Factor funds
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Factor funds, 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 Sep 26, 2019, corresponding to the inception date of AVUV
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.82% | 3.20% | 14.94% | 35.92% | 14.22% | 11.43% |
| Factor funds | 23.11% | 3.61% | 11.49% | 36.32% | 12.26% | N/A |
| Portfolio components: | ||||||
IMTM iShares MSCI Intl Momentum Factor ETF | 15.53% | -1.91% | 2.02% | 24.63% | 8.20% | N/A |
IWF iShares Russell 1000 Growth ETF | 31.96% | 4.86% | 18.01% | 42.37% | 19.86% | 16.61% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 36.70% | 3.01% | 15.91% | 45.79% | 13.27% | 13.73% |
IVLU iShares MSCI Intl Value Factor ETF | 8.95% | -2.72% | -0.50% | 18.27% | 7.00% | N/A |
RZG Invesco S&P SmallCap 600® Pure Growth ETF | 21.48% | 7.24% | 14.46% | 40.60% | 9.63% | 8.39% |
SPY SPDR S&P 500 ETF | 27.16% | 3.31% | 15.14% | 37.86% | 15.95% | 13.38% |
IQLT iShares MSCI Intl Quality Factor ETF | 5.40% | -4.88% | -0.44% | 16.77% | 7.15% | N/A |
AVUV Avantis U.S. Small Cap Value ETF | 18.21% | 8.14% | 13.44% | 40.54% | 16.76% | N/A |
DYNF BlackRock U.S. Equity Factor Rotation ETF | 32.79% | 3.85% | 18.04% | 45.56% | 16.36% | N/A |
RFG Invesco S&P MidCap 400® Pure Growth ETF | 26.78% | 4.28% | 4.84% | 37.19% | 12.70% | 8.44% |
XSMO | 30.03% | 10.15% | 21.12% | 52.64% | 15.31% | N/A |
XSLV | 17.18% | 6.97% | 15.70% | 32.15% | 2.75% | N/A |
XMHQ Invesco S&P MidCap Quality ETF | 25.99% | 2.82% | 3.47% | 40.45% | 17.88% | 12.61% |
XMLV Invesco S&P MidCap Low Volatility ETF | 23.74% | 5.74% | 15.67% | 34.46% | 6.29% | 9.50% |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 8.56% | -2.63% | 4.98% | 16.51% | 2.58% | 4.48% |
IVE iShares S&P 500 Value ETF | 18.26% | 2.09% | 10.83% | 30.93% | 12.45% | 10.62% |
SPLV Invesco S&P 500® Low Volatility ETF | 19.23% | 2.35% | 13.42% | 25.60% | 7.39% | 9.50% |
XSHQ Invesco S&P SmallCap Quality ETF | 19.72% | 8.66% | 17.25% | 37.94% | 12.56% | N/A |
IJK iShares S&P MidCap 400 Growth ETF | 23.71% | 4.60% | 8.52% | 38.81% | 12.27% | 10.54% |
QUAL iShares Edge MSCI USA Quality Factor ETF | 26.15% | 1.55% | 13.22% | 35.42% | 15.45% | 13.40% |
IWS iShares Russell Midcap Value ETF | 19.54% | 3.95% | 11.72% | 36.44% | 10.51% | 8.75% |
XMMO Invesco S&P MidCap Momentum ETF | 47.26% | 7.25% | 14.38% | 65.19% | 18.45% | 16.23% |
Monthly Returns
The table below presents the monthly returns of Factor funds, 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 | 0.43% | 5.82% | 4.20% | -4.48% | 4.56% | -0.33% | 4.89% | 0.99% | 1.28% | -1.89% | 23.11% | ||
| 2023 | 6.23% | -1.97% | -0.35% | 0.43% | -2.15% | 7.19% | 3.96% | -2.09% | -4.11% | -3.23% | 8.06% | 6.59% | 18.92% |
| 2022 | -6.44% | -1.15% | 1.77% | -7.38% | 1.07% | -8.62% | 8.80% | -4.07% | -8.84% | 9.69% | 6.28% | -5.04% | -15.21% |
| 2021 | 1.27% | 3.65% | 3.40% | 3.12% | 1.03% | 0.76% | 0.82% | 2.18% | -3.66% | 5.62% | -2.37% | 4.13% | 21.43% |
| 2020 | -1.05% | -8.73% | -15.71% | 10.98% | 5.27% | 2.08% | 4.79% | 4.70% | -2.74% | -0.86% | 12.22% | 5.42% | 13.63% |
| 2019 | -0.16% | 1.97% | 2.46% | 2.58% | 7.01% |
Expense Ratio
Factor funds has an expense ratio of 0.25%, 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 rank of Factor funds is 60, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative 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.
