Asset Allocation
Performance
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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The earliest data available for this chart is Jul 18, 2013, corresponding to the inception date of QUAL
Returns By Period
As of Apr 1, 2026, the Multi-Factor Portfolio returned -1.19% Year-To-Date and 12.89% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.72% | -4.45% | -3.95% | -2.02% | 16.73% | 16.96% | 10.34% | 12.24% |
Portfolio Multi-Factor Portfolio | 1.12% | -4.38% | -1.19% | -0.37% | 17.35% | 17.98% | 9.79% | 12.89% |
| Portfolio components: | ||||||||
SIZE iShares MSCI USA Size Factor ETF | 2.59% | -5.50% | -0.96% | -0.01% | 11.37% | 12.32% | 7.22% | 10.95% |
VLUE iShares Edge MSCI USA Value Factor ETF | 1.81% | -3.26% | 6.33% | 15.33% | 38.97% | 19.03% | 9.84% | 11.81% |
MTUM iShares MSCI USA Momentum Factor ETF | 2.19% | -3.25% | -1.94% | -3.82% | 21.46% | 21.93% | 9.69% | 14.08% |
QUAL iShares MSCI USA Quality Factor ETF | 0.50% | -5.52% | -2.74% | -1.05% | 13.65% | 17.10% | 10.71% | 12.99% |
USMV iShares MSCI USA Minimum Volatility Factor ETF | -0.08% | -4.74% | -1.18% | -1.61% | 0.57% | 10.26% | 7.59% | 9.64% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 19, 2013, Multi-Factor Portfolio's average daily return is +0.05%, while the average monthly return is +1.08%. At this rate, your investment would double in approximately 5.4 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 -12.7%. 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 +10.3%, 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 | 2.54% | 0.81% | -5.47% | 1.12% | -1.19% | ||||||||
| 2025 | 4.26% | -0.20% | -5.32% | 0.29% | 6.35% | 3.71% | 0.34% | 2.28% | 3.77% | 0.23% | 0.34% | 0.56% | 17.37% |
| 2024 | 2.80% | 6.77% | 3.31% | -5.07% | 4.68% | 2.92% | 0.69% | 3.17% | 1.82% | -0.97% | 6.12% | -4.59% | 22.98% |
| 2023 | 3.99% | -3.44% | 2.11% | 1.40% | -2.34% | 6.55% | 2.86% | -0.73% | -4.54% | -1.98% | 8.71% | 5.08% | 18.07% |
| 2022 | -6.98% | -3.01% | 3.86% | -9.16% | 0.20% | -7.87% | 7.00% | -3.51% | -8.23% | 10.26% | 5.64% | -4.87% | -17.50% |
| 2021 | -0.48% | 2.10% | 3.08% | 5.22% | 0.48% | 2.01% | 1.91% | 2.93% | -4.78% | 7.10% | -2.18% | 2.97% | 21.73% |
Benchmark Metrics
Multi-Factor Portfolio has an annualized alpha of 1.66%, beta of 0.97, and R² of 0.96 versus S&P 500 Index. Calculated based on daily prices since July 19, 2013.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (99.07%) than losses (91.60%) — typical of diversified or defensive assets.
