This strategy invests in the factors that have the strongest short-term momentum. The selection universe consists of 15 factor ETFs, which cover size, value, growth, momentum, quality and low volatility. Each factor is ranked using multiple momentum metrics and the top 5 ETFS are added to the portfolio on each rebalancing date.
Since 2006, this portfolio has returned 11.6% per year, outperforming its benchmark by 2.7%
Year | Portfolio | S&P 500 |
2007 | 8.1% | 5.1% |
2008 | -43.4% | -36.8% |
2009 | 53.7% | 26.4% |
2010 | 24.4% | 15.1% |
2011 | 0.9% | 1.9% |
Year | Portfolio | S&P 500 |
2012 | 16.1% | 16.0% |
2013 | 35.8% | 32.3% |
2014 | 9.4% | 13.5% |
2015 | 1.7% | 1.2% |
2016 | 19.6% | 12.0% |
Year | Portfolio | S&P 500 |
2017 | 18.3% | 21.7% |
2018 | -3.0% | -4.6% |
2019 | 26.0% | 31.2% |
2020 | 27.5% | 18.3% |
2021 | 37.1% | 28.7% |
2022 YTD | -8.6% | -14.3% |