Global X Adaptive U.S. Factor ETF

10-Year Study

AUSF.US · · US · ETF

Executive Summary: Global X Adaptive U.S. Factor ETF has compounded at 12.5% annually over the last 10 years, with a maximum drawdown of 31.6% and an annualized volatility of 13.3%.

1Y CAGR
+17.1%
3Y CAGR
+22.1%
5Y CAGR
+13.1%
10Y CAGR
+12.5%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
31.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.55
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.64
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
17.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +27.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -0.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
88%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.73.9-3.61.7————————6.7%
20254.00.9-0.3-2.73.12.8-0.34.40.6-2.83.00.513.7%
20241.83.84.5-4.63.1-0.76.01.70.50.25.7-6.316.1%
2023-0.2-2.81.01.4-3.47.94.10.3-4.8-0.710.68.222.3%
2022-3.9-0.54.1-4.12.1-6.15.9-1.2-5.711.52.4-3.2-0.2%
20210.44.96.43.52.8-2.00.63.1-2.73.0-2.07.027.5%
20200.0-11.4-22.814.02.82.93.73.9-3.00.712.73.41.3%
20199.11.50.13.2-5.15.41.4-2.73.81.12.72.024.1%
2018————————0.2-4.12.6-9.3-10.6%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 13.3%. The dominant macroeconomic risk driver is VTV.US, accounting for 65.4% of variance. Idiosyncratic stock-specific factors contribute 7.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2018-08-0110000
2018-09-0110016.40943542537
2018-10-019603.421967631388
2018-11-019850.163844210423
2018-12-018938.889861670461
2019-01-019748.355304299972
2019-02-019893.738899867425
2019-03-019900.442754583886
2019-04-0110213.584030605196
2019-05-019695.048758871313
2019-06-0110215.530645514236
2019-07-0110360.110696768319
2019-08-0110083.779168199937
2019-09-0110467.444561873079
2019-10-0110580.044783685189
2019-11-0110867.698168084833
2019-12-0111089.155194901132
2020-01-0111093.389082328298
2020-02-019833.848127223935
2020-03-017590.738480626117
2020-04-018656.857003384857
2020-05-018895.004344600196
2020-06-019148.902090564869
2020-07-019488.865979530028
2020-08-019860.436596746255
2020-09-019565.707648841444
2020-10-019635.052942307062
2020-11-0110862.722849390842
2020-12-0111230.485162635508
2021-01-0111274.235332716216
2021-02-0111826.51002109416
2021-03-0112587.948481448611
2021-04-0113028.08574616684
2021-05-0113398.550418932293
2021-06-0113132.967258175406
2021-07-0113208.218237754776
2021-08-0113622.337658301472
2021-09-0113257.17369427118
2021-10-0113649.057810597053
2021-11-0113374.863741536637
2021-12-0114315.496692275305
2022-01-0113764.208670473805
2022-02-0113691.77551139757
2022-03-0114246.47965151984
2022-04-0113664.717564161894
2022-05-0113945.74100719486
2022-06-0113097.10755803728
2022-07-0113873.127499972641
2022-08-0113710.63668310939
2022-09-0112934.476470393816
2022-10-0114427.443271336098
2022-11-0114768.752614723682
2022-12-0114291.40160743795
2023-01-0114263.81311221726
2023-02-0113862.937352613008
2023-03-0114006.235882385303
2023-04-0114200.382092872347
2023-05-0113720.144561027864
2023-06-0114798.421316072661
2023-07-0115402.62863671025
2023-08-0115441.280393330659
2023-09-0114707.537301172295
2023-10-0114609.39546617479
2023-11-0116151.331082755398
2023-12-0117471.819214749656
2024-01-0117791.369411190735
2024-02-0118470.621599240854
2024-03-0119296.890924073334
2024-04-0118404.522572402962
2024-05-0118967.758420320202
2024-06-0118844.287690153284
2024-07-0119974.561010398364
2024-08-0120310.812017691427
2024-09-0120415.999835281265
2024-10-0120463.81404109609
2024-11-0121630.594024669655
2024-12-0120278.33790073824
2025-01-0121094.297800336757
2025-02-0121286.394339831342
2025-03-0121213.49742837972
2025-04-0120644.885488110744
2025-05-0121275.302451741783
2025-06-0121872.26435718116
2025-07-0121808.65203546727
2025-08-0122776.558587838397
2025-09-0122909.552463491706
2025-10-0122264.280156280292
2025-11-0122927.159786188582
2025-12-0123053.082869451697
2026-01-0124126.938709362377
2026-02-0125079.420666883463
2026-03-0124188.908622457915
2026-04-0124589.138754784002
Annual Return Matrix
YearAnnual Return
20190.24055172023663784
20200.012744881395416074
20210.27469975561730964
2022-0.0016831469669059684
20230.22254063629815413
20240.1606311656212267
20250.13683295851443722
20260.06663125682716298
Total Factor Risk
0.13251152904762747
VTI.US Exposure
-0.11833883302298
VEA.US Exposure
-0.05899995686801267
VWO.US Exposure
-0.013553397984688275
QQQ.US Exposure
0.027188881281881797
VTV.US Exposure
0.6540575741094076
IJR.US Exposure
0.062043105485121354
QUAL.US Exposure
0.04186331425058112
SHV.US Exposure
0.25855506274315465
TLT.US Exposure
0.035293373459641474
LQD.US Exposure
-0.033400190793278946
HYG.US Exposure
0.02087719404471729
GLD.US Exposure
-0.0023898344131216393
USO.US Exposure
0.0016275200193583313
VNQ.US Exposure
0.00009698050419940497
BTC-USD.CC Exposure
0.008229112987933506
CPER.US Exposure
0.009554984034562945
VIX.INDX Exposure
0.02978078067916675
UUP.US Exposure
0.008589999192707828
TIP.US Exposure
-0.007116370225118862
Idiosyncratic Exposure
0.0760407005147664
Value Score
44.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
31.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
13.3%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →12.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.62%
Market Cap$41.5B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$154
Avg Yield on Cost
1.54%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$153.741.54%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.2%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+6.1%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
2.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.81
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Global X Adaptive U.S. Factor ETF a high-risk investment?

Global X Adaptive U.S. Factor ETF (AUSF.US) has an annualized volatility of 13.3% and experienced a maximum drawdown of 31.6% over the last 10 years. Its primary macro risk driver is VTV.US.

What is the 10-year return of AUSF.US?

Over the past 10 years, AUSF.US has generated a Compound Annual Growth Rate (CAGR) of 12.5%. It has had a positive return in 88% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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