Factor funds
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification
Factor funds
Last updated Apr 20, 2025
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 every 3 months.
Factor funds
Benchmark (^GSPC)
Portfolio components
The earliest data available for this chart is Sep 26, 2019, corresponding to the inception date of AVUV
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -10.18% | -6.71% | -9.92% | 6.35% | 13.40% | 9.65% |
| Factor funds | -7.14% | -5.12% | -9.34% | 4.01% | 13.45% | N/A |
| Portfolio components: | ||||||
IMTM iShares MSCI Intl Momentum Factor ETF | 7.81% | -1.15% | 1.33% | 11.44% | 11.15% | 6.74% |
IWF iShares Russell 1000 Growth ETF | -14.84% | -7.22% | -10.58% | 8.57% | 16.17% | 14.09% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | -5.35% | -4.19% | -6.11% | 13.59% | 12.03% | 11.99% |
IVLU iShares MSCI Intl Value Factor ETF | 9.77% | -4.71% | 4.60% | 13.43% | 14.98% | N/A |
RZG Invesco S&P SmallCap 600® Pure Growth ETF | -10.53% | -5.91% | -13.61% | -2.11% | 11.87% | 4.89% |
SPY SPDR S&P 500 ETF | -9.91% | -6.63% | -9.38% | 7.66% | 15.04% | 11.54% |
IQLT iShares MSCI Intl Quality Factor ETF | 7.11% | -2.60% | -0.76% | 8.59% | 10.90% | 6.54% |
AVUV Avantis U.S. Small Cap Value ETF | -16.34% | -8.72% | -17.40% | -7.08% | 21.68% | N/A |
DYNF BlackRock U.S. Equity Factor Rotation ETF | -10.07% | -6.46% | -9.50% | 10.38% | 16.17% | N/A |
RFG Invesco S&P MidCap 400® Pure Growth ETF | -12.90% | -5.93% | -15.19% | -9.59% | 12.00% | 5.30% |
XSMO | -10.46% | -4.96% | -12.00% | 5.51% | 15.16% | N/A |
XSLV | -7.26% | -4.68% | -8.51% | 5.93% | 8.37% | N/A |
XMHQ Invesco S&P MidCap Quality ETF | -10.08% | -4.47% | -15.62% | -9.27% | 17.08% | 9.88% |
XMLV Invesco S&P MidCap Low Volatility ETF | -1.58% | -2.71% | -3.27% | 12.47% | 10.05% | 8.05% |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 13.22% | 1.91% | 6.53% | 21.13% | 7.40% | 4.58% |
IVE iShares S&P 500 Value ETF | -6.71% | -6.69% | -10.81% | 1.42% | 13.64% | 8.96% |
SPLV Invesco S&P 500® Low Volatility ETF | 3.47% | -1.65% | -0.54% | 15.26% | 9.89% | 8.99% |
XSHQ | -14.29% | -7.11% | -17.63% | -5.99% | 11.83% | N/A |
IJK iShares S&P MidCap 400 Growth ETF | -12.58% | -6.20% | -15.16% | -5.73% | 11.68% | 7.39% |
QUAL iShares Edge MSCI USA Quality Factor ETF | -9.14% | -6.11% | -11.04% | 5.53% | 14.53% | 11.39% |
IWS iShares Russell Midcap Value ETF | -8.26% | -6.60% | -11.24% | 2.07% | 13.49% | 6.68% |
XMMO Invesco S&P MidCap Momentum ETF | -11.00% | -4.93% | -11.85% | 3.39% | 17.03% | 13.61% |
*Annualized
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.31% | -2.09% | -4.00% | -4.38% | -7.14% | ||||||||
| 2024 | 0.54% | 6.09% | 4.27% | -4.64% | 4.66% | -0.19% | 4.52% | 0.86% | 1.37% | -1.78% | 7.19% | -5.81% | 17.40% |
| 2023 | 6.33% | -1.96% | -0.38% | 0.45% | -1.98% | 7.38% | 4.00% | -1.99% | -4.15% | -3.31% | 8.23% | 6.65% | 19.75% |
| 2022 | -6.66% | -1.13% | 1.77% | -7.54% | 1.02% | -8.81% | 8.99% | -4.02% | -8.87% | 9.86% | 6.12% | -5.25% | -15.76% |
| 2021 | 1.38% | 3.51% | 3.21% | 3.16% | 0.91% | 0.89% | 0.76% | 2.23% | -3.68% | 5.81% | -2.35% | 3.90% | 21.15% |
| 2020 | -1.07% | -8.73% | -15.75% | 10.87% | 5.35% | 2.10% | 4.94% | 4.83% | -2.68% | -0.99% | 12.07% | 5.36% | 13.53% |
| 2019 | -0.16% | 1.97% | 2.46% | 2.58% | 7.00% |
Expense Ratio
Factor funds has an expense ratio of 0.25%, 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.
