This strategy invests in the factors that are the cheapest relative to their historical valuations. The selection universe consists of 15 factor ETFs, which cover size, value, growth, momentum, quality and low volatility. Each factor is ranked using a composite of value metrics and the top 5 ETFS are added to the portfolio on each rebalancing date. In addition, a trend following system is used to eliminate ETFs that are in a downtrend and to raise cash when the majority of the factors are in a downtrend simultaneously.
Since 2006, this portfolio has returned 10.9% per year, outperforming its benchmark by 1.0%
Year | Portfolio | S&P 500 |
2007 | 2.8% | 5.1% |
2008 | 7.1% | -36.8% |
2009 | 46.5% | 26.4% |
2010 | 27.3% | 15.1% |
2011 | -14.2% | 1.9% |
Year | Portfolio | S&P 500 |
2012 | 22.7% | 16.0% |
2013 | 38.9% | 32.3% |
2014 | 8.1% | 13.5% |
2015 | -11.1% | 1.2% |
2016 | 19.6% | 12.0% |
Year | Portfolio | S&P 500 |
2017 | 19.1% | 21.7% |
2018 | -3.2% | -4.6% |
2019 | 6.1% | 31.2% |
2020 | -5.2% | 18.3% |
2021 | 27.3% | 28.7% |
2022 YTD | -6.6% | -8.5% |