Dividends
Dividend yield
Factor funds provided a 1.60% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.60% | 1.70% | 1.91% | 1.55% | 1.32% | 1.64% | 1.64% | 1.33% | 1.52% | 1.35% | 1.15% | 1.00% |
| Portfolio components: | ||||||||||||
IMTM iShares MSCI Intl Momentum Factor ETF | 2.23% | 2.29% | 2.68% | 5.41% | 0.97% | 2.13% | 2.36% | 1.91% | 2.75% | 1.56% | 0.00% | 0.00% |
IWF iShares Russell 1000 Growth ETF | 0.51% | 0.67% | 0.91% | 0.50% | 0.66% | 0.99% | 1.27% | 1.10% | 1.43% | 1.37% | 1.33% | 1.29% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.54% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
IVLU iShares MSCI Intl Value Factor ETF | 4.47% | 4.69% | 3.59% | 3.25% | 2.05% | 3.53% | 2.82% | 2.87% | 2.53% | 0.93% | 0.00% | 0.00% |
RZG Invesco S&P SmallCap 600® Pure Growth ETF | 0.93% | 1.43% | 1.59% | 0.22% | 0.48% | 0.70% | 0.46% | 0.44% | 0.65% | 0.70% | 0.36% | 0.34% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
IQLT iShares MSCI Intl Quality Factor ETF | 2.56% | 2.27% | 3.14% | 2.24% | 1.60% | 2.28% | 2.72% | 2.36% | 2.91% | 2.78% | 0.00% | 0.00% |
AVUV Avantis U.S. Small Cap Value ETF | 1.49% | 1.65% | 1.74% | 1.28% | 1.21% | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DYNF BlackRock U.S. Equity Factor Rotation ETF | 0.57% | 1.11% | 1.65% | 5.24% | 1.52% | 1.22% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
RFG Invesco S&P MidCap 400® Pure Growth ETF | 0.53% | 0.99% | 0.78% | 0.26% | 0.27% | 0.64% | 0.76% | 0.66% | 0.35% | 0.61% | 0.60% | 0.65% |
XSMO | 0.46% | 0.96% | 1.19% | 0.30% | 0.82% | 0.69% | 0.65% | 0.28% | 0.30% | 0.35% | 1.31% | 0.91% |
XSLV | 1.88% | 2.35% | 2.79% | 1.05% | 2.48% | 2.43% | 2.75% | 1.87% | 1.96% | 2.20% | 2.38% | 1.58% |
XMHQ Invesco S&P MidCap Quality ETF | 4.78% | 0.73% | 1.72% | 1.00% | 1.12% | 1.22% | 1.59% | 1.06% | 1.64% | 1.34% | 1.25% | 1.11% |
XMLV Invesco S&P MidCap Low Volatility ETF | 1.85% | 2.34% | 2.05% | 1.14% | 1.93% | 2.02% | 2.12% | 1.74% | 1.72% | 1.85% | 2.00% | 1.62% |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 3.04% | 3.07% | 2.53% | 2.47% | 1.33% | 4.19% | 3.34% | 2.45% | 3.94% | 2.49% | 3.57% | 2.53% |
IVE iShares S&P 500 Value ETF | 1.79% | 1.65% | 2.10% | 1.81% | 2.37% | 2.11% | 2.74% | 2.12% | 2.26% | 2.45% | 2.14% | 2.04% |
SPLV Invesco S&P 500® Low Volatility ETF | 1.88% | 2.45% | 2.11% | 1.50% | 2.13% | 2.08% | 2.17% | 2.03% | 2.03% | 2.28% | 2.20% | 2.60% |
XSHQ Invesco S&P SmallCap Quality ETF | 1.01% | 1.15% | 2.02% | 1.25% | 1.24% | 1.11% | 1.16% | 0.79% | 0.00% | 0.00% | 0.00% | 0.00% |