RZG: 0.35%
RFG: 0.35%
XMMO: 0.33%
IMTM: 0.30%
IVLU: 0.30%
IQLT: 0.30%
DYNF: 0.30%
AVUV: 0.25%
XMHQ: 0.25%
XMLV: 0.25%
SPLV: 0.25%
IJK: 0.24%
IWS: 0.24%
EFAV: 0.20%
IWF: 0.19%
IVE: 0.18%
MTUM: 0.15%
SPY: 0.09%
QUAL: 0.15%
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Factor funds is 26, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
Overall Rank
Sharpe Ratio Rank
Sortino Ratio Rank
Omega Ratio Rank
Calmar Ratio Rank
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: 0.16
^GSPC: 0.24
Portfolio: 0.36
^GSPC: 0.47
Portfolio: 1.05
^GSPC: 1.07
Portfolio: 0.16
^GSPC: 0.24
Portfolio: 0.63
^GSPC: 1.08
Portfolio components
Factor funds
Benchmark (^GSPC)
Portfolio components
Dividends
Dividend yield
Factor funds provided a 1.84% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.84% | 1.77% | 1.70% | 1.91% | 1.55% | 1.32% | 1.64% | 1.64% | 1.33% | 1.52% | 1.35% | 1.15% |
| Portfolio components: | ||||||||||||
IMTM iShares MSCI Intl Momentum Factor ETF | 2.72% | 2.93% | 2.29% | 2.68% | 5.41% | 0.97% | 2.13% | 2.36% | 1.91% | 2.75% | 1.56% | 0.00% |
IWF iShares Russell 1000 Growth ETF | 0.52% | 0.46% | 0.67% | 0.91% | 0.50% | 0.66% | 0.99% | 1.27% | 1.10% | 1.43% | 1.37% | 1.33% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.98% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% |
IVLU iShares MSCI Intl Value Factor ETF | 4.06% | 4.46% | 4.69% | 3.59% | 3.25% | 2.05% | 3.53% | 2.82% | 2.87% | 2.53% | 0.93% | 0.00% |
RZG Invesco S&P SmallCap 600® Pure Growth ETF | 0.85% | 0.95% | 1.43% | 1.59% | 0.22% | 0.48% | 0.70% | 0.46% | 0.44% | 0.65% | 0.70% | 0.36% |
SPY SPDR S&P 500 ETF | 1.36% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
IQLT iShares MSCI Intl Quality Factor ETF | 2.68% | 2.87% | 2.27% | 3.14% | 2.24% | 1.60% | 2.28% | 2.72% | 2.36% | 2.91% | 2.78% | 0.00% |
AVUV Avantis U.S. Small Cap Value ETF | 1.98% | 1.61% | 1.65% | 1.74% | 1.28% | 1.21% | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DYNF BlackRock U.S. Equity Factor Rotation ETF | 1.01% | 0.66% | 1.11% | 1.65% | 5.24% | 1.52% | 1.22% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
RFG Invesco S&P MidCap 400® Pure Growth ETF | 0.35% | 0.38% | 0.99% | 0.78% | 0.26% | 0.27% | 0.64% | 0.76% | 0.66% | 0.35% | 0.61% | 0.60% |
