Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 5 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 Sep 21, 2015, corresponding to the inception date of GSLC
Returns By Period
As of Apr 3, 2026, the 5 factor Portfolio returned -0.48% Year-To-Date and 12.70% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio 5 factor Portfolio | 0.29% | -2.81% | -0.48% | 0.58% | 18.09% | 16.92% | 9.37% | 12.70% |
| Portfolio components: | ||||||||
IWM iShares Russell 2000 ETF | 0.69% | -2.89% | 2.27% | 3.51% | 25.33% | 13.42% | 3.61% | 10.00% |
VTV Vanguard Value ETF | 0.16% | -3.03% | 3.71% | 6.74% | 16.12% | 14.94% | 10.95% | 11.89% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.25% | -0.38% | -1.69% | -3.55% | 20.25% | 21.22% | 9.74% | 14.17% |
QUAL iShares MSCI USA Quality Factor ETF | 0.20% | -4.31% | -2.54% | -1.12% | 13.24% | 17.00% | 10.75% | 13.06% |
GSLC Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 0.13% | -3.52% | -4.35% | -2.81% | 14.61% | 17.10% | 10.97% | 13.29% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 22, 2015, 5 factor Portfolio's average daily return is +0.05%, while the average monthly return is +1.07%. At this rate, your investment would double in approximately 5.4 years.
Historically, 71% of months were positive and 29% were negative. The best month was Nov 2020 with a return of +12.7%, while the worst month was Mar 2020 at -14.2%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.
On a daily basis, 5 factor Portfolio closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +9.9%, while the worst single day was Mar 16, 2020 at -11.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.99% | 0.76% | -5.20% | 1.16% | -0.48% | ||||||||
| 2025 | 3.73% | -1.39% | -5.56% | -0.78% | 5.93% | 4.31% | 1.04% | 3.29% | 3.42% | 0.55% | 0.64% | 0.24% | 15.96% |
| 2024 | 1.36% | 6.21% | 3.52% | -5.05% | 4.73% | 2.07% | 3.01% | 2.01% | 1.67% | -1.08% | 7.10% | -5.19% | 21.37% |
| 2023 | 5.03% | -2.78% | 0.62% | 1.09% | -1.84% | 6.81% | 3.64% | -1.87% | -4.72% | -2.96% | 8.54% | 6.27% | 18.12% |
| 2022 | -6.57% | -1.99% | 3.29% | -8.77% | 0.40% | -7.95% | 7.78% | -3.17% | -8.45% | 10.42% | 4.93% | -5.00% | -16.15% |
| 2021 | 0.40% | 3.10% | 3.19% | 4.45% | 0.72% | 1.80% | 0.86% | 2.85% | -4.39% | 6.55% | -2.50% | 3.35% | 21.82% |
Benchmark Metrics
5 factor Portfolio has an annualized alpha of 0.45%, beta of 0.99, and R² of 0.97 versus S&P 500 Index. Calculated based on daily prices since September 22, 2015.
- With beta of 0.99 and R² of 0.97, 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
- 0.45%
- Beta
- 0.99
- R²
- 0.97
- Upside Capture
- 100.71%
- Downside Capture
- 99.39%
Expense Ratio
5 factor Portfolio has an expense ratio of 0.12%, 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
5 factor Portfolio ranks 31 for risk / return — below 31% 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 | 0.99 | 0.88 | +0.11 |
Sortino ratioReturn per unit of downside risk | 1.49 | 1.37 | +0.13 |
Omega ratioGain probability vs. loss probability | 1.22 | 1.21 | +0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.57 | 1.39 | +0.18 |
Martin ratioReturn relative to average drawdown | 7.24 | 6.43 | +0.81 |
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 | |
|---|---|---|---|---|---|---|
IWM iShares Russell 2000 ETF | 60 | 1.10 | 1.64 | 1.21 | 1.99 | 7.27 |
VTV Vanguard Value ETF | 56 | 1.09 | 1.57 | 1.23 | 1.48 | 6.62 |
MTUM iShares MSCI USA Momentum Factor ETF | 51 | 0.89 | 1.36 | 1.20 | 1.78 | 6.63 |
QUAL iShares MSCI USA Quality Factor ETF | 40 | 0.76 | 1.21 | 1.17 | 1.21 | 5.43 |
GSLC Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 43 | 0.81 | 1.27 | 1.19 | 1.26 | 5.62 |
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Dividends
Dividend yield
5 factor Portfolio provided a 1.17% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.17% | 1.19% | 1.27% | 1.55% | 1.80% | 1.18% | 1.43% | 1.68% | 1.86% | 1.60% | 1.78% | 1.45% |
| Portfolio components: | ||||||||||||
IWM iShares Russell 2000 ETF | 1.01% | 1.04% | 1.15% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% |
VTV Vanguard Value ETF | 2.02% | 2.05% | 2.31% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% |
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% |
GSLC Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 1.05% | 1.00% | 1.11% | 1.38% | 1.61% | 1.06% | 1.35% | 1.54% | 1.89% | 1.69% | 1.69% | 0.36% |
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 5 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 5 factor Portfolio was 35.73%, occurring on Mar 23, 2020. Recovery took 109 trading sessions.
The current 5 factor Portfolio drawdown is 4.86%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -35.73% | Feb 20, 2020 | 23 | Mar 23, 2020 | 109 | Aug 26, 2020 | 132 |
| -25.26% | Nov 9, 2021 | 225 | Sep 30, 2022 | 332 | Jan 29, 2024 | 557 |
| -20.86% | Sep 21, 2018 | 65 | Dec 24, 2018 | 122 | Jun 20, 2019 | 187 |
| -18.8% | Feb 20, 2025 | 34 | Apr 8, 2025 | 56 | Jun 30, 2025 | 90 |
| -13.42% | Dec 2, 2015 | 49 | Feb 11, 2016 | 74 | May 27, 2016 | 123 |
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 5.00, 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 | MTUM | IWM | VTV | QUAL | GSLC | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.86 | 0.82 | 0.85 | 0.97 | 0.99 | 0.97 |
| MTUM | 0.86 | 1.00 | 0.70 | 0.68 | 0.83 | 0.87 | 0.88 |
| IWM | 0.82 | 0.70 | 1.00 | 0.81 | 0.79 | 0.82 | 0.91 |
| VTV | 0.85 | 0.68 | 0.81 | 1.00 | 0.84 | 0.84 | 0.89 |
| QUAL | 0.97 | 0.83 | 0.79 | 0.84 | 1.00 | 0.97 | 0.95 |
| GSLC | 0.99 | 0.87 | 0.82 | 0.84 | 0.97 | 1.00 | 0.97 |
| Portfolio | 0.97 | 0.88 | 0.91 | 0.89 | 0.95 | 0.97 | 1.00 |