Factor investing

67% - Capital asset pricing model (CAPM)

90% - 3 factor model (small cap and value)

95% - 5 factor model (quality and investment)

Small cap value (AVUV) with some quality() and investment (CMA)

Momentum XSVM

References: https://www.optimizedportfolio.com/factor-investing/

https://www.pwlcapital.com/wp-content/uploads/2019/03/PWL-WP-Felix-Factor-Investing-with-ETFs_08-2019-Final.pdf

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2287202

https://www.portfoliovisualizer.com/etf-and-mutual-fund-factor-regressions

https://www.mdpi.com/1911-8074/15/10/460

https://ars.els-cdn.com/content/image/1-s2.0-S1544612320316627-gr2_lrg.jpg

https://www.optimizedportfolio.com/wp-content/uploads/2021/03/rolling-factor-premiums.png?ezimgfmt=ng:webp/ngcb1