XSMO | 0.93% | 0.63% | 0.96% | 1.19% | 0.30% | 0.82% | 0.69% | 0.65% | 0.28% | 0.30% | 0.35% | 1.31% |
XSLV | 2.18% | 2.55% | 2.35% | 2.78% | 1.05% | 2.49% | 2.43% | 2.75% | 1.87% | 1.96% | 2.20% | 2.39% |
XMHQ Invesco S&P MidCap Quality ETF | 5.78% | 5.20% | 0.73% | 1.72% | 1.00% | 1.12% | 1.22% | 1.59% | 1.06% | 1.64% | 1.34% | 1.25% |
XMLV Invesco S&P MidCap Low Volatility ETF | 2.60% | 2.23% | 2.34% | 2.05% | 1.14% | 1.93% | 2.02% | 2.12% | 1.74% | 1.72% | 1.85% | 2.00% |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 2.86% | 3.24% | 3.07% | 2.53% | 2.47% | 1.33% | 4.19% | 3.34% | 2.45% | 3.94% | 2.49% | 3.57% |
IVE iShares S&P 500 Value ETF | 2.14% | 2.04% | 1.65% | 2.10% | 1.81% | 2.37% | 2.11% | 2.74% | 2.12% | 2.26% | 2.45% | 2.14% |
SPLV Invesco S&P 500® Low Volatility ETF | 1.75% | 1.88% | 2.45% | 2.11% | 1.51% | 2.12% | 2.08% | 2.18% | 2.03% | 2.03% | 2.28% | 2.20% |
XSHQ | 1.47% | 1.18% | 1.15% | 2.02% | 1.25% | 1.24% | 1.11% | 1.16% | 0.78% | 0.00% | 0.00% | 0.00% |
IJK iShares S&P MidCap 400 Growth ETF | 0.87% | 0.79% | 1.13% | 1.08% | 0.50% | 0.70% | 1.09% | 1.13% | 0.93% | 1.15% | 1.12% | 0.91% |
QUAL iShares Edge MSCI USA Quality Factor ETF | 1.13% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% | 1.35% |
IWS iShares Russell Midcap Value ETF | 1.69% | 1.50% | 1.76% | 1.93% | 1.39% | 1.87% | 1.96% | 2.53% | 1.96% | 2.10% | 2.14% | 1.85% |
XMMO Invesco S&P MidCap Momentum ETF | 0.56% | 0.34% | 0.80% | 1.43% | 0.41% | 0.61% | 0.60% | 0.19% | 0.21% | 0.22% | 0.64% | 1.24% |
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.
Factor funds
Benchmark (^GSPC)
Portfolio components
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 141 trading sessions.
The current Factor funds drawdown is 11.63%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -36.63% | Feb 14, 2020 | 26 | Mar 23, 2020 | 141 | Oct 12, 2020 | 167 |
| -25.15% | Nov 17, 2021 | 219 | Sep 30, 2022 | 330 | Jan 25, 2024 | 549 |
| -18.72% | Dec 5, 2024 | 84 | Apr 8, 2025 | — | — | — |
| -7.94% | Jul 17, 2024 | 14 | Aug 5, 2024 | 32 | Sep 19, 2024 | 46 |
| -6.68% | Oct 13, 2020 | 14 | Oct 30, 2020 | 4 | Nov 5, 2020 | 18 |
Volatility
Volatility Chart
The current Factor funds volatility is 12.36%, 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.
