BlackRock US Equity Factor Rotation

10-Year Study

DYNF.US · · US · ETF

Executive Summary: BlackRock US Equity Factor Rotation has compounded at 15.9% annually over the last 10 years, with a maximum drawdown of 25.9% and an annualized volatility of 14.2%.

1Y CAGR
+24.5%
3Y CAGR
+25.0%
5Y CAGR
+14.3%
10Y CAGR
+15.9%

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 →
25.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.77
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.14
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +36.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -20.3%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
86%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.2-0.8-4.78.3————————3.6%
20252.5-0.7-6.1-0.46.95.22.82.33.62.8-0.00.220.0%
20242.06.92.9-4.25.84.40.73.01.90.16.5-2.630.3%
20237.7-1.94.71.82.36.64.3-1.7-4.7-2.710.65.636.3%
2022-7.2-3.22.9-8.51.0-8.28.2-3.9-9.18.15.5-5.6-20.3%
2021-0.03.64.04.11.81.51.72.8-4.57.3-1.32.025.0%
2020-0.1-8.9-13.111.05.90.33.86.2-2.6-2.512.43.413.5%
2019———3.1-5.16.61.7-0.91.41.33.02.714.2%

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 14.2%. The dominant macroeconomic risk driver is VTI.US, accounting for 79.3% of variance. Idiosyncratic stock-specific factors contribute 1.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-03-0110000
2019-04-0110305.938676513179
2019-05-019777.865262090936
2019-06-0110421.417969881264
2019-07-0110599.88596872285
2019-08-0110502.461627570228
2019-09-0110650.521285838402
2019-10-0110794.236895453228
2019-11-0111122.84607587605
2019-12-0111422.132927888793
2020-01-0111410.051042571677
2020-02-0110395.444178974803
2020-03-019028.652620909354
2020-04-0110023.304011004922
2020-05-0110617.307413843037
2020-06-0110646.855994787142
2020-07-0111053.069794381698
2020-08-0111743.637778743123
2020-09-0111433.762308137852
2020-10-0111148.005357660004
2020-11-0112529.774833478135
2020-12-0112961.057413843037
2021-01-0112957.799377353027
2021-02-0113421.028815522735
2021-03-0113958.333333333334
2021-04-0114527.629959455546
2021-05-0114786.779611931654
2021-06-0115006.470822473213
2021-07-0115266.661236605853
2021-08-0115691.427743990733
2021-09-0114984.026571097596
2021-10-0116083.3876339415
2021-11-0115880.80111497249
2021-12-0116200.767448595423
2022-01-0115031.31335070953
2022-02-0114548.94294816102
2022-03-0114965.519113814076
2022-04-0113696.830654503328
2022-05-0113828.554879814654
2022-06-0112701.048001737621
2022-07-0113739.320880393861
2022-08-0113199.9348392702
2022-09-0112002.696930205619
2022-10-0112978.071604401968
2022-11-0113688.595062264696
2022-12-0112916.666666666666
2023-01-0113916.476614538082
2023-02-0113651.942151752099
2023-03-0114294.182594845062
2023-04-0114544.689400521287
2023-05-0114881.2174196351
2023-06-0115859.804879814656
2023-07-0116538.788734433823
2023-08-0116253.936794092095
2023-09-0115493.004271647844
2023-10-0115075.794598899507
2023-11-0116670.60346075876
2023-12-0117599.234361424846
2024-01-0117956.939617723718
2024-02-0119187.84390385172
2024-03-0119749.538444830585
2024-04-0118917.743628728644
2024-05-0120020.860483637418
2024-06-0120908.041920069507
2024-07-0121055.01556617434
2024-08-0121678.612800463365
2024-09-0122080.98030697944
2024-10-0122112.203156675358
2024-11-0123540.535403996524
2024-12-0122929.879814653927
2025-01-0123498.0904286128
2025-02-0123323.604474370113
2025-03-0121892.37619461338
2025-04-0121811.558789458442
2025-05-0123324.64523602664
2025-06-0124538.354329568494
2025-07-0125227.700550246165
2025-08-0125799.938459310746
2025-09-0126728.20735592239
2025-10-0127477.691500144803
2025-11-0127464.1163481031
2025-12-0127516.833188531713
2026-01-0127833.586736171444
2026-02-0127620.909354184765
2026-03-0126326.74485954243
2026-04-0128516.869388937157
Annual Return Matrix
YearAnnual Return
20200.13473179621266151
20210.2499572319841914
2022-0.2027126673072196
20230.3625213699167624
20240.3028907589817167
20250.20004262608242618
20260.036342706791646195
Total Factor Risk
0.1418296741860904
VTI.US Exposure
0.7934710024978272
VEA.US Exposure
0.0726134261042249
VWO.US Exposure
-0.0373113815078781
QQQ.US Exposure
0.04299392055522054
VTV.US Exposure
0.010515703016045264
IJR.US Exposure
-0.0150978062075848
QUAL.US Exposure
0.020234061957914135
SHV.US Exposure
0.18149297687248703
TLT.US Exposure
-0.005041832510452113
LQD.US Exposure
0.027284919920762617
HYG.US Exposure
-0.05435339858596211
GLD.US Exposure
-0.001623987440866008
USO.US Exposure
-0.0009738544561931946
VNQ.US Exposure
-0.041581906494003694
BTC-USD.CC Exposure
0.0003225601778316574
CPER.US Exposure
-0.003190704836763372
VIX.INDX Exposure
-0.013361478776971464
UUP.US Exposure
-0.005140946663842759
TIP.US Exposure
0.011298009194948149
Idiosyncratic Exposure
0.017450717183256026
Value Score
41.9
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
12
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.2%

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 →20.2x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.00%
Market Cap$559.5B
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
$72
Avg Yield on Cost
0.72%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$72.40.72%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 →
+4.5%
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 →
+6.6%
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 →
0.0% 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 →
1.09
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is BlackRock US Equity Factor Rotation a high-risk investment?

BlackRock US Equity Factor Rotation (DYNF.US) has an annualized volatility of 14.2% and experienced a maximum drawdown of 25.9% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, DYNF.US has generated a Compound Annual Growth Rate (CAGR) of 15.9%. It has had a positive return in 86% 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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