Asset Allocation
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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Returns By Period
As of Jul 13, 2026, the Multi-Factor Portfolio returned 19.84% Year-To-Date and 14.64% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.42% | 1.94% | 8.74% | 10.66% | 21.02% | 19.50% | 11.63% | 13.41% |
Portfolio Multi-Factor Portfolio | 0.31% | 0.67% | 16.53% | 19.84% | 29.44% | 23.61% | 12.54% | 14.64% |
| Portfolio components: | ||||||||
MTUM iShares MSCI USA Momentum Factor ETF | 0.18% | -0.70% | 25.46% | 28.81% | 37.17% | 32.02% | 14.53% | 16.62% |
QUAL iShares MSCI USA Quality Factor ETF | 0.54% | 1.46% | 8.08% | 11.04% | 20.62% | 18.98% | 11.49% | 14.22% |
SIZE iShares MSCI USA Size Factor ETF | 0.26% | 1.74% | 7.97% | 11.71% | 16.81% | 14.57% | 8.19% | 11.71% |
USMV iShares MSCI USA Min Vol Factor ETF | 0.16% | 2.10% | 4.05% | 4.58% | 7.03% | 11.50% | 7.18% | 9.61% |
VLUE iShares MSCI USA Value Factor ETF | 0.14% | -1.17% | 36.52% | 44.01% | 73.07% | 30.29% | 16.36% | 14.78% |
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 +1.19%. At this rate, an investment would double in approximately 4.9 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% | -2.13% | 19.84% | |||||
| 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 2.05%, 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 participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (99.31%) than losses (89.44%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 2.05% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- 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
- 2.05%
- Beta
- 0.97
- R²
- 0.96
- Upside Capture
- 99.31%
- Downside Capture
- 89.44%
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 71 for risk / return — better than 71% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by 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 | 1.94 | 1.65 | +0.29 |
| Sortino ratioReturn per unit of downside risk | 2.66 | 2.28 | +0.38 |
| Omega ratioGain probability vs. loss probability | 1.34 | 1.30 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 3.32 | 2.28 | +1.05 |
| Martin ratioReturn relative to average drawdown | 14.59 | 9.88 | +4.71 |
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 | 64 | 1.55 | 2.06 | 1.29 | 3.17 | 11.07 |
QUAL iShares MSCI USA Quality Factor ETF | 62 | 1.65 | 2.36 | 1.29 | 2.21 | 9.96 |
SIZE iShares MSCI USA Size Factor ETF | 46 | 1.21 | 1.81 | 1.21 | 1.98 | 7.65 |
USMV iShares MSCI USA Min Vol Factor ETF | 25 | 0.73 | 1.08 | 1.13 | 0.97 | 3.16 |
VLUE iShares MSCI USA Value Factor ETF | 96 | 3.64 | 4.69 | 1.62 | 7.97 | 30.69 |
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Dividends
Dividend yield
Multi-Factor Portfolio provided a 0.93% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.93% | 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 | 0.58% | 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 | 1.36% | 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 | 1.48% | 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 | 1.43% | 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 2.15%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -34.94%Mar 2020 | 1mo 2d | 5mo 1d | 6mo 3dFeb 2020 - Aug 2020 |
Bear market2022 | -26.30%Sep 2022 | 10mo 25d | 1y 3mo | 2y 2moNov 2021 - Jan 2024 |
Rate-hike selloffLate 2018 | -19.98%Dec 2018 | 2mo 21d | 4mo 7d | 6mo 28dOct 2018 - Apr 2019 |
2025 selloff2025 | -17.92%Apr 2025 | 1mo 17d | 2mo 17d | 4mo 4dFeb 2025 - Jun 2025 |
2016 correction2016 | -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 a compact bet on U.S. large-cap factor equity, with quality and momentum doing most of the work and value, size, and low volatility mostly changing the texture around the edges.
The numbers
- Diversification ratio is 1.06 over inception and 1.13 over 1Y, both around the 11th-20th percentile on the platform; that is a portfolio with some diversification benefit, but not much.
- Effective asset count is 3.64 of 5, so the weights are spread out, though the correlations say the holdings still behave like one sleeve.
- Pairwise correlations run 0.69-0.84, and the whole set sits in one cluster, which is what factor portfolios do when the factors are all from the same neighborhood.
The good
- The portfolio is internally coherent: Momentum (MTUM), Quality (QUAL), Value (VLUE), Size (SIZE), and Min Volatility (USMV) are distinct labels for a fairly similar U.S. equity engine.
- The weights are not mechanically concentrated in one name, so the construction avoids single-fund idiosyncrasy.
- To be fair, the 1Y DR is a bit better than the long-run figure, so the sleeves have recently been less perfectly redundant than they were over longer windows.
The bad
- QUAL at 35% and MTUM at 35% dominate the portfolio-to-portfolio correlation picture, at 0.96 and 0.93, so the portfolio is closer to a factor blend than a diversified mix.
- SIZE, VLUE, and USMV are useful decorators, but their correlations with the rest stay high enough that they do not create much independent return path.
The ugly
- If U.S. large-cap factors de-rate together, the portfolio’s entire correlation structure tends to travel as one object; the “diversification” mostly survives only in the arithmetic.
Next steps
- Portfolios with this correlation profile are often paired with exposures whose earnings drivers sit outside the U.S. equity factor complex.
- A sleeve with materially different macro sensitivity would change the portfolio more than another U.S. factor ETF pretending to be a different idea.
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 | 1.13 | 1.08 | 1.07 | 1.06 | 1.06 |
The portfolio has a diversification ratio of 1.06, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Multi-Factor Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.92 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.95 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.96 |
Correlation (10Y) Calculated over the trailing 10-year period | 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 0.83.
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