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Lo factor
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Lo factor

Last updated Sep 21, 2024

Asset Allocation

KMLM 15%BTAL 10%SPMO 17.67%IDMO 17.67%PAMC 17.67%AVUV 12%RPAR 10%AlternativesAlternativesEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
AVUV
Avantis U.S. Small Cap Value ETF		Small Cap Value Equities, Actively Managed
12%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		Long-Short
10%
IDMO
Invesco S&P International Developed Momentum ETF		Global Equities
17.67%
KMLM
KFA Mount Lucas Index Strategy ETF		Long-Short, Actively Managed
15%
PAMC
Pacer Lunt MidCap Multi-Factor Alternator ETF		Mid Cap Growth Equities, Multi-factor
17.67%
RPAR
RPAR Risk Parity ETF		Hedge Fund, Actively Managed
10%
SPMO
Invesco S&P 500® Momentum ETF		Large Cap Growth Equities
17.67%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Lo factor, 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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
4.91%
8.94%
Lo factor
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 2, 2020, corresponding to the inception date of KMLM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
Lo factor17.67%1.30%4.91%25.08%N/AN/A
Portfolio components:
SPMO
Invesco S&P 500® Momentum ETF		38.56%1.99%12.09%58.34%18.98%N/A
IDMO
Invesco S&P International Developed Momentum ETF		17.32%1.76%2.06%28.61%13.55%9.06%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		15.40%-2.78%8.01%3.74%-1.91%1.04%
PAMC
Pacer Lunt MidCap Multi-Factor Alternator ETF		24.57%2.49%1.78%36.78%N/AN/A
AVUV
Avantis U.S. Small Cap Value ETF		7.67%3.54%5.78%26.71%N/AN/A
RPAR
RPAR Risk Parity ETF		7.94%2.21%8.05%16.48%N/AN/A
KMLM
KFA Mount Lucas Index Strategy ETF		1.80%-1.18%-1.51%-9.14%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.91%5.64%4.60%-2.80%2.97%0.75%2.70%0.68%17.67%
20233.53%-2.10%-0.59%1.70%-3.17%4.06%1.99%0.00%-0.76%-2.12%4.92%3.52%11.10%
2022-2.65%-0.55%3.58%-3.39%2.02%-6.02%4.52%-1.77%-6.04%7.83%3.49%-2.73%-2.74%
20211.26%1.66%0.92%3.94%0.95%0.67%0.12%2.07%-1.70%4.26%-2.42%2.62%15.09%
20203.59%3.59%

Expense Ratio

Lo factor features an expense ratio of 0.60%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

BTAL
AGFiQ US Market Neutral Anti-Beta Fund
Expense ratio chart for BTAL: current value at 2.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.11%
KMLM
KFA Mount Lucas Index Strategy ETF
Expense ratio chart for KMLM: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
PAMC
Pacer Lunt MidCap Multi-Factor Alternator ETF
Expense ratio chart for PAMC: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
RPAR
RPAR Risk Parity ETF
Expense ratio chart for RPAR: current value at 0.51% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.51%
IDMO
Invesco S&P International Developed Momentum ETF
Expense ratio chart for IDMO: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
AVUV
Avantis U.S. Small Cap Value ETF
Expense ratio chart for AVUV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
SPMO
Invesco S&P 500® Momentum ETF
Expense ratio chart for SPMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Lo factor is 77, placing it in the top 23% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Lo factor is 7777
Lo factor
The Sharpe Ratio Rank of Lo factor is 7272Sharpe Ratio Rank
The Sortino Ratio Rank of Lo factor is 7878Sortino Ratio Rank
The Omega Ratio Rank of Lo factor is 6969Omega Ratio Rank
The Calmar Ratio Rank of Lo factor is 8787Calmar Ratio Rank
The Martin Ratio Rank of Lo factor is 7878Martin 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.

