Blending several equity factors into one fund can be difficult to pull off in terms of capturing the intended effect. A good example/microcosm from Friday is the Invesco S&P 500 Multi-Factor ETF (QVML). The ticker symbol tells you the factors: quality, value, and momentum for large-cap stocks.
The first three funds target quality, value, and momentum, respectively. I did a quick review of QVML in March. The combo of quality, value, and momentum is intriguing and has had the tendency to outperform market cap weighting, but when I wrote about the fund in March, I noted that its huge weighting to tech wouldn't allow it to differentiate a whole lot.
The above chart is very short of course, below is 2022.
For 2022, using three separate funds worked much better than QVML.
For the longer period, the three individual funds blended together lagged SPY and QVML because it owns less tech than SPY and QVML. Is any of this worth it? That's up to the individual, of course, but for anyone trying to diversify at the factor level, a multi-factor fund might not be the answer.
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