Factor Rotation - Value

This strategy invests in the factors that are the cheapest relative to their historical valuations (after screening out the factors with the lowest momentum). 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.

Since 2006, this portfolio has returned 7.8% per year, underperforming its benchmark by 0.4%

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Factor Rotation - Value
S&P 500

Annual Return: 7.8% S&P 500: 8.2%
Year To Date: -12.9% S&P 500: -2.4%
Beta: 0.97 Standard Deviation: 23.0%
Full Return History

Portfolio Holdings

Ticker Date Added Return
RFV 5/1/2020 20.02%

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