Asset Allocation
Benchmark: S&P 500 Index · Rebalance: On 5% deviation
Find the right asset allocation for Multi-Factor Portfolio
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Multi-Factor Portfolio, 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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Compare your portfolio against anything
Returns By Period
As of Aug 2, 2026, the Multi-Factor Portfolio returned 16.65% Year-To-Date and 14.29% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.70% | 0.09% | 7.94% | 9.41% | 20.07% | 17.84% | 11.25% | 13.26% | 8.09% |
Portfolio Multi-Factor Portfolio | 0.02% | -1.71% | 13.75% | 16.65% | 26.45% | 21.38% | 11.67% | 14.29% | 13.91% |
| Portfolio components: | |||||||||
MTUM iShares MSCI USA Momentum Factor ETF | 0.27% | -5.35% | 17.31% | 19.93% | 26.36% | 27.89% | 12.62% | 15.71% | 15.62% |
QUAL iShares MSCI USA Quality Factor ETF | 0.18% | 0.41% | 8.77% | 10.86% | 21.43% | 17.38% | 11.11% | 14.15% | 13.66% |
SIZE iShares MSCI USA Size Factor ETF | -0.35% | 0.26% | 8.60% | 11.20% | 17.37% | 13.59% | 7.99% | 11.70% | 11.92% |
USMV iShares MSCI USA Min Vol Factor ETF | 0.09% | 0.04% | 3.84% | 4.76% | 7.68% | 11.04% | 6.87% | 9.63% | 11.66% |
VLUE iShares MSCI USA Value Factor ETF | -1.13% | -0.95% | 30.89% | 40.90% | 74.68% | 28.44% | 15.91% | 14.59% | 13.47% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 18, 2013, Multi-Factor Portfolio's average daily return is +0.06%, while the average monthly return is +1.17%. At this rate, an investment would double in approximately 5.0 years.
Historically, 68% of months were positive and 32% were negative. The best month was Apr 2020 with a return of +11.8%, while the worst month was Mar 2020 at -12.8%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Multi-Factor Portfolio closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +10.2%, while the worst single day was Mar 16, 2020 at -11.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.55% | 0.82% | -5.46% | 11.76% | 7.63% | 4.14% | -4.74% | 16.65% | |||||
| 2025 | 4.28% | -0.19% | -5.31% | 0.30% | 6.24% | 3.71% | 0.35% | 2.29% | 3.77% | 0.23% | 0.34% | 0.56% | 17.33% |
| 2024 | 2.78% | 6.70% | 3.35% | -5.05% | 4.69% | 2.89% | 0.70% | 3.20% | 1.84% | -0.97% | 6.12% | -4.59% | 23.02% |
| 2023 | 3.95% | -3.43% | 2.08% | 1.41% | -2.36% | 6.57% | 2.86% | -0.73% | -4.53% | -1.98% | 8.72% | 5.09% | 18.05% |
| 2022 | -6.98% | -3.00% | 3.91% | -9.19% | 0.20% | -7.83% | 7.01% | -3.48% | -8.23% | 10.25% | 5.69% | -4.86% | -17.38% |
| 2021 | -0.48% | 2.10% | 3.04% | 5.21% | 0.52% | 2.00% | 1.92% | 2.94% | -4.76% | 7.09% | -2.17% | 2.97% | 21.75% |
Benchmark Metrics
Multi-Factor Portfolio has an annualized alpha of 1.92%, beta of 0.97, and R2 of 0.96 versus S&P 500 Index. Calculated based on daily prices since July 18, 2013.
- This portfolio captured 100.44% of S&P 500 Index gains but only 91.56% of its losses - a favorable profile for investors.
- With beta of 0.97 and R2 of 0.96, 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
- 1.92%
- Beta
- 0.97
- R²
- 0.96
- Upside Capture
- 100.44%
- Downside Capture
- 91.56%
Expense Ratio
Multi-Factor Portfolio has an expense ratio of 0.15%, 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.
Return for Risk
Risk / Return Rank
Multi-Factor Portfolio ranks 63 for risk / return — above 63% of Portfolios peers on PortfoliosLab. Its historical combined result is above most peers.
