This strategy invests in the factors that score the highest using our composite system that combines valuation, momentum, and macro factors. The selection universe consists of 15 factor ETFs, which cover size, value, growth, momentum, quality and low volatility. Each factor is ranked using our composite score and the top 5 ETFS are added to the portfolio on each rebalancing date.
Since 2006, this portfolio has returned 9.3% per year, outperforming its benchmark by 0.9%
Year | Portfolio | S&P 500 |
2007 | 8.7% | 5.1% |
2008 | -44.0% | -36.8% |
2009 | 55.1% | 26.4% |
2010 | 32.1% | 15.1% |
2011 | -0.4% | 1.9% |
Year | Portfolio | S&P 500 |
2012 | 22.4% | 16.0% |
2013 | 36.3% | 32.3% |
2014 | 6.3% | 13.5% |
2015 | -3.5% | 1.2% |
2016 | 17.6% | 12.0% |
Year | Portfolio | S&P 500 |
2017 | 22.8% | 21.7% |
2018 | -4.9% | -4.6% |
2019 | 28.4% | 31.2% |
2020 YTD | -10.6% | 1.5% |