Factors & Thematic 2

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Factors & Thematic 2

Currency in USD · Last updated May 20, 2025

Asset Allocation

Position	Category/Sector	Target Weight
AIQ Global X Artificial Intelligence & Technology ETF	Large Cap Growth Equities	12.50%
BLOK Amplify Transformational Data Sharing ETF	Technology Equities, Actively Managed, Blockchain	12.50%
GDX VanEck Vectors Gold Miners ETF	Materials	12.50%
IBB iShares Nasdaq Biotechnology ETF	Health & Biotech Equities	12.50%
ICLN iShares Global Clean Energy ETF	Alternative Energy Equities	12.50%
JEPI JPMorgan Equity Premium Income ETF	Actively Managed, Dividend, Derivative Income	12.50%
XME SPDR S&P Metals & Mining ETF	Materials	12.50%
XT iShares Exponential Technologies ETF	Large Cap Growth Equities	12.50%

Benchmark

S&P 500

Rebalance

Performance

Performance Chart

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The earliest data available for this chart is May 21, 2020, corresponding to the inception date of JEPI

Returns By Period

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	1.39%	12.89%	1.19%	12.45%	14.95%	10.86%
Factors & Thematic 2	9.67%	11.04%	5.45%	11.73%	N/A	N/A
Portfolio components:
AIQ Global X Artificial Intelligence & Technology ETF	5.80%	20.59%	7.95%	19.36%	16.68%	N/A
IBB iShares Nasdaq Biotechnology ETF	-7.25%	3.57%	-7.79%	-10.13%	-1.50%	0.31%
ICLN iShares Global Clean Energy ETF	12.74%	11.37%	6.72%	-7.91%	3.31%	2.22%
XT iShares Exponential Technologies ETF	3.52%	13.59%	4.56%	5.00%	8.84%	9.99%
BLOK Amplify Transformational Data Sharing ETF	12.80%	34.66%	7.75%	56.19%	25.94%	N/A
GDX VanEck Vectors Gold Miners ETF	39.60%	-7.03%	29.38%	29.90%	6.70%	10.18%
XME SPDR S&P Metals & Mining ETF	4.95%	8.70%	-10.20%	-6.51%	24.88%	9.45%
JEPI JPMorgan Equity Premium Income ETF	0.53%	5.63%	-1.37%	6.01%	N/A	N/A

*Annualized

Monthly Returns

The table below presents the monthly returns of Factors & Thematic 2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2025	5.77%	-2.52%	-2.08%	2.28%	6.21%								9.67%
2024	-4.86%	4.06%	4.79%	-4.95%	6.42%	-0.77%	4.63%	-0.23%	3.21%	-1.55%	4.97%	-7.10%	7.71%
2023	10.89%	-5.07%	4.66%	-1.17%	-1.10%	5.14%	4.85%	-6.02%	-5.51%	-3.30%	10.89%	9.54%	23.83%
2022	-9.79%	4.79%	6.06%	-11.29%	-2.96%	-9.09%	9.05%	-3.29%	-8.85%	5.18%	7.84%	-5.24%	-18.93%
2021	1.98%	3.02%	3.37%	1.15%	1.96%	-0.14%	0.36%	2.16%	-6.43%	8.11%	-2.31%	-1.45%	11.68%
2020					1.71%	3.88%	8.89%	6.79%	-1.75%	0.00%	12.59%	9.94%	49.43%

Expense Ratio

Factors & Thematic 2 has an expense ratio of 0.50%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

BLOK

Amplify Transformational Data Sharing ETF

AIQ

Global X Artificial Intelligence & Technology ETF

GDX

VanEck Vectors Gold Miners ETF

IBB

iShares Nasdaq Biotechnology ETF

iShares Exponential Technologies ETF

ICLN

iShares Global Clean Energy ETF

XME

SPDR S&P Metals & Mining ETF

JEPI

JPMorgan Equity Premium Income ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Factors & Thematic 2 is 29, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AIQ Global X Artificial Intelligence & Technology ETF	0.72	1.12	1.16	0.71	2.45
IBB iShares Nasdaq Biotechnology ETF	-0.45	-0.51	0.94	-0.30	-1.16
ICLN iShares Global Clean Energy ETF	-0.34	-0.37	0.95	-0.13	-0.53
XT iShares Exponential Technologies ETF	0.23	0.42	1.06	0.17	0.71
BLOK Amplify Transformational Data Sharing ETF	1.26	1.83	1.22	1.32	4.39
GDX VanEck Vectors Gold Miners ETF	0.87	1.44	1.18	1.48	3.53
XME SPDR S&P Metals & Mining ETF	-0.22	-0.04	0.99	-0.18	-0.42
JEPI JPMorgan Equity Premium Income ETF	0.44	0.73	1.12	0.47	2.01

