ETF factor 2

The chart shows the growth of an initial investment of $10,000 in ETF factor 2, 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.

As of Jun 13, 2026, the ETF factor 2 returned 18.63% Year-To-Date and 22.71% of annualized return in the last 10 years.

Based on dividend-adjusted daily data since Oct 6, 2014, ETF factor 2's average daily return is +0.05%, while the average monthly return is +1.54%. At this rate, an investment would double in approximately 3.8 years.

Historically, 65% of months were positive and 35% were negative. The best month was Nov 2020 with a return of +16.2%, while the worst month was Mar 2020 at -11.8%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 5 months.

On a daily basis, ETF factor 2 closed higher 55% of trading days. The best single day was Nov 21, 2014 with a return of +13.7%, while the worst single day was Mar 12, 2020 at -12.6%.

ETF factor 2 has an annualized alpha of 10.22%, beta of 0.48, and R2 of 0.21 versus S&P 500 Index. Calculated based on daily prices since October 06, 2014.

• This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (88.43%) than losses (69.24%) - typical of diversified or defensive assets.
• Beta of 0.48 may look defensive, but with R2 of 0.21 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
• R2 of 0.21 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

ETF factor 2 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.

ETF factor 2 ranks 83 for risk / return — in the top 83% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

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.

The current ETF factor 2 Sharpe ratio is 2.48 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.53 to 2.41, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of ETF factor 2 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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.

The table below displays the maximum drawdowns of the ETF factor 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 ETF factor 2 was 31.68%, occurring on Mar 18, 2020. Recovery took 152 trading sessions.

The current ETF factor 2 drawdown is 1.47%.

The chart below shows the rolling one-month volatility.