Subject: Re: Factor ETF Long-term Performance
If you want to do a multi-factor, why not try one Jim has mentioned many times.

"Using a broad market index (like S&P500 or VL1500 or Russell 1000)
Or using the Value Line ~1500 stocks with any Timeliness.
Take only the 90% of the stocks closest to their 52-week high.
(Drop the lowest 10%)

Take the top 100 by ROE ...
and those with earnings >0 and book value is < 0.

then of those, top 25 by 5 Yr sales Growth.
Re-evaluate and/or rebalance every 1 or 2 or 3 or 6 months.
Optional tweak, 15 HTD 25 or 25 HTD 30."


I've been running a 1 month screen of this since January 2021.
Total return 52.2% vs 40.6% for SPY

Average turnover is 4-5 stocks per month. I don't rebalance, just re-evaluate.