Risk / Return Metrics
The table below presents risk-adjusted performance metrics for Multi-Factor Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.65 | 1.42 | +0.24 |
| Sortino ratioReturn per unit of downside risk | 2.32 | 1.98 | +0.35 |
| Omega ratioGain probability vs. loss probability | 1.29 | 1.25 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.93 | 2.00 | +0.93 |
| Martin ratioReturn relative to average drawdown | 11.28 | 8.49 | +2.79 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 41 | 0.99 | 1.45 | 1.19 | 1.40 | 5.72 |
QUAL iShares MSCI USA Quality Factor ETF | 71 | 1.65 | 2.36 | 1.29 | 2.25 | 10.08 |
SIZE iShares MSCI USA Size Factor ETF | 54 | 1.25 | 1.87 | 1.22 | 2.02 | 7.91 |
USMV iShares MSCI USA Min Vol Factor ETF | 34 | 0.87 | 1.29 | 1.15 | 1.15 | 3.74 |
VLUE iShares MSCI USA Value Factor ETF | 97 | 3.57 | 4.57 | 1.60 | 8.06 | 27.03 |
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Dividends
Dividend yield
Multi-Factor Portfolio provided a 0.95% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.95% | 1.16% | 1.21% | 1.49% | 1.83% | 1.08% | 1.34% | 1.66% | 1.87% | 1.52% | 1.80% | 1.60% |
| Portfolio components: | ||||||||||||
MTUM iShares MSCI USA Momentum Factor ETF | 0.62% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
QUAL iShares MSCI USA Quality Factor ETF | 0.86% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
SIZE iShares MSCI USA Size Factor ETF | 1.37% | 1.50% | 1.53% | 1.42% | 1.59% | 1.19% | 1.43% | 1.35% | 2.43% | 1.58% | 1.88% | 1.95% |
USMV iShares MSCI USA Min Vol Factor ETF | 1.47% | 1.49% | 1.67% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% |
VLUE iShares MSCI USA Value Factor ETF | 1.47% | 2.11% | 2.73% | 2.66% | 3.18% | 2.22% | 2.42% | 2.61% | 2.70% | 2.14% | 2.07% | 2.39% |
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 Multi-Factor Portfolio. 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 Multi-Factor Portfolio was 34.94%, occurring on Mar 23, 2020. Recovery took 106 trading sessions.
The current Multi-Factor Portfolio drawdown is 4.74%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-34.94%Mar 2020 | 1mo 2d | 5mo 1d | 6mo 3dFeb 2020 - Aug 2020 | COVID crash2020 |
-26.30%Sep 2022 | 10mo 25d | 1y 3mo | 2y 2moNov 2021 - Jan 2024 | Bear market2022 |
-19.98%Dec 2018 | 2mo 21d | 4mo 7d | 6mo 28dOct 2018 - Apr 2019 | Rate-hike selloffLate 2018 |
-17.92%Apr 2025 | 1mo 17d | 2mo 17d | 4mo 4dFeb 2025 - Jun 2025 | 2025 selloff2025 |
-11.33%Feb 2016 | 2mo 11d | 1mo 20d | 4mo 1dDec 2015 - Apr 2016 | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is mostly a single trade in factor clothing: large-cap equity quality-momentum with a value and low-volatility accent. The math says the sleeves are related enough that the portfolio behaves more like one cluster than five separate ideas.
The numbers
- Diversification ratio is 1.06 incept-to-date and 1.14 over 1Y, around the 12th-22nd percentile on the platform; that is modest diversification benefit, not much more.
- Effective asset count is 3.64 of 5, so the weights are spread, but not in a way that creates many independent return streams.
- Pairwise correlations run 0.69-0.84 with a mean of 0.77; the portfolio is internally coherent, which is another way of saying it is not very orthogonal.
The good
- The portfolio is not overstuffed with names; five factor ETFs is a clean, intentional construction.
- VLUE (iShares MSCI USA Value Factor ETF) and USMV (iShares MSCI USA Min Vol Factor ETF) do provide some distinct behavior relative to MTUM and QUAL, at least on paper.
The bad
- MTUM (iShares MSCI USA Momentum Factor ETF) and QUAL (iShares MSCI USA Quality Factor ETF) together make up 70%, and they are the two most portfolio-like positions, with correlations to the whole of 0.93 and 0.96.
- The cluster label is doing real work here: these are all U.S. equity factor exposures, so the portfolio is mostly one equity regime wearing several badges.
The ugly
- In a broad factor unwind, such as a sharp rotation out of U.S. large-cap defensives and past winners, the correlations that look merely high can behave like one thing.
Next steps
- Portfolios with this correlation profile are often supplemented by exposures whose earnings drivers sit outside the U.S. equity factor complex.
- Shorter-window DR being only 1.14 suggests the recent regime has been even less helpful for diversification than the long run.
- The portfolio’s main question is not whether it is diversified across tickers; it is whether it is diversified across return drivers.
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 3.64, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.14 | 1.09 | 1.08 | 1.06 | 1.06 |
The portfolio has a diversification ratio of 1.06, placing it in the bottom quartile across portfolios. The holdings provided limited volatility reduction when combined.
Multi-Factor Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.91 |
Correlation (3Y) Balances recent behavior with more history. | 0.94 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.96 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.96 |
Correlation (All Time) Calculated using the full available price history since Jul 18, 2013 | 0.96 |
Benchmark Correlations
Correlation vs. S&P 500 Index. QUAL has the highest benchmark correlation at 0.96, while USMV has the lowest at 0.82.
Asset Correlations Table
Find what Multi-Factor Portfolio is missing
See which holdings overlap, where Multi-Factor Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification