Factors & Thematic

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Factors & Thematic

Currency in USD · Last updated May 20, 2025

Asset Allocation

Position	Category/Sector	Target Weight
AIQ Global X Artificial Intelligence & Technology ETF	Large Cap Growth Equities	7.14%
BLOK Amplify Transformational Data Sharing ETF	Technology Equities, Actively Managed, Blockchain	7.14%
GDX VanEck Vectors Gold Miners ETF	Materials	7.14%
IBB iShares Nasdaq Biotechnology ETF	Health & Biotech Equities	7.14%
ICLN iShares Global Clean Energy ETF	Alternative Energy Equities	7.14%
JEPI JPMorgan Equity Premium Income ETF	Actively Managed, Dividend, Derivative Income	7.14%
MAGS Roundhill Magnificent Seven ETF	Technology Equities	7.14%
SMH VanEck Vectors Semiconductor ETF	Technology Equities	7.14%
SPLV Invesco S&P 500® Low Volatility ETF	Volatility Hedged Equity	7.14%
SPYD SPDR Portfolio S&P 500 High Dividend ETF	All Cap Equities, Dividend	7.14%
SPYG SPDR Portfolio S&P 500 Growth ETF	Large Cap Growth Equities	7.14%
SPYV SPDR Portfolio S&P 500 Value ETF	Large Cap Blend Equities	7.14%
XME SPDR S&P Metals & Mining ETF	Materials	7.14%
XT iShares Exponential Technologies ETF	Large Cap Growth Equities	7.14%

Benchmark

S&P 500

Rebalance

Performance

Performance Chart

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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	1.39%	12.89%	1.19%	12.45%	14.95%	10.86%
Factors & Thematic	6.36%	12.23%	4.00%	13.49%	N/A	N/A
Portfolio components:
SPYG SPDR Portfolio S&P 500 Growth ETF	2.59%	17.59%	5.72%	21.25%	17.15%	14.86%
SPYV SPDR Portfolio S&P 500 Value ETF	1.04%	8.31%	-3.23%	5.02%	15.11%	9.76%
SPYD SPDR Portfolio S&P 500 High Dividend ETF	0.94%	4.95%	-3.65%	9.12%	15.14%	N/A
SPLV Invesco S&P 500® Low Volatility ETF	6.17%	2.61%	2.13%	13.75%	11.21%	9.24%
MAGS Roundhill Magnificent Seven ETF	-3.95%	23.05%	3.12%	29.22%	N/A	N/A
SMH VanEck Vectors Semiconductor ETF	1.59%	27.78%	2.30%	7.32%	29.22%	25.27%
AIQ Global X Artificial Intelligence & Technology ETF	5.80%	20.59%	7.95%	19.36%	16.68%	N/A
IBB iShares Nasdaq Biotechnology ETF	-7.25%	3.57%	-7.79%	-10.13%	-1.50%	0.31%
ICLN iShares Global Clean Energy ETF	12.74%	11.37%	6.72%	-7.91%	3.31%	2.22%
XT iShares Exponential Technologies ETF	3.52%	13.59%	4.56%	5.00%	8.84%	9.99%
BLOK Amplify Transformational Data Sharing ETF	12.80%	34.66%	7.75%	56.19%	25.94%	N/A
GDX VanEck Vectors Gold Miners ETF	39.60%	-7.03%	29.38%	29.90%	6.70%	10.18%
XME SPDR S&P Metals & Mining ETF	4.95%	8.70%	-10.20%	-6.51%	24.88%	9.45%
JEPI JPMorgan Equity Premium Income ETF	0.53%	5.63%	-1.37%	6.01%	N/A	N/A

*Annualized

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	4.19%	-2.01%	-3.31%	0.63%	7.07%								6.36%
2024	-2.00%	5.17%	4.46%	-4.38%	6.28%	1.27%	3.31%	0.81%	2.87%	-1.30%	5.09%	-4.95%	17.03%
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 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.