Factor funds
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.
| SPLV | EFAV | IVLU | MTUM | IWF | IMTM | XSLV | IQLT | XMLV | AVUV | XSHQ | XSMO | XMMO | RZG | IVE | QUAL | DYNF | RFG | SPY | XMHQ | IWS | IJK | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SPLV | 1.00 | 0.64 | 0.54 | 0.56 | 0.54 | 0.56 | 0.68 | 0.59 | 0.82 | 0.53 | 0.56 | 0.56 | 0.61 | 0.54 | 0.77 | 0.67 | 0.63 | 0.57 | 0.68 | 0.60 | 0.71 | 0.63 |
| EFAV | 0.64 | 1.00 | 0.83 | 0.58 | 0.61 | 0.85 | 0.59 | 0.90 | 0.64 | 0.57 | 0.58 | 0.58 | 0.61 | 0.61 | 0.69 | 0.69 | 0.67 | 0.63 | 0.70 | 0.63 | 0.68 | 0.66 |
| IVLU | 0.54 | 0.83 | 1.00 | 0.57 | 0.57 | 0.83 | 0.65 | 0.87 | 0.65 | 0.73 | 0.69 | 0.66 | 0.64 | 0.67 | 0.76 | 0.67 | 0.69 | 0.67 | 0.70 | 0.71 | 0.76 | 0.70 |
| MTUM | 0.56 | 0.58 | 0.57 | 1.00 | 0.86 | 0.75 | 0.53 | 0.68 | 0.59 | 0.59 | 0.62 | 0.73 | 0.81 | 0.70 | 0.66 | 0.83 | 0.86 | 0.79 | 0.85 | 0.73 | 0.68 | 0.78 |
| IWF | 0.54 | 0.61 | 0.57 | 0.86 | 1.00 | 0.72 | 0.53 | 0.72 | 0.57 | 0.56 | 0.62 | 0.68 | 0.74 | 0.71 | 0.68 | 0.92 | 0.92 | 0.77 | 0.94 | 0.72 | 0.68 | 0.78 |
| IMTM | 0.56 | 0.85 | 0.83 | 0.75 | 0.72 | 1.00 | 0.57 | 0.92 | 0.62 | 0.63 | 0.63 | 0.69 | 0.73 | 0.69 | 0.68 | 0.75 | 0.75 | 0.73 | 0.77 | 0.71 | 0.70 | 0.74 |
| XSLV | 0.68 | 0.59 | 0.65 | 0.53 | 0.53 | 0.57 | 1.00 | 0.63 | 0.91 | 0.88 | 0.89 | 0.82 | 0.74 | 0.82 | 0.83 | 0.68 | 0.68 | 0.74 | 0.70 | 0.82 | 0.88 | 0.81 |
| IQLT | 0.59 | 0.90 | 0.87 | 0.68 | 0.72 | 0.92 | 0.63 | 1.00 | 0.67 | 0.68 | 0.67 | 0.68 | 0.71 | 0.71 | 0.75 | 0.79 | 0.78 | 0.74 | 0.80 | 0.74 | 0.76 | 0.77 |
| XMLV | 0.82 | 0.64 | 0.65 | 0.59 | 0.57 | 0.62 | 0.91 | 0.67 | 1.00 | 0.81 | 0.82 | 0.79 | 0.79 | 0.78 | 0.86 | 0.73 | 0.71 | 0.77 | 0.74 | 0.83 | 0.90 | 0.84 |
| AVUV | 0.53 | 0.57 | 0.73 | 0.59 | 0.56 | 0.63 | 0.88 | 0.68 | 0.81 | 1.00 | 0.93 | 0.88 | 0.79 | 0.88 | 0.85 | 0.71 | 0.73 | 0.82 | 0.73 | 0.88 | 0.92 | 0.86 |
