multifactor
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in multifactor, 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 Quarterly
The earliest data available for this chart is Jan 16, 2020, corresponding to the inception date of GARP
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| multifactor | 29.18% | 1.73% | 13.66% | 38.16% | N/A | N/A |
| Portfolio components: | ||||||
SPMO Invesco S&P 500® Momentum ETF | 47.91% | 2.49% | 18.92% | 57.54% | 20.47% | N/A |
GARP iShares MSCI USA Quality GARP ETF | 36.58% | 2.53% | 15.07% | 44.68% | N/A | N/A |
USMV iShares Edge MSCI Min Vol USA ETF | 20.86% | 0.56% | 12.38% | 26.81% | 9.66% | 10.97% |
SIZE iShares MSCI USA Size Factor ETF | 18.98% | 2.79% | 10.78% | 31.28% | 12.15% | 11.39% |
MGV Vanguard Mega Cap Value ETF | 21.92% | 0.25% | 10.42% | 30.63% | 11.90% | 10.91% |
Monthly Returns
The table below presents the monthly returns of multifactor, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 2.53% | 5.92% | 3.95% | -4.67% | 4.74% | 3.32% | 1.87% | 3.18% | 1.52% | -1.11% | 29.18% | ||
| 2023 | 3.90% | -2.88% | 2.06% | 1.18% | -2.27% | 6.23% | 2.61% | -0.87% | -3.17% | -2.12% | 8.73% | 5.18% | 19.27% |
| 2022 | -5.60% | -2.20% | 3.58% | -7.33% | 0.53% | -7.42% | 7.90% | -3.36% | -8.01% | 9.77% | 5.02% | -4.56% | -12.96% |
| 2021 | -0.74% | 1.44% | 4.03% | 4.53% | 0.79% | 3.05% | 2.28% | 3.02% | -4.90% | 6.58% | -1.82% | 4.58% | 24.70% |
| 2020 | -2.19% | -8.70% | -12.17% | 11.93% | 5.29% | 1.31% | 5.27% | 5.68% | -2.17% | -3.02% | 10.75% | 3.86% | 13.68% |
Expense Ratio
multifactor has an expense ratio of 0.13%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of multifactor is 92, placing it in the top 8% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
SPMO Invesco S&P 500® Momentum ETF | 3.40 | 4.38 | 1.61 | 4.57 | 19.03 |
GARP iShares MSCI USA Quality GARP ETF | 2.66 | 3.42 | 1.48 | 3.55 | 13.61 |
USMV iShares Edge MSCI Min Vol USA ETF | 3.37 | 4.78 | 1.64 | 5.64 | 21.98 |
SIZE iShares MSCI USA Size Factor ETF | 2.82 | 3.90 | 1.50 | 3.17 | 15.72 |
MGV Vanguard Mega Cap Value ETF | 3.26 | 4.62 | 1.61 | 6.61 | 21.52 |
Dividends
Dividend yield
multifactor provided a 1.19% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.19% | 1.62% | 1.84% | 1.16% | 1.55% | 1.46% | 1.65% | 1.29% | 1.71% | 1.38% | 1.18% | 1.18% |
| Portfolio components: | ||||||||||||
SPMO Invesco S&P 500® Momentum ETF | 0.44% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% | 0.00% | 0.00% |
GARP iShares MSCI USA Quality GARP ETF | 0.37% | 0.75% | 1.85% | 0.67% | 0.75% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
USMV iShares Edge MSCI Min Vol USA ETF | 1.61% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% | 1.88% | 2.18% |
SIZE iShares MSCI USA Size Factor ETF | 1.32% | 1.42% | 1.59% | 1.19% | 1.43% | 1.35% | 2.43% | 1.58% | 1.88% | 1.95% | 1.78% | 1.41% |
MGV Vanguard Mega Cap Value ETF | 2.23% | 2.48% | 2.45% | 2.17% | 2.47% | 2.69% | 2.65% | 2.34% | 2.53% | 2.59% | 2.26% | 2.29% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the multifactor. 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 multifactor was 33.85%, occurring on Mar 23, 2020. Recovery took 107 trading sessions.
The current multifactor drawdown is 0.46%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.85% | Feb 20, 2020 | 23 | Mar 23, 2020 | 107 | Aug 24, 2020 | 130 |
| -21.19% | Jan 5, 2022 | 186 | Sep 30, 2022 | 301 | Dec 12, 2023 | 487 |
| -7.74% | Sep 3, 2020 | 14 | Sep 23, 2020 | 13 | Oct 12, 2020 | 27 |
| -7.53% | Oct 13, 2020 | 14 | Oct 30, 2020 | 6 | Nov 9, 2020 | 20 |
| -7.33% | Jul 17, 2024 | 14 | Aug 5, 2024 | 10 | Aug 19, 2024 | 24 |
Volatility
Volatility Chart
The current multifactor volatility is 3.71%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| GARP | SPMO | MGV | USMV | SIZE | |
|---|---|---|---|---|---|
| GARP | 1.00 | 0.80 | 0.60 | 0.70 | 0.78 |
| SPMO | 0.80 | 1.00 | 0.69 | 0.75 | 0.76 |
| MGV | 0.60 | 0.69 | 1.00 | 0.86 | 0.88 |
| USMV | 0.70 | 0.75 | 0.86 | 1.00 | 0.84 |
| SIZE | 0.78 | 0.76 | 0.88 | 0.84 | 1.00 |