- 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
- 1.66%
- Beta
- 0.97
- R²
- 0.96
- Upside Capture
- 99.07%
- Downside Capture
- 91.60%
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 30 for risk / return — below 30% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.96 | 0.92 | +0.04 |
Sortino ratioReturn per unit of downside risk | 1.45 | 1.41 | +0.04 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.21 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 1.50 | 1.41 | +0.09 |
Martin ratioReturn relative to average drawdown | 7.17 | 6.61 | +0.56 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
SIZE iShares MSCI USA Size Factor ETF | 38 | 0.60 | 1.00 | 1.14 | 0.94 | 4.35 |
VLUE iShares Edge MSCI USA Value Factor ETF | 90 | 2.00 | 2.67 | 1.38 | 3.03 | 13.15 |
MTUM iShares MSCI USA Momentum Factor ETF | 58 | 0.94 | 1.42 | 1.20 | 1.82 | 6.83 |
QUAL iShares MSCI USA Quality Factor ETF | 45 | 0.79 | 1.24 | 1.18 | 1.21 | 5.50 |
USMV iShares MSCI USA Minimum Volatility Factor ETF | 12 | 0.05 | 0.15 | 1.02 | 0.06 | 0.25 |
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Dividends
Dividend yield
Multi-Factor Portfolio provided a 1.13% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.13% | 1.16% | 1.21% | 1.49% | 1.83% | 1.08% | 1.34% | 1.66% | 1.87% | 1.52% | 1.80% | 1.60% |
| Portfolio components: | ||||||||||||
SIZE iShares MSCI USA Size Factor ETF | 1.56% | 1.50% | 1.53% | 1.42% | 1.59% | 1.19% | 1.43% | 1.35% | 2.43% | 1.58% | 1.88% | 1.95% |
VLUE iShares Edge MSCI USA Value Factor ETF | 1.96% | 2.11% | 2.73% | 2.66% | 3.18% | 2.22% | 2.42% | 2.61% | 2.70% | 2.14% | 2.07% | 2.39% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.80% | 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 | 0.98% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
USMV iShares MSCI USA Minimum Volatility Factor ETF | 1.59% | 1.49% | 1.67% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% |
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 34.91%, occurring on Mar 23, 2020. Recovery took 106 trading sessions.
The current Multi-Factor Portfolio drawdown is 5.90%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -34.91% | Feb 20, 2020 | 23 | Mar 23, 2020 | 106 | Aug 21, 2020 | 129 |
| -26.37% | Nov 9, 2021 | 225 | Sep 30, 2022 | 332 | Jan 29, 2024 | 557 |
| -19.98% | Oct 4, 2018 | 56 | Dec 24, 2018 | 86 | Apr 30, 2019 | 142 |
| -17.96% | Feb 20, 2025 | 34 | Apr 8, 2025 | 52 | Jun 24, 2025 | 86 |
| -11.34% | Dec 2, 2015 | 49 | Feb 11, 2016 | 34 | Apr 1, 2016 | 83 |
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 5 assets, with an effective number of assets of 3.64, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | VLUE | USMV | MTUM | SIZE | QUAL | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.84 | 0.84 | 0.86 | 0.84 | 0.97 | 0.97 |
| VLUE | 0.84 | 1.00 | 0.72 | 0.68 | 0.85 | 0.82 | 0.84 |
| USMV | 0.84 | 0.72 | 1.00 | 0.74 | 0.77 | 0.84 | 0.85 |
| MTUM | 0.86 | 0.68 | 0.74 | 1.00 | 0.72 | 0.84 | 0.93 |
| SIZE | 0.84 | 0.85 | 0.77 | 0.72 | 1.00 | 0.84 | 0.86 |
| QUAL | 0.97 | 0.82 | 0.84 | 0.84 | 0.84 | 1.00 | 0.96 |
| Portfolio | 0.97 | 0.84 | 0.85 | 0.93 | 0.86 | 0.96 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified but leans toward concentration due to high correlations among its individual positions. Most factor pairs show strong positive correlations, with values ranging from 0.68 to 0.85, indicating that these positions tend to move in similar directions. For example, SIZE and VLUE have a particularly high correlation of 0.85, and QUAL is highly correlated with nearly all other factors (around 0.82 to 0.84), suggesting overlapping exposures that reduce diversification benefits.
There are no notably low correlations among the factors that would significantly enhance diversification; the lowest correlation is 0.68 between VLUE and MTUM, which is still relatively high. This clustering of correlations implies that the portfolio's risk is somewhat concentrated in common underlying drivers rather than spread across independent sources.
The portfolio's correlation with individual positions is very high, ranging from 0.84 (with USMV) up to 0.96 (with QUAL). The near-perfect correlation with QUAL suggests that this factor has a dominant influence on the portfolio’s overall behavior. Similarly, the high correlations with MTUM (0.93) and SIZE (0.86) indicate these positions also have substantial weight or impact.
Overall, while the portfolio includes multiple factors, the strong inter-factor correlations and the dominant influence of QUAL imply that it behaves more like a concentrated portfolio with overlapping exposures rather than a truly diversified multi-factor strategy. This concentration could limit the portfolio's ability to reduce risk through diversification during market stress periods when correlated factors tend to move together.