U.S. Factor AIM Portfolio

Model Portfolios

Overview

Stats:
Funds:6
Acquired Fees:0.26%
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

2.23.2021

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

  • Dividend factor leads U.S. factor ETFs (+3.33%) while SPY falls 1.43% over past week
  • Dividend factor leading for second consecutive month, up 10.71% but sitting in overbought technical levels
  • Low Volatility moves further into most attractive valuation relative to S&P 500

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U.S. Factor AIM Positioning Guide

2.22.2021

U.S. Factor AIM Portfolio returned -1.35% last week, underperforming the S&P 500 (SPY) by 0.69%

  • Top Performers: VLUE +0.77%, QUAL -0.66%, FDLO -0.85%
  • Bottom Performers: QMOM -5.22%, MTUM -1.93%, QVAL -1.33%
  • Since Inception Performance: +36.13% outperforming the S&P 500 (SPY) by 8.70%

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U.S. Factor Playbook

2.17.2021

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

  • Weekly flows favor Momentum (+$375 million), Size (+$131 million), and Value (+$128 million) factors (page 3)
  • Quality factor (SPHQ +1.21%) lead during the week but momentum factor (+6.27%) trending higher over last month
  • Value maintains cheapest valuation relative to 5-year average while Low Volatility is cheapest relative to SPY (page 9)

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U.S. Factor AIM Positioning Guide

2.15.2021

U.S. Factor AIM Portfolio returned 2.41% last week, outperforming the S&P 500 (SPY) by 1.14%

  • Top Performers: QMOM +6.23%, VLUE +2.87%, MTUM +2.26%
  • Bottom Performers: QVAL +1.76%, FDLO +0.37%, QUAL +1.52%
  • Since Inception Performance: +37.99% outperforming the S&P 500 (SPY) by 9.71%

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U.S. Factor Playbook

2.10.2021

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

  • Low volatility ETFs see more net outflows; over $14 billion out over last 12 months (page 3)
  • Dividend category leads for the week (SPYD +6.00%) and slides into first in factor momentum
  • Low volatility showing greatest discount spread to SPY on a historical basis 
  • 2021 earnings per share growth jumps from a month ago but still well below that of the size factor (page 10)

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U.S. Factor AIM Positioning Guide

2.8.2021

U.S. Factor AIM Portfolio returned 5.03% last week, outperforming the S&P 500 (SPY) by 0.26%

  • Top Performers: QMOM +9.24%, MTUM +6.26%, QUAL +4.51%
  • Bottom Performers: QVAL +2.78%, FDLO +3.77%, VLUE +4.38%
  • Since Inception Performance: +34.74% outperforming the S&P 500 (SPY) by 8.07%

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U.S. Factor Playbook

2.2.2021

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

  • Net outflows for Momentum, Quality, and Low Volatility factors as Dividend ETFs see $372 million in net inflows (page 3)
  • Invesco S&P 500 Equal Weight ETF (RSP) leads weekly net inflows (size factor)
  • Quality factor (SPHQ) leads on a down week, down 1.76% but still trails dividend and value over last month
  • Low volatility moves further into attractive valuation territory on a relative to historical average and vs S&P 500 basis (page 9)

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U.S. Factor AIM Positioning Guide

1.31.2021

U.S. Factor AIM Portfolio returned -3.05% last week, outperforming the S&P 500 (SPY) by 0.30%

  • Top Performers: QVAL -1.38%, FDLO -2.50%, QUAL -3.24%
  • Bottom Performers: MTUM -3.97%, VLUE -3.47%, QMOM -3.30%
  • Since Inception Performance: +28.29% outperforming the S&P 500 (SPY) by 7.39%

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U.S. Factor Playbook

1.31.2021

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

  • Pattern in flows continues: large net outflows for Low Volatility and large net inflows for Value (page 3)
  • Momentum (SPMO +5.01%) leads factors for the week but value still leads YTD
  • Value factor valuation premium has grown the most YTD but still remains only 10% above historical average (SPY is 40% above)
  • Dividend and Size factors retreat from overbought technical levels

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U.S. Factor AIM Positioning Guide

1.24.2021

U.S. Factor AIM Portfolio returned 2.01% last week, outperforming the S&P 500 (SPY) by 0.10%

  • Top Performers: QMOM +5.02%, MTUM +3.63%, QVAL +1.95%
  • Bottom Performers: VLUE +0.28%, FDLO +0.80%, QUAL +1.28%
  • Since Inception Performance: +32.33% outperforming the S&P 500 (SPY) by 7.24%

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