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Factors & Thematic 2 Sharpe ratios as of May 20, 2025 (values are recalculated daily):

1-Year: 0.56
All Time: 0.69

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.57 to 1.05, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Factors & Thematic 2 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

Factors & Thematic 2 provided a 2.18% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	2.18%	2.26%	1.82%	2.19%	3.21%	1.38%	1.09%	1.12%	0.71%	0.84%	0.90%	0.73%
Portfolio components:
AIQ Global X Artificial Intelligence & Technology ETF	0.13%	0.14%	0.16%	0.56%	0.15%	0.50%	0.51%	0.51%	0.00%	0.00%	0.00%	0.00%
IBB iShares Nasdaq Biotechnology ETF	0.31%	0.29%	0.26%	0.31%	0.21%	0.20%	0.17%	0.19%	0.30%	0.19%	0.03%	0.15%
ICLN iShares Global Clean Energy ETF	1.64%	1.85%	1.59%	0.89%	1.18%	0.34%	1.36%	2.77%	2.49%	3.88%	2.36%	2.83%
XT iShares Exponential Technologies ETF	0.63%	0.66%	0.41%	0.78%	0.84%	0.77%	1.55%	1.45%	0.97%	1.37%	1.34%	0.00%
BLOK Amplify Transformational Data Sharing ETF	5.32%	6.00%	1.15%	0.00%	14.31%	1.88%	2.05%	1.30%	0.00%	0.00%	0.00%	0.00%
GDX VanEck Vectors Gold Miners ETF	0.85%	1.19%	1.61%	1.66%	1.67%	0.53%	0.65%	0.50%	0.76%	0.26%	0.85%	0.66%
XME SPDR S&P Metals & Mining ETF	0.56%	0.65%	1.00%	1.64%	0.70%	0.99%	2.43%	2.23%	1.15%	1.02%	2.61%	2.21%
JEPI JPMorgan Equity Premium Income ETF	7.98%	7.33%	8.40%	11.67%	6.59%	5.79%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

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 Factors & Thematic 2. 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 Factors & Thematic 2 was 31.85%, occurring on Oct 14, 2022. Recovery took 435 trading sessions.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-31.85%	Nov 15, 2021	231	Oct 14, 2022	435	Jul 11, 2024	666
-17.93%	Feb 21, 2025	33	Apr 8, 2025	27	May 16, 2025	60
-10.72%	Jul 17, 2024	14	Aug 5, 2024	37	Sep 26, 2024	51
-10.01%	Feb 18, 2021	11	Mar 4, 2021	107	Aug 5, 2021	118
-8.64%	Sep 7, 2021	20	Oct 4, 2021	20	Nov 1, 2021	40

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 8 assets, with an effective number of assets of 8.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	GDX	XME	JEPI	ICLN	IBB	BLOK	AIQ	XT	Portfolio
^GSPC	1.00	0.29	0.59	0.81	0.57	0.62	0.66	0.86	0.89	0.81
GDX	0.29	1.00	0.51	0.28	0.32	0.28	0.27	0.30	0.35	0.56
XME	0.59	0.51	1.00	0.49	0.49	0.40	0.49	0.50	0.59	0.75
JEPI	0.81	0.28	0.49	1.00	0.46	0.58	0.44	0.59	0.69	0.64
ICLN	0.57	0.32	0.49	0.46	1.00	0.56	0.54	0.60	0.70	0.74
IBB	0.62	0.28	0.40	0.58	0.56	1.00	0.54	0.62	0.72	0.72
BLOK	0.66	0.27	0.49	0.44	0.54	0.54	1.00	0.72	0.73	0.82
AIQ	0.86	0.30	0.50	0.59	0.60	0.62	0.72	1.00	0.92	0.83
XT	0.89	0.35	0.59	0.69	0.70	0.72	0.73	0.92	1.00	0.90
Portfolio	0.81	0.56	0.75	0.64	0.74	0.72	0.82	0.83	0.90	1.00

The correlation results are calculated based on daily price changes starting from May 22, 2020

Performance Analysis

Risk Analysis

Optimization

Factor Model

Factors & Thematic 2

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

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