IJK iShares S&P MidCap 400 Growth ETF | 0.80% | 1.13% | 1.08% | 0.50% | 0.70% | 1.09% | 1.13% | 0.93% | 1.15% | 1.12% | 0.91% | 0.88% |
QUAL iShares Edge MSCI USA Quality Factor ETF | 0.98% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% | 1.35% | 0.63% |
IWS iShares Russell Midcap Value ETF | 1.42% | 1.76% | 1.93% | 1.39% | 1.87% | 1.96% | 2.53% | 1.96% | 2.10% | 2.14% | 1.85% | 1.71% |
XMMO Invesco S&P MidCap Momentum ETF | 0.30% | 0.80% | 1.43% | 0.41% | 0.61% | 0.60% | 0.19% | 0.21% | 0.22% | 0.64% | 1.24% | 1.31% |
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 Factor funds. 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 Factor funds was 36.63%, occurring on Mar 23, 2020. Recovery took 159 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -36.63% | Feb 14, 2020 | 26 | Mar 23, 2020 | 159 | Nov 5, 2020 | 185 |
| -24.61% | Nov 17, 2021 | 219 | Sep 30, 2022 | 327 | Jan 22, 2024 | 546 |
| -7.48% | Jul 17, 2024 | 14 | Aug 5, 2024 | 14 | Aug 23, 2024 | 28 |
| -5.69% | Feb 16, 2021 | 13 | Mar 4, 2021 | 6 | Mar 12, 2021 | 19 |
| -5.58% | Apr 1, 2024 | 15 | Apr 19, 2024 | 18 | May 15, 2024 | 33 |
Volatility
Volatility Chart
The current Factor funds volatility is 4.14%, 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
| SPLV | EFAV | MTUM | IVLU | IWF | IMTM | XSLV | IQLT | XMLV | AVUV | XSHQ | XSMO | XMMO | RZG | QUAL | IVE | RFG | DYNF | SPY | XMHQ | IWS | IJK | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SPLV | 1.00 | 0.65 | 0.58 | 0.55 | 0.56 | 0.57 | 0.67 | 0.60 | 0.82 | 0.52 | 0.56 | 0.55 | 0.62 | 0.54 | 0.68 | 0.77 | 0.58 | 0.65 | 0.70 | 0.60 | 0.71 | 0.64 |
| EFAV | 0.65 | 1.00 | 0.60 | 0.84 | 0.64 | 0.87 | 0.60 | 0.91 | 0.66 | 0.59 | 0.59 | 0.60 | 0.63 | 0.63 | 0.71 | 0.71 | 0.66 | 0.70 | 0.72 | 0.65 | 0.70 | 0.69 |
| MTUM | 0.58 | 0.60 | 1.00 | 0.58 | 0.86 | 0.76 | 0.53 | 0.69 | 0.59 | 0.58 | 0.61 | 0.72 | 0.81 | 0.69 | 0.83 | 0.66 | 0.78 | 0.85 | 0.84 | 0.72 | 0.68 | 0.77 |
| IVLU | 0.55 | 0.84 | 0.58 | 1.00 | 0.59 | 0.83 | 0.66 | 0.87 | 0.66 | 0.74 | 0.70 | 0.67 | 0.65 | 0.69 | 0.68 | 0.77 | 0.68 | 0.70 | 0.72 | 0.72 | 0.77 | 0.72 |
| IWF | 0.56 | 0.64 | 0.86 | 0.59 | 1.00 | 0.73 | 0.54 | 0.74 | 0.58 | 0.56 | 0.61 | 0.68 | 0.74 | 0.70 | 0.93 | 0.68 | 0.77 | 0.92 | 0.94 | 0.72 | 0.68 | 0.78 |
| IMTM | 0.57 | 0.87 | 0.76 | 0.83 | 0.73 | 1.00 | 0.57 | 0.92 | 0.62 | 0.62 | 0.63 | 0.69 | 0.73 | 0.69 | 0.75 | 0.69 | 0.73 | 0.76 | 0.77 | 0.71 | 0.71 | 0.74 |
