PortfoliosLab logo
PortfoliosLab logo
Tools
Portfolios
Screeners
Discussions
Systematic
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Systematic

Currency in USD · Last updated May 30, 2025

Asset Allocation

DYNF 20%JQUA 20%MTUM 20%SPMO 20%AMOMX 20%EquityEquity
PositionCategory/SectorTarget Weight
AMOMX
AQR Large Cap Momentum Style Fund		Large Cap Growth Equities
20%
DYNF
BlackRock U.S. Equity Factor Rotation ETF		Large Cap Growth Equities, Actively Managed
20%
JQUA
JPMorgan U.S. Quality Factor ETF		Large Cap Growth Equities
20%
MTUM
iShares Edge MSCI USA Momentum Factor ETF		Large Cap Growth Equities
20%
SPMO
Invesco S&P 500® Momentum ETF		Large Cap Growth Equities
20%

S&P 500

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

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		0.52%6.32%-1.44%12.25%14.20%10.84%
Systematic6.23%8.48%3.17%19.25%16.92%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
AMOMX
AQR Large Cap Momentum Style Fund		4.02%9.06%-0.72%14.01%15.84%12.51%
*Annualized

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.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20254.56%-0.93%-6.57%1.26%8.38%6.23%
20243.76%8.38%3.24%-5.05%5.33%4.69%-0.37%3.16%2.04%-0.13%6.94%-3.43%31.50%
20232.79%-3.05%2.54%1.96%-1.96%6.69%2.70%-0.12%-3.97%-2.29%9.61%5.38%21.17%
2022-7.35%-2.53%3.75%-9.28%0.58%-7.54%7.63%-3.26%-7.71%10.55%4.55%-4.45%-16.11%
2021-0.03%1.00%2.11%5.41%0.10%3.59%2.05%3.46%-4.27%7.80%-1.89%2.22%23.17%
20201.71%-7.90%-11.51%11.72%6.27%2.20%6.05%7.64%-3.09%-3.27%10.33%3.56%22.98%
20190.61%2.38%-3.79%5.94%1.46%-0.25%0.27%0.76%2.93%2.10%12.82%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

Systematic has an expense ratio of 0.22%, 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.

AMOMX
AQR Large Cap Momentum Style Fund
DYNF
BlackRock U.S. Equity Factor Rotation ETF
MTUM
iShares Edge MSCI USA Momentum Factor ETF
SPMO
Invesco S&P 500® Momentum ETF
JQUA
JPMorgan U.S. Quality Factor ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Systematic is 62, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of Systematic is 6262
Overall Rank
The Sharpe Ratio Rank of Systematic is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of Systematic is 6161
Sortino Ratio Rank
The Omega Ratio Rank of Systematic is 6464
Omega Ratio Rank
The Calmar Ratio Rank of Systematic is 6565
Calmar Ratio Rank
The Martin Ratio Rank of Systematic is 6060
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 ratioSortino ratioOmega ratioCalmar ratioMartin ratio
DYNF
BlackRock U.S. Equity Factor Rotation ETF		0.791.181.170.823.03
JQUA
JPMorgan U.S. Quality Factor ETF		0.911.251.180.853.37
MTUM
iShares Edge MSCI USA Momentum Factor ETF		0.901.311.191.053.60
SPMO
Invesco S&P 500® Momentum ETF		1.131.661.241.425.12
AMOMX
AQR Large Cap Momentum Style Fund		0.580.911.130.602.04

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.

Systematic Sharpe ratios as of May 30, 2025 (values are recalculated daily):

  • 1-Year: 0.88
  • 5-Year: 0.91
  • All Time: 0.73

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 0.58 to 1.14, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Systematic compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Systematic provided a 3.40% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio3.40%3.44%3.88%3.53%5.11%4.24%3.19%3.32%2.27%2.32%1.98%2.20%
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%
AMOMX
AQR Large Cap Momentum Style Fund		13.51%14.05%14.08%10.95%17.95%16.14%10.22%12.17%9.15%8.23%8.44%9.94%

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 33.39%, occurring on Mar 23, 2020. Recovery took 84 trading sessions.

The current Systematic drawdown is 1.24%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.39%Feb 20, 202023Mar 23, 202084Jul 22, 2020107
-25.23%Nov 9, 2021225Sep 30, 2022306Dec 19, 2023531
-19.72%Feb 19, 202535Apr 8, 2025———
-10.32%Jul 17, 202414Aug 5, 202432Sep 19, 202446
-9.16%Sep 3, 202014Sep 23, 202044Nov 24, 202058
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

Loading data...

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 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.
^GSPCSPMOMTUMJQUADYNFAMOMXPortfolio
^GSPC1.000.850.850.970.970.940.95
SPMO0.851.000.910.840.840.920.94
MTUM0.850.911.000.840.860.950.95
JQUA0.970.840.841.000.950.920.94
DYNF0.970.840.860.951.000.930.95
AMOMX0.940.920.950.920.931.000.99
Portfolio0.950.940.950.940.950.991.00
The correlation results are calculated based on daily price changes starting from Mar 20, 2019
Go to the full Correlations tool for more customization options