |
| -5.54% | Dec 9, 2024 | 16 | Dec 31, 2024 | 14 | Jan 23, 2025 | 30 |
Volatility
Volatility Chart
The current Factors & Thematic volatility is 14.22%, 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 | ICLN | MAGS | SPYD | BLOK | SMH | IBB | XME | SPYG | JEPI | AIQ | SPYV | XT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GDX | 1.00 | 0.26 | 0.41 | 0.18 | 0.30 | 0.31 | 0.24 | 0.30 | 0.56 | 0.26 | 0.30 | 0.31 | 0.31 | 0.39 |
| SPLV | 0.26 | 1.00 | 0.34 | 0.11 | 0.76 | 0.26 | 0.12 | 0.50 | 0.36 | 0.30 | 0.79 | 0.25 | 0.77 | 0.37 |
| ICLN | 0.41 | 0.34 | 1.00 | 0.32 | 0.53 | 0.42 | 0.39 | 0.55 | 0.54 | 0.40 | 0.45 | 0.49 | 0.52 | 0.67 |
| MAGS | 0.18 | 0.11 | 0.32 | 1.00 | 0.17 | 0.55 | 0.74 | 0.35 | 0.36 | 0.88 | 0.44 | 0.83 | 0.42 | 0.69 |
| SPYD | 0.30 | 0.76 | 0.53 | 0.17 | 1.00 | 0.42 | 0.23 | 0.57 | 0.55 | 0.32 | 0.71 | 0.37 | 0.85 | 0.53 |
| BLOK | 0.31 | 0.26 | 0.42 | 0.55 | 0.42 | 1.00 | 0.54 | 0.47 | 0.54 | 0.60 | 0.46 | 0.65 | 0.52 | 0.68 |
| SMH | 0.24 | 0.12 | 0.39 | 0.74 | 0.23 | 0.54 | 1.00 | 0.39 | 0.47 | 0.83 | 0.48 | 0.85 | 0.46 | 0.78 |
| IBB | 0.30 | 0.50 | 0.55 | 0.35 | 0.57 | 0.47 | 0.39 | 1.00 | 0.48 | 0.49 | 0.64 | 0.53 | 0.66 | 0.67 |
| XME | 0.56 | 0.36 | 0.54 | 0.36 | 0.55 | 0.54 | 0.47 | 0.48 | 1.00 | 0.49 | 0.53 | 0.55 | 0.61 | 0.64 |
| SPYG | 0.26 | 0.30 | 0.40 | 0.88 | 0.32 | 0.60 | 0.83 | 0.49 | 0.49 | 1.00 | 0.64 | 0.90 | 0.58 | 0.80 |
| JEPI | 0.30 | 0.79 | 0.45 | 0.44 | 0.71 | 0.46 | 0.48 | 0.64 | 0.53 | 0.64 | 1.00 | 0.61 | 0.88 | 0.69 |
| AIQ | 0.31 | 0.25 | 0.49 | 0.83 | 0.37 | 0.65 | 0.85 | 0.53 | 0.55 | 0.90 | 0.61 | 1.00 | 0.61 | 0.91 |
| SPYV | 0.31 | 0.77 | 0.52 | 0.42 | 0.85 | 0.52 | 0.46 | 0.66 | 0.61 | 0.58 | 0.88 | 0.61 | 1.00 | 0.71 |
| XT | 0.39 | 0.37 | 0.67 | 0.69 | 0.53 | 0.68 | 0.78 | 0.67 | 0.64 | 0.80 | 0.69 | 0.91 | 0.71 | 1.00 |