| XSLV | 0.67 | 0.60 | 0.53 | 0.66 | 0.54 | 0.57 | 1.00 | 0.63 | 0.91 | 0.88 | 0.89 | 0.82 | 0.75 | 0.83 | 0.68 | 0.83 | 0.75 | 0.69 | 0.71 | 0.82 | 0.88 | 0.81 |
| IQLT | 0.60 | 0.91 | 0.69 | 0.87 | 0.74 | 0.92 | 0.63 | 1.00 | 0.67 | 0.68 | 0.68 | 0.69 | 0.72 | 0.72 | 0.80 | 0.76 | 0.75 | 0.80 | 0.81 | 0.75 | 0.77 | 0.78 |
| XMLV | 0.82 | 0.66 | 0.59 | 0.66 | 0.58 | 0.62 | 0.91 | 0.67 | 1.00 | 0.81 | 0.82 | 0.79 | 0.79 | 0.78 | 0.73 | 0.86 | 0.77 | 0.73 | 0.75 | 0.83 | 0.90 | 0.84 |
| AVUV | 0.52 | 0.59 | 0.58 | 0.74 | 0.56 | 0.62 | 0.88 | 0.68 | 0.81 | 1.00 | 0.93 | 0.88 | 0.79 | 0.88 | 0.70 | 0.85 | 0.82 | 0.73 | 0.73 | 0.88 | 0.92 | 0.86 |
| XSHQ | 0.56 | 0.59 | 0.61 | 0.70 | 0.61 | 0.63 | 0.89 | 0.68 | 0.82 | 0.93 | 1.00 | 0.90 | 0.81 | 0.91 | 0.73 | 0.82 | 0.84 | 0.75 | 0.75 | 0.90 | 0.89 | 0.88 |
| XSMO | 0.55 | 0.60 | 0.72 | 0.67 | 0.68 | 0.69 | 0.82 | 0.69 | 0.79 | 0.88 | 0.90 | 1.00 | 0.90 | 0.93 | 0.75 | 0.77 | 0.88 | 0.78 | 0.77 | 0.87 | 0.86 | 0.90 |
| XMMO | 0.62 | 0.63 | 0.81 | 0.65 | 0.74 | 0.73 | 0.75 | 0.72 | 0.79 | 0.79 | 0.81 | 0.90 | 1.00 | 0.85 | 0.79 | 0.76 | 0.93 | 0.82 | 0.81 | 0.89 | 0.84 | 0.93 |
| RZG | 0.54 | 0.63 | 0.69 | 0.69 | 0.70 | 0.69 | 0.83 | 0.72 | 0.78 | 0.88 | 0.91 | 0.93 | 0.85 | 1.00 | 0.78 | 0.78 | 0.91 | 0.80 | 0.79 | 0.89 | 0.87 | 0.92 |
| QUAL | 0.68 | 0.71 | 0.83 | 0.68 | 0.93 | 0.75 | 0.68 | 0.80 | 0.73 | 0.70 | 0.73 | 0.75 | 0.79 | 0.78 | 1.00 | 0.84 | 0.83 | 0.96 | 0.98 | 0.83 | 0.83 | 0.86 |
| IVE | 0.77 | 0.71 | 0.66 | 0.77 | 0.68 | 0.69 | 0.83 | 0.76 | 0.86 | 0.85 | 0.82 | 0.77 | 0.76 | 0.78 | 0.84 | 1.00 | 0.77 | 0.85 | 0.87 | 0.85 | 0.95 | 0.84 |
| RFG | 0.58 | 0.66 | 0.78 | 0.68 | 0.77 | 0.73 | 0.75 | 0.75 | 0.77 | 0.82 | 0.84 | 0.88 | 0.93 | 0.91 | 0.83 | 0.77 | 1.00 | 0.84 | 0.83 | 0.92 | 0.86 | 0.97 |
| DYNF | 0.65 | 0.70 | 0.85 | 0.70 | 0.92 | 0.76 | 0.69 | 0.80 | 0.73 | 0.73 | 0.75 | 0.78 | 0.82 | 0.80 | 0.96 | 0.85 | 0.84 | 1.00 | 0.97 | 0.84 | 0.85 | 0.88 |
| SPY | 0.70 | 0.72 | 0.84 | 0.72 | 0.94 | 0.77 | 0.71 | 0.81 | 0.75 | 0.73 | 0.75 | 0.77 | 0.81 | 0.79 | 0.98 | 0.87 | 0.83 | 0.97 | 1.00 | 0.83 | 0.85 | 0.87 |
| XMHQ | 0.60 | 0.65 | 0.72 | 0.72 | 0.72 | 0.71 | 0.82 | 0.75 | 0.83 | 0.88 | 0.90 | 0.87 | 0.89 | 0.89 | 0.83 | 0.85 | 0.92 | 0.84 | 0.83 | 1.00 | 0.92 | 0.95 |
| IWS | 0.71 | 0.70 | 0.68 | 0.77 | 0.68 | 0.71 | 0.88 | 0.77 | 0.90 | 0.92 | 0.89 | 0.86 | 0.84 | 0.87 | 0.83 | 0.95 | 0.86 | 0.85 | 0.85 | 0.92 | 1.00 | 0.92 |
| IJK | 0.64 | 0.69 | 0.77 | 0.72 | 0.78 | 0.74 | 0.81 | 0.78 | 0.84 | 0.86 | 0.88 | 0.90 | 0.93 | 0.92 | 0.86 | 0.84 | 0.97 | 0.88 | 0.87 | 0.95 | 0.92 | 1.00 |