Systematic
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
DYNF BlackRock U.S. Equity Factor Rotation ETF | Large Cap Growth Equities, Actively Managed | 25% |
JQUA JPMorgan U.S. Quality Factor ETF | Large Cap Growth Equities | 25% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | Large Cap Growth Equities | 25% |
SPMO Invesco S&P 500® Momentum ETF | Large Cap Growth Equities | 25% |
Performance
Performance Chart
Loading data...
The earliest data available for this chart is Mar 19, 2019, corresponding to the inception date of DYNF
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.52% | 6.32% | -1.44% | 12.25% | 14.20% | 10.84% |
| Systematic | 6.77% | 8.33% | 4.15% | 20.58% | 17.18% | N/A |
| Portfolio components: | ||||||
DYNF BlackRock U.S. Equity Factor Rotation ETF | 1.80% | 7.15% | -0.20% | 15.72% | 17.06% | N/A |
JQUA JPMorgan U.S. Quality Factor ETF | 2.73% | 4.97% | -0.75% | 15.82% | 15.77% | N/A |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 11.60% | 10.04% | 7.65% | 22.34% | 14.09% | 13.71% |
SPMO Invesco S&P 500® Momentum ETF | 10.97% | 11.01% | 9.92% | 28.24% | 21.18% | N/A |
Monthly Returns
The table below presents the monthly returns of Systematic, 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 | 4.42% | -0.41% | -6.28% | 1.22% | 8.23% | 6.77% | |||||||
| 2024 | 3.97% | 8.39% | 3.18% | -5.11% | 5.38% | 4.91% | -0.28% | 3.38% | 2.04% | -0.27% | 6.74% | -3.02% | 32.48% |
| 2023 | 2.92% | -3.15% | 2.77% | 2.11% | -2.05% | 6.49% | 2.71% | 0.05% | -3.72% | -2.20% | 9.51% | 5.47% | 21.92% |
| 2022 | -7.24% | -2.81% | 3.87% | -9.15% | 0.66% | -7.42% | 7.12% | -3.25% | -7.54% | 10.79% | 4.71% | -4.29% | -15.64% |
| 2021 | -0.02% | 1.02% | 2.36% | 5.25% | 0.17% | 3.44% | 1.99% | 3.47% | -4.39% | 7.38% | -2.08% | 2.38% | 22.47% |
| 2020 | 1.70% | -7.98% | -11.20% | 11.54% | 6.12% | 1.95% | 5.75% | 7.53% | -2.83% | -3.44% | 10.34% | 3.33% | 22.01% |
| 2019 | 0.59% | 2.24% | -3.93% | 5.98% | 1.52% | -0.47% | 0.49% | 0.72% | 2.91% | 2.21% | 12.64% |
Expense Ratio
Systematic has an expense ratio of 0.18%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Systematic is 69, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 | |
|---|---|---|---|---|---|
DYNF BlackRock U.S. Equity Factor Rotation ETF | 0.79 | 1.18 | 1.17 | 0.82 | 3.03 |
JQUA JPMorgan U.S. Quality Factor ETF | 0.91 | 1.25 | 1.18 | 0.85 | 3.37 |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.90 | 1.31 | 1.19 | 1.05 | 3.60 |
SPMO Invesco S&P 500® Momentum ETF | 1.13 | 1.66 | 1.24 | 1.42 | 5.12 |
Loading data...
Dividends
Dividend yield
Systematic provided a 0.87% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.87% | 0.78% | 1.32% | 1.68% | 1.91% | 1.26% | 1.44% | 1.11% | 0.54% | 0.84% | 0.37% | 0.26% |
| Portfolio components: | ||||||||||||
DYNF BlackRock U.S. Equity Factor Rotation ETF | 0.89% | 0.66% | 1.11% | 1.65% | 5.24% | 1.52% | 1.22% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JQUA JPMorgan U.S. Quality Factor ETF | 1.29% | 1.24% | 1.22% | 1.59% | 1.32% | 1.44% | 1.67% | 2.10% | 0.39% | 0.00% | 0.00% | 0.00% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.83% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% |
SPMO Invesco S&P 500® Momentum ETF | 0.49% | 0.48% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% | 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.
Loading data...
Worst Drawdowns
The table below displays the maximum drawdowns of the Systematic. 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 Systematic was 33.16%, occurring on Mar 23, 2020. Recovery took 92 trading sessions.
The current Systematic drawdown is 0.71%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.16% | Feb 20, 2020 | 23 | Mar 23, 2020 | 92 | Aug 3, 2020 | 115 |
| -25.05% | Nov 9, 2021 | 225 | Sep 30, 2022 | 304 | Dec 15, 2023 | 529 |
| -19.03% | Feb 20, 2025 | 34 | Apr 8, 2025 | — | — | — |
| -10.05% | Jul 17, 2024 | 14 | Aug 5, 2024 | 32 | Sep 19, 2024 | 46 |
| -8.84% | Sep 3, 2020 | 14 | Sep 23, 2020 | 38 | Nov 16, 2020 | 52 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading data...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 4 assets, with an effective number of assets of 4.00, 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
| ^GSPC | SPMO | MTUM | JQUA | DYNF | Portfolio | |
|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.85 | 0.85 | 0.97 | 0.97 | 0.95 |
| SPMO | 0.85 | 1.00 | 0.91 | 0.84 | 0.84 | 0.95 |
| MTUM | 0.85 | 0.91 | 1.00 | 0.84 | 0.86 | 0.95 |
| JQUA | 0.97 | 0.84 | 0.84 | 1.00 | 0.95 | 0.95 |
| DYNF | 0.97 | 0.84 | 0.86 | 0.95 | 1.00 | 0.95 |
| Portfolio | 0.95 | 0.95 | 0.95 | 0.95 | 0.95 | 1.00 |