| XSHQ | 0.56 | 0.58 | 0.69 | 0.62 | 0.62 | 0.63 | 0.89 | 0.67 | 0.82 | 0.93 | 1.00 | 0.90 | 0.81 | 0.91 | 0.82 | 0.74 | 0.75 | 0.84 | 0.75 | 0.90 | 0.89 | 0.88 |
| XSMO | 0.56 | 0.58 | 0.66 | 0.73 | 0.68 | 0.69 | 0.82 | 0.68 | 0.79 | 0.88 | 0.90 | 1.00 | 0.90 | 0.93 | 0.77 | 0.75 | 0.78 | 0.89 | 0.77 | 0.87 | 0.86 | 0.90 |
| XMMO | 0.61 | 0.61 | 0.64 | 0.81 | 0.74 | 0.73 | 0.74 | 0.71 | 0.79 | 0.79 | 0.81 | 0.90 | 1.00 | 0.86 | 0.76 | 0.80 | 0.82 | 0.93 | 0.81 | 0.90 | 0.84 | 0.94 |
| RZG | 0.54 | 0.61 | 0.67 | 0.70 | 0.71 | 0.69 | 0.82 | 0.71 | 0.78 | 0.88 | 0.91 | 0.93 | 0.86 | 1.00 | 0.78 | 0.78 | 0.80 | 0.91 | 0.80 | 0.89 | 0.87 | 0.92 |
| IVE | 0.77 | 0.69 | 0.76 | 0.66 | 0.68 | 0.68 | 0.83 | 0.75 | 0.86 | 0.85 | 0.82 | 0.77 | 0.76 | 0.78 | 1.00 | 0.84 | 0.84 | 0.77 | 0.86 | 0.85 | 0.94 | 0.84 |
| QUAL | 0.67 | 0.69 | 0.67 | 0.83 | 0.92 | 0.75 | 0.68 | 0.79 | 0.73 | 0.71 | 0.74 | 0.75 | 0.80 | 0.78 | 0.84 | 1.00 | 0.96 | 0.83 | 0.98 | 0.83 | 0.83 | 0.86 |
| DYNF | 0.63 | 0.67 | 0.69 | 0.86 | 0.92 | 0.75 | 0.68 | 0.78 | 0.71 | 0.73 | 0.75 | 0.78 | 0.82 | 0.80 | 0.84 | 0.96 | 1.00 | 0.84 | 0.97 | 0.84 | 0.84 | 0.87 |
| RFG | 0.57 | 0.63 | 0.67 | 0.79 | 0.77 | 0.73 | 0.74 | 0.74 | 0.77 | 0.82 | 0.84 | 0.89 | 0.93 | 0.91 | 0.77 | 0.83 | 0.84 | 1.00 | 0.84 | 0.92 | 0.87 | 0.97 |
| SPY | 0.68 | 0.70 | 0.70 | 0.85 | 0.94 | 0.77 | 0.70 | 0.80 | 0.74 | 0.73 | 0.75 | 0.77 | 0.81 | 0.80 | 0.86 | 0.98 | 0.97 | 0.84 | 1.00 | 0.84 | 0.85 | 0.87 |
| XMHQ | 0.60 | 0.63 | 0.71 | 0.73 | 0.72 | 0.71 | 0.82 | 0.74 | 0.83 | 0.88 | 0.90 | 0.87 | 0.90 | 0.89 | 0.85 | 0.83 | 0.84 | 0.92 | 0.84 | 1.00 | 0.92 | 0.95 |
| IWS | 0.71 | 0.68 | 0.76 | 0.68 | 0.68 | 0.70 | 0.88 | 0.76 | 0.90 | 0.92 | 0.89 | 0.86 | 0.84 | 0.87 | 0.94 | 0.83 | 0.84 | 0.87 | 0.85 | 0.92 | 1.00 | 0.92 |
| IJK | 0.63 | 0.66 | 0.70 | 0.78 | 0.78 | 0.74 | 0.81 | 0.77 | 0.84 | 0.86 | 0.88 | 0.90 | 0.94 | 0.92 | 0.84 | 0.86 | 0.87 | 0.97 | 0.87 | 0.95 | 0.92 | 1.00 |
The correlation results are calculated based on daily price changes starting from Sep 27, 2019