BLOK

Amplify Transformational Data Sharing ETF

AIQ

Global X Artificial Intelligence & Technology ETF

GDX

VanEck Vectors Gold Miners ETF

IBB

iShares Nasdaq Biotechnology ETF

iShares Exponential Technologies ETF

ICLN

iShares Global Clean Energy ETF

SMH

VanEck Vectors Semiconductor ETF

XME

SPDR S&P Metals & Mining ETF

JEPI

JPMorgan Equity Premium Income ETF

MAGS

Roundhill Magnificent Seven ETF

SPLV

Invesco S&P 500® Low Volatility ETF

SPYD

SPDR Portfolio S&P 500 High Dividend ETF

SPYG

SPDR Portfolio S&P 500 Growth ETF

SPYV

SPDR Portfolio S&P 500 Value ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Factors & Thematic is 38, indicating average performance compared to other portfolios on our website. Here’s 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
SPYG SPDR Portfolio S&P 500 Growth ETF	0.85	1.27	1.18	0.93	3.14
SPYV SPDR Portfolio S&P 500 Value ETF	0.32	0.60	1.08	0.31	1.05
SPYD SPDR Portfolio S&P 500 High Dividend ETF	0.59	0.90	1.12	0.57	1.79
SPLV Invesco S&P 500® Low Volatility ETF	1.04	1.53	1.22	1.60	4.93
MAGS Roundhill Magnificent Seven ETF	0.87	1.38	1.18	0.97	2.67
SMH VanEck Vectors Semiconductor ETF	0.17	0.48	1.06	0.16	0.37
AIQ Global X Artificial Intelligence & Technology ETF	0.72	1.12	1.16	0.71	2.45
IBB iShares Nasdaq Biotechnology ETF	-0.45	-0.51	0.94	-0.42	-1.16
ICLN iShares Global Clean Energy ETF	-0.34	-0.37	0.95	-0.19	-0.53
XT iShares Exponential Technologies ETF	0.23	0.42	1.06	0.18	0.71
BLOK Amplify Transformational Data Sharing ETF	1.26	1.83	1.22	1.58	4.39
GDX VanEck Vectors Gold Miners ETF	0.87	1.44	1.18	1.48	3.53
XME SPDR S&P Metals & Mining ETF	-0.22	-0.04	0.99	-0.18	-0.42
JEPI JPMorgan Equity Premium Income ETF	0.44	0.73	1.12	0.47	2.01

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.

Factors & Thematic Sharpe ratios as of May 20, 2025 (values are recalculated daily):

1-Year: 0.67
All Time: 1.07

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 0.57 to 1.05, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Factors & Thematic 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

Factors & Thematic provided a 1.97% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	1.97%	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	0.60%	0.60%	1.15%	1.03%	0.62%	0.90%	1.36%	1.51%	1.41%	1.55%	1.57%	1.37%
SPYV SPDR Portfolio S&P 500 Value ETF	2.12%	2.29%	1.75%	2.22%	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	4.42%	4.31%	4.66%	5.01%	3.68%	4.95%	4.43%	4.75%	4.63%	4.34%	1.13%	0.00%
SPLV Invesco S&P 500® Low Volatility ETF	1.71%	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	0.84%	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	0.44%	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	0.13%	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	0.31%	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	1.64%	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	0.63%	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	5.32%	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	0.85%	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	0.56%	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	7.98%	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.

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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 18.24%, occurring on Apr 8, 2025. The portfolio has not yet recovered.

The current Factors & Thematic drawdown is 0.47%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-18.24%	Feb 21, 2025	33	Apr 8, 2025	—	—	—
-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
-5.52%	Dec 5, 2024	18	Dec 31, 2024	29	Feb 13, 2025	47

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 14 assets, with an effective number of assets of 14.00, 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	GDX	SPLV	ICLN	SPYD	MAGS	IBB	BLOK	XME	SMH	JEPI	SPYG	SPYV	AIQ	XT	Portfolio
^GSPC	1.00	0.26	0.49	0.49	0.56	0.80	0.60	0.64	0.59	0.78	0.79	0.95	0.79	0.90	0.87	0.91
GDX	0.26	1.00	0.25	0.39	0.28	0.12	0.27	0.27	0.53	0.20	0.26	0.21	0.27	0.26	0.35	0.47
SPLV	0.49	0.25	1.00	0.32	0.76	0.10	0.52	0.25	0.35	0.11	0.78	0.29	0.76	0.24	0.37	0.46
ICLN	0.49	0.39	0.32	1.00	0.52	0.32	0.51	0.42	0.53	0.39	0.44	0.40	0.51	0.49	0.67	0.65
SPYD	0.56	0.28	0.76	0.52	1.00	0.18	0.59	0.42	0.55	0.24	0.71	0.33	0.86	0.37	0.53	0.61
MAGS	0.80	0.12	0.10	0.32	0.18	1.00	0.34	0.56	0.37	0.74	0.44	0.89	0.42	0.84	0.69	0.71
IBB	0.60	0.27	0.52	0.51	0.59	0.34	1.00	0.46	0.47	0.38	0.66	0.48	0.67	0.51	0.66	0.67
BLOK	0.64	0.27	0.25	0.42	0.42	0.56	0.46	1.00	0.54	0.54	0.46	0.61	0.52	0.66	0.68	0.77
XME	0.59	0.53	0.35	0.53	0.55	0.37	0.47	0.54	1.00	0.47	0.53	0.49	0.61	0.55	0.65	0.75
SMH	0.78	0.20	0.11	0.39	0.24	0.74	0.38	0.54	0.47	1.00	0.49	0.84	0.46	0.85	0.78	0.77
JEPI	0.79	0.26	0.78	0.44	0.71	0.44	0.66	0.46	0.53	0.49	1.00	0.64	0.88	0.60	0.69	0.74
SPYG	0.95	0.21	0.29	0.40	0.33	0.89	0.48	0.61	0.49	0.84	0.64	1.00	0.59	0.91	0.81	0.84
SPYV	0.79	0.27	0.76	0.51	0.86	0.42	0.67	0.52	0.61	0.46	0.88	0.59	1.00	0.61	0.71	0.77
AIQ	0.90	0.26	0.24	0.49	0.37	0.84	0.51	0.66	0.55	0.85	0.60	0.91	0.61	1.00	0.91	0.88
XT	0.87	0.35	0.37	0.67	0.53	0.69	0.66	0.68	0.65	0.78	0.69	0.81	0.71	0.91	1.00	0.93
Portfolio	0.91	0.47	0.46	0.65	0.61	0.71	0.67	0.77	0.75	0.77	0.74	0.84	0.77	0.88	0.93	1.00

The correlation results are calculated based on daily price changes starting from Apr 12, 2023

Performance Analysis

Risk Analysis

Optimization

Factor Model

Factors & Thematic

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

Portfolios

Screeners

Community