ETF: Factor Performance 2022 EOY

Investing Strategies Mechanical Investing
1

Assume Fed action will cause at least a correction and maybe a recession during this year.

Which of the following Factor funds could be expected to continue to out-perform and under-perform by the end of the year 2022?

                                             ISHARES     ISHARES     ISHARES     ISHARES     ISHARES
                                             MSCI USA    MSCI USA    MSCI USA    MSCI USA    MSCI USA
                                             QUALITY     SIZE        Multi-      VALUE       MIN VOL
                                             FACTOR      FACTOR      FACTOR      FACTOR      FACTOR
                                             ETF         ETF         ETF         ETF         ETF
 **Name                                 QUAL        SIZE        LRGF        VLUE        USMV**
 
        Market Price                            $141.51     $134.98      $45.96     $112.21      $79.17
                                             1/5/2022    1/5/2022    1/5/2022    1/5/2022    1/5/2022
 
        Market Total Return (1 Yr)               26.93%      25.05%      25.01%      28.94%      20.84%
                                             12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
 
**Ranked  Market Total Return (3 Yr)               25.76%      23.31%      20.55%      17.84%      17.69%**
                                             12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
 
        Market Total Return (5 Yr)               18.06%      15.78%      13.91%      12.15%      14.46%
                                             12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
 
        Premium/Discount (1 Year Average)         0.01%       0.00%       0.01%       0.01%       0.01%
                                             12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
        Beta (Month-End 3 Yr)                      1.01        1.14        1.02        1.12        0.78
                                             12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
        Standard Deviation (Month-End 3 Yr)       17.79        20.5       18.09       21.81       14.77
                                             12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
        Sharpe Ratio (Month-End 3 Yr)              1.34        1.09        1.08        0.83        1.12
                                             12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
        Alpha (Month-End 3 Yr)                     -0.4       -4.94       -4.76       -8.78       -2.16
                                             12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
        R2 (Month-End 3 Yr)                       97.87       93.64       95.56       79.85       85.22
                                             12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021

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2

All eight Factor funds Relative Strength

   **2021 EOY Data**   ISHARES     ISHARES     ISHARES     ISHARES     ISHARES     ISHARES     ISHARES     ISHARES
 **Sorted by %Rank(1,3,5)          MSCI USA    MSCI USA    MSCI USA    MSCI USA    MSCI USA    MSCI USA   MSCI EAFE     MSCI EM**
 **QUALITY      SIZE      MOMENTUM     VALUE       Multi-      MIN VOL     MIN VOL     MIN VOL**
   **Enhanced Assets**   FACTOR      FACTOR      FACTOR      FACTOR      FACTOR      FACTOR      FACTOR      FACTOR
       ETF         ETF         ETF         ETF         ETF         ETF         ETF         ETF
 **Name                    QUAL        SIZE        MTUM        VLUE        LRGF        USMV        EFAV        EEMV**
 
  Market Price                            $141.51     $134.98     $175.94     $112.21      $45.96      $79.17      $75.31      $62.69
                                       1/5/2022    1/5/2022    1/7/2022    1/5/2022    1/5/2022    1/5/2022    1/7/2022    1/7/2022
 
 **Market Total Return (1 Yr)               26.93%      25.05%      13.37%      28.94%      25.01%      20.84%       7.20%       5.05%**
                                       12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
 
 **Market Total Return (3 Yr)               25.76%      23.31%      23.27%      17.84%      20.55%      17.69%       7.71%       6.59%**
                                       12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
 
 **Market Total Return (5 Yr)               18.06%      15.78%      20.43%      12.15%      13.91%      14.46%       7.57%       7.74%**
                                       12/31/2021  12/31/2021  1/1/2022    12/31/2021  12/31/2021  12/31/2021  1/2/2022    1/3/2022
 
  Premium/Discount (1 Year Average)         0.01%       0.00%       0.00%       0.01%       0.01%       0.01%      -0.06%      -0.14%
                                       12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
  Beta (Month-End 3 Yr)                      1.01        1.14        0.89        1.12        1.02        0.78        0.64        0.74
                                       12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
  Standard Deviation (Month-End 3 Yr)       17.79        20.5       17.23       21.81       18.09       14.77       11.95       13.51
                                       12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
  Sharpe Ratio (Month-End 3 Yr)              1.34        1.09        1.26        0.83        1.08        1.12        0.62        0.48
                                       12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
  Alpha (Month-End 3 Yr)                     -0.4       -4.94         0.3       -8.78       -4.76       -2.16        -0.9       -3.12
                                       12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
  R2 (Month-End 3 Yr)                       97.87       93.64       81.58       79.85       95.56       85.22       81.94        87.3
                                       12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021  12/31/2021
 
 **%Ranking (1,3,5) EOY RS Performance         90%         76%         67%         57%         52%         43%          9%          5%**

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