Lo factor
Sharpe ratio
The chart of Sharpe ratio for Lo factor, currently valued at 2.48, compared to the broader market-1.000.001.002.003.004.005.002.48
Sortino ratio
The chart of Sortino ratio for Lo factor, currently valued at 3.50, compared to the broader market-2.000.002.004.006.003.50
Omega ratio
The chart of Omega ratio for Lo factor, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.801.44
Calmar ratio
The chart of Calmar ratio for Lo factor, currently valued at 3.72, compared to the broader market0.002.004.006.008.0010.003.72
Martin ratio
The chart of Martin ratio for Lo factor, currently valued at 16.00, compared to the broader market0.0010.0020.0030.0040.0016.00
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.005.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPMO
Invesco S&P 500® Momentum ETF		3.093.971.534.2517.07
IDMO
Invesco S&P International Developed Momentum ETF		1.652.221.292.349.64
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		0.300.531.060.280.73
PAMC
Pacer Lunt MidCap Multi-Factor Alternator ETF		1.962.771.332.3310.63
AVUV
Avantis U.S. Small Cap Value ETF		1.191.781.212.016.00
RPAR
RPAR Risk Parity ETF		1.201.741.210.495.80
KMLM
KFA Mount Lucas Index Strategy ETF		-0.78-0.980.88-0.37-0.91

Sharpe Ratio

The current Lo factor Sharpe ratio is 2.48. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.91 to 2.59, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Lo factor with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
2.48
2.32
Lo factor
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Lo factor granted a 1.39% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Lo factor1.39%2.05%3.10%1.87%0.79%0.77%0.80%0.68%0.73%0.51%0.39%0.30%
Portfolio components:
SPMO
Invesco S&P 500® Momentum ETF		0.40%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%0.00%0.00%
IDMO
Invesco S&P International Developed Momentum ETF		1.56%2.89%3.66%1.81%1.63%2.10%3.27%3.08%2.18%2.52%2.19%1.70%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		5.32%6.14%1.01%0.00%0.00%0.88%0.39%0.00%0.00%0.00%0.00%0.00%
PAMC
Pacer Lunt MidCap Multi-Factor Alternator ETF		0.42%0.69%1.29%0.36%0.30%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AVUV
Avantis U.S. Small Cap Value ETF		1.22%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%0.00%0.00%
RPAR
RPAR Risk Parity ETF		2.93%3.16%4.01%2.02%0.76%0.23%0.00%0.00%0.00%0.00%0.00%0.00%
KMLM
KFA Mount Lucas Index Strategy ETF		0.00%0.00%8.12%6.94%0.00%0.00%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.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.49%
-0.19%
Lo factor
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Lo factor. 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 Lo factor was 12.28%, occurring on Sep 30, 2022. Recovery took 204 trading sessions.

The current Lo factor drawdown is 0.49%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-12.28%Nov 17, 2021219Sep 30, 2022204Jul 26, 2023423
-6.4%Jul 17, 202414Aug 5, 202432Sep 19, 202446
-5.33%Feb 16, 202113Mar 4, 202128Apr 14, 202141
-4.98%Sep 15, 202331Oct 27, 202312Nov 14, 202343
-3.59%Jul 6, 202110Jul 19, 20218Jul 29, 202118

Volatility

Volatility Chart

The current Lo factor volatility is 3.26%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
3.26%
4.31%
Lo factor
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
KMLMRPARBTALSPMOIDMOAVUVPAMC
KMLM1.00-0.290.13-0.10-0.15-0.06-0.13
RPAR-0.291.00-0.400.450.530.440.48
BTAL0.13-0.401.00-0.40-0.46-0.64-0.65
SPMO-0.100.45-0.401.000.740.600.69
IDMO-0.150.53-0.460.741.000.630.68
AVUV-0.060.44-0.640.600.631.000.88
PAMC-0.130.48-0.650.690.680.881.00
The correlation results are calculated based on daily price changes starting from Dec 3, 2020