U.S. Factor AIM Portfolio

Model Portfolios

Overview

Stats:
Funds:6
Acquired Fees:0.24%
TTM Yield:1.32%
Benchmark:SPY
Links:
Methodology
Positioning Guide
Launch in Terminal

Inception Date: June 22, 2020

Investment Objective

The ETF Action U.S. Factor Active Index Model (AIM) Portfolio's primary objective is to outperform the broad U.S. Market as measured by the S&P 500 Index.  To accomplish this objective the investment committee utilizes an actively managed process that is governed and implemented using a transparent and repeatable framework.

Key Facts

  • Selection universe limited to broad U.S. factor ETFs covering value, momentum, growth, quality and low volatility as defined by the ETF Action classification system
  • Over/under weight positions driven by transparent, multi-faceted, and repeatable ratings process
  • Fully invested (no cash), does not use leverage or inverse funds

Philosophy

Returns across factor exposures can diverge widely based on a number of sub-factors including sector exposure, business cycle, macroeconomic environment, fundamentals, valuations, and sentiment. For example, companies with quality characteristics (ie: solid balance sheets, consistent earnings, low leverage) may outperform the broader market during an economic slowdown.  Similarly, companies that have strong positive sentiment and price momentum may outperform at other times.

Following a disciplined process outlined in the methodology guide, ETF Action has created a proprietary process to track and identify factors that we believe have an outsized chance to outperform over various time frames.

All ETF Action Model Portfolios are made available to subscribers for informational purposes only and do not represent actual investments. Full terms of service, including terms of use, copyrights, and disclaimers are available here.

Performance

Performance (as of )

INDEX PERFORMANCE CALCULATED BY indxx. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE PERFORMANCE. INVESTORS CANNOT INVEST DIRECTLY IN AN INDEX, THE PERFORMANCE OF AN INDEX DOES NOT REPRESENT ANY ACTUAL TRANSACTIONS AND ITS PERFORMANCE DOES NOT REFLECT THE DEDUCTION OF ANY FEES OR EXPENSES ASSOCIATED WITH ACTUAL INVESTING.

*Since Common Inception Date

Composition

Model Insights

U.S. Factor Playbook

5.12.2021

An overview of the U.S. Sector ETF landscape - Performance, Flows, Valuations, Earnings, & Technicals.

  • Dividend and value factor ETFs continue to lead in net inflows while momentum ETFs see nearly $181 million out
  • Invesco S&P 500 Equal Weight ETF (RSP) remains top dog for weekly inflows with $789 million
  • Value leads over past month (+3.49%) and now up over 13% over last three months (leader)
  • Alpha Architect U.S. Quantitative Momentum ETF (QMOM) worst performing factor ETF over past month (-14.53%)

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U.S. Factor AIM Positioning Guide

5.9.2021

U.S. Factor AIM Portfolio returned 1.05% last week, underperforming the S&P 500 (SPY) by 0.11%

  • Top Performers: QVAL +5.19%, VLUE +3.43%, ONEV +2.49%
  • Bottom Performers: QMOM -9.65%, MTUM -2.03%
  • Since Inception Performance: +42.05% outperforming the S&P 500 (SPY) by 3.69%

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U.S. Factor Playbook

5.4.2021

An overview of the U.S. Sector ETF landscape - Performance, Flows, Valuations, Earnings, & Technicals.

  • Factors with 3-month net inflows: Dividend (+$10.8 billion), Size (+$6.2 billion), Value (+$5.2 billion)
  • Factors with 3-month net outflow: Low Volatility (-$4.5 billion), Quality (-$783 million), Momentum (-$674 million)
  • Schwab US Dividend Equity ETF (SCHD) tops factor segment with weekly net inflows of $1.1 billion
  • Value still outperforming YTD, up 24.7%

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U.S. Factor Playbook

4.27.2021

An overview of the U.S. Sector ETF landscape - Performance, Flows, Valuations, Earnings, & Technicals.

  • Dividend factor ETFs bring in another $812 million in net inflows; over $10 billion over past three months
  • Invesco S&P 500 Equal Weight ETF (RSP) leads in net inflows again
  • Momentum/Growth factor leading over past month in performance, up 6.68%
  • Alpha Architect U.S. Quantitative Momentum ETF (QMOM +11.78%) leading all factor ETFs over past month

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U.S. Factor AIM Positioning Guide

4.25.2021

U.S. Factor AIM Portfolio returned -0.16% last week, underperforming the S&P 500 (SPY) by 0.04%

  • Top Performers: QMOM +1.09%, ONEV +0.72%
  • Bottom Performers: MTUM -0.58%, VLUE -0.57%
  • Since Inception Performance: +41.23% outperforming the S&P 500 (SPY) by 4.30%

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U.S. Factor Playbook

4.20.2021

An overview of the U.S. Sector ETF landscape - Performance, Flows, Valuations, Earnings, & Technicals.

  • Factor ETF assets under management approaching $400 billion in 2021
  • All factor segments see net inflows over the week but low volatility hasn't seen monthly net inflows in over a year
  • Momentum leading all factors in April (SPMO +6.38%)
  • Value factor (SPVU) still most attractive relative to historical valuation

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Lower Multiples, More Value: Rebalancing U.S. Factor AIM Portfolio

4.19.2021

Since the last rebalance in November, the U.S. Factor AIM Portfolio has returned 20.31%, outpacing the S&P 500 by nearly 300 basis points. The rebalance across all of the AIM portfolios in November was specific to positioning for a cyclical recovery which proved to be beneficial.  While we believe the cyclical recovery is still underway, this week's rebalance is focused specifically on three things:

  1. Lowering the portfolio valuation multiple
  2. Increasing value characteristics to stay aligned with ongoing cyclical recovery
  3. Increased financials exposure and size tilt

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U.S. Factor AIM Positioning Guide

4.18.2021

U.S. Factor AIM Portfolio returned +1.43% last week, outperforming the S&P 500 (SPY) by 0.03%

  • Top Performers: MTUM +2.70%, QVAL +2.35%, FDLO +1.90%
  • Bottom Performers: VLUE -0.11%
  • Since Inception Performance: +41.45% outperforming the S&P 500 (SPY) by 4.68%

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U.S. Factor Playbook

4.13.2021

An overview of the U.S. Sector ETF landscape - Performance, Flows, Valuations, Earnings, & Technicals.

  • Size factor ETFs haul $594 million in net inflows; trailing only dividend ETFs over last three months in flows
  • Invesco S&P 500 Equal Weight ETF (RSP) tops all factor ETFs in net inflows again with $423 million
  • Momentum (SPMO) surging back in April so far, up 5.64% month to date
  • Low volatility (SPLV) vavluation continues to trade at largest discount to SPY

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U.S. Factor AIM Positioning Guide

4.12.2021

U.S. Factor AIM Portfolio returned +2.22% last week, underperforming the S&P 500 (SPY) by 0.50%

  • Top Performers: MTUM +4.26%, FDLO +2.46%, QUAL +2.40%
  • Bottom Performers: QMOM +1.02%, QVAL +1.25%, VLUE +1.44%
  • Since Inception Performance: +39.45% outperforming the S&P 500 (SPY) by 4.57%

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