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 Jun 23, 2026, the Multi-Factor Portfolio returned 21.75% Year-To-Date and 15.41% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.37% | -0.01% | 9.16% | 8.64% | 25.22% | 19.78% | 11.99% | 13.88% |
Portfolio Multi-Factor Portfolio | 0.90% | 5.87% | 21.75% | 20.63% | 36.14% | 25.26% | 13.46% | 15.41% |
| Portfolio components: | ||||||||
MTUM iShares MSCI USA Momentum Factor ETF | 1.98% | 13.83% | 38.19% | 36.52% | 50.96% | 35.93% | 16.53% | 18.03% |
QUAL iShares MSCI USA Quality Factor ETF | -0.03% | 0.86% | 9.09% | 8.41% | 24.05% | 19.05% | 11.96% | 14.62% |
SIZE iShares MSCI USA Size Factor ETF | -0.01% | 1.12% | 9.23% | 7.56% | 18.60% | 15.66% | 8.12% | 12.04% |
USMV iShares MSCI USA Min Vol Factor ETF | 0.04% | -2.38% | 0.85% | 0.25% | 4.28% | 10.83% | 7.10% | 9.75% |
VLUE iShares MSCI USA Value Factor ETF | 2.13% | 9.37% | 50.50% | 49.56% | 89.78% | 34.06% | 17.54% | 15.97% |
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 +1.21%. At this rate, an investment would double in approximately 4.8 years.
Historically, 69% of months were positive and 31% 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% | 3.54% | 21.75% | ||||||
| 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 2.30%, 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 89.57% of its losses - a favorable profile for investors.
- This portfolio generated an annualized alpha of 2.30% 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
- 2.30%
- Beta
- 0.97
- R²
- 0.96
- Upside Capture
- 100.44%
- Downside Capture
- 89.57%
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 79 for risk / return — better than 79% 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 | 2.57 | 2.03 | +0.54 |
| Sortino ratioReturn per unit of downside risk | 3.48 | 2.75 | +0.72 |
| Omega ratioGain probability vs. loss probability | 1.46 | 1.37 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 4.20 | 2.78 | +1.42 |
| Martin ratioReturn relative to average drawdown | 19.11 | 12.44 | +6.67 |
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 | 79 | 2.39 | 3.10 | 1.43 | 4.44 | 17.05 |
QUAL iShares MSCI USA Quality Factor ETF | 62 | 2.00 | 2.82 | 1.35 | 2.67 | 12.20 |
SIZE iShares MSCI USA Size Factor ETF | 45 | 1.44 | 2.11 | 1.25 | 2.34 | 9.07 |
USMV iShares MSCI USA Min Vol Factor ETF | 16 | 0.50 | 0.76 | 1.09 | 0.67 | 2.18 |
VLUE iShares MSCI USA Value Factor ETF | 97 | 4.83 | 6.02 | 1.81 | 9.99 | 41.99 |
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Dividends
Dividend yield
Multi-Factor Portfolio provided a 0.92% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.92% | 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 | 0.54% | 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 | 0.87% | 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 | 1.39% | 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 | 1.53% | 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 | 1.37% | 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.
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 factor bet on large-cap U.S. equities dressed up as diversification: momentum, quality, value, size, and low volatility all point into the same market, so the main thesis is not factor balance so much as factor overlap.
The numbers
- The diversification ratio is 1.06 incept and 1.11 over 1Y, both around the 11th-19th percentile on the platform; that is very little diversification benefit, even by ETF-portfolio standards.
- Effective asset count is 3.64 out of 5, which says the weights are spread out, but the correlation structure keeps them behaving like fewer sleeves.
- Pairwise correlations run from 0.69 to 0.84, and all five positions sit in one cluster, so the portfolio is broad in label and narrow in behavior.
The good
- The weights are not absurdly concentrated: no single position dominates, and the construction does spread across distinct style labels.
- There are good arguments for this kind of factor blend when the aim is to express equity exposure with a bit more style nuance than plain market beta.
The bad
- iShares MSCI USA Momentum Factor ETF (MTUM) and iShares MSCI USA Quality Factor ETF (QUAL) do most of the work, with portfolio correlations of 0.93 and 0.96; the portfolio is, in practice, very close to a high-quality momentum sleeve.
- iShares MSCI USA Min Vol Factor ETF (USMV) and Vanguard U.S. Multifactor ETF are not acting as diversifiers here; they are mostly different ways of owning the same equity regime.
The ugly
- If a single market regime hits momentum, quality, value, and low-vol together, the correlation structure can compress further and the portfolio starts to behave like one trade with several tickers.
Next steps
- Portfolios with this correlation profile are typically complemented by exposures whose return drivers sit outside the U.S. equity factor stack.
- The 1Y-versus-longer-window profile suggests diversification has weakened recently, not improved.
- The cluster data points to a portfolio whose labels are more varied than its risk sources.
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 | 1.11 | 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 | 0.93 